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Loriano Mancini

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
2013 · LORIANO MANCINI, ANGELO RANALDO, et al. · The Journal of Finance · 322
A GARCH Option Pricing Model with Filtered Historical Simulation
2008 · Giovanni Barone-Adesi, Robert F. Engle, et al. · Review of Financial Studies · 282
The Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesis
2012 · Yacine Aït-Sahalia, Mustafa Karaman, et al. · Journal of Econometrics · 194
The Euro Interbank Repo Market
2013 · Loriano Mancini, Angelo Ranaldo, et al. · Review of Financial Studies · 155
Out of sample forecasts of quadratic variation
2008 · Yacine Aït-Sahalia, Loriano Mancini · Journal of Econometrics · 145
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Quadratic Variance Swap Models
2013 · Damir Filipović, Elise Gourier, et al. · Journal of Financial Economics · 100
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Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
2005 · Loriano Mancini, Elvezio Ronchetti, et al. · Journal of the American Statistical Association · 60
The Term Structure of Variance Swaps and Risk Premia
2018 · Yacine Aït‐Sahalia, Mustafa Karaman, et al. · RePEc: Research Papers in Economics · 54
GARCH Options in Incomplete Markets
2006 · Giovanni Barone‐Adesi, Robert F. Engle, et al. · RePEc: Research Papers in Economics · 41
Option Pricing With Model-Guided Nonparametric Methods
2009 · Jianqing Fan, Loriano Mancini · Journal of the American Statistical Association · 39
Transitory Versus Permanent Shocks: Explaining Corporate Savings and Investment
2017 · Sebastian Gryglewicz, Loriano Mancini, et al. · Review of Financial Studies · 36
Detecting Informed Trading Activities in the Options Markets
2011 · Marc Chesney, Remo Crameri, et al. · Journal of Empirical Finance · 30
A GARCH Option Pricing Model in Incomplete Markets
2007 · Giovanni Barone‐Adesi, Robert F. Engle, et al. · RePEc: Research Papers in Economics · 21
Estimating Sentiment, Risk Aversion, and Time Preference from Behavioral Pricing Kernel Theory
2012 · Giovanni Barone-Adesi, Loriano Mancini, et al. · SSRN Electronic Journal · 19
A Tale of Two Investors: Estimating Optimism and Overconfidence
2013 · Giovanni Barone-Adesi, Loriano Mancini, et al. · SSRN Electronic Journal · 18
Sentiment, Asset Prices, and Systemic Risk
2011 · Giovanni Barone-Adesi, Loriano Mancini, et al. · SSRN Electronic Journal · 17
Risk Premia and Lévy Jumps: Theory and Evidence
2021 · Hasan Fallahgoul, Julien Hugonnier, et al. · Journal of Financial Econometrics · 8
Systemic Risk and Sentiment
2013 · Giovanni Barone-Adesi, Loriano Mancini, et al. · Cambridge University Press eBooks · 8
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
2010 · Loriano Mancini, Angelo Ranaldo, et al. · SSRN Electronic Journal · 8
An L-Moment Approach for Portfolio Choice under Non-Expected Utility
2024 · Hasan Fallahgoul, Loriano Mancini, et al. · Journal of Financial Econometrics · 7
'A Tale of Two Investors: Estimating Optimism and Overconfidence': Online Appendix
2013 · Giovanni Barone-Adesi, Loriano Mancini, et al. · SSRN Electronic Journal · 7
Sentiment, Risk Aversion, and Time Preference
2012 · Giovanni Barone‐Adesi, Loriano Mancini, et al. · Swiss Finance Institute Research Paper Series · 6
Detecting Informed Trading Activities in the Options Markets
2011 · Marc Chesney, Remo Crameri, et al. · RePEc: Research Papers in Economics · 6
Scientific Research Measures
2013 · Marco Frittelli, Loriano Mancini, et al. · Journal of the Association for Information Science and Technology · 5
Robust Value at Risk Prediction: Appendix
2010 · Loriano Mancini, Fabio Trojani · SSRN Electronic Journal · 5
Works count: 53
Citation count: 1,620
H-index: 16
I10-index: 16
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