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SFI-LM - Group in financial econometrics

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SFI-LM - Group in financial econometrics 14 records found 1 - 10nextSearch took 0.14 seconds. 
1.
Scientific research measures
Frittelli, Marco ; Mancini, Loriano ; Peri, Ilaria
Journal Of The Association For Information Science And Technology, 67 (12), 3051-3063 (2016)
2016 | Journal Articles |
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2.
Elliptical tempered stable distribution
Fallahgoul, Hassan A. ; Kim, Young S. ; Fabozzi, Frank J.
Quantitative Finance, 16 (7), 1069-1087 (2016)
2016 | Journal Articles |
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3.
The Euro Interbank Repo Market
Mancini, Loriano ; Ranaldo, Angelo ; Wrampelmeyer, Jan
Review Of Financial Studies, 29 (7), 1747-1779 (2016)
2016 | Journal Articles |
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4.
Quadratic variance swap models
Filipovic, Damir ; Gourier, Elise ; Mancini, Loriano
Journal Of Financial Economics, 119 (1), 44-68 (2016)
2016 | Journal Articles |
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5.
Detecting abnormal trading activities in option markets
Chesney, Marc ; Crameri, Remo ; Mancini, Loriano
Journal Of Empirical Finance, 33, 263-275 (2015)
2015 | Journal Articles |
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6.
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9.
PDF
robVAR_JFEC2011
Robust Value at Risk Prediction
Mancini, Loriano ; Trojani, Fabio
Journal Of Financial Econometrics, 9, 281-313 (2011)
2011 | Journal Articles |
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10.
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Option Pricing with Model-Guided Nonparametric Methods
Option Pricing with Model-Guided Nonparametric Methods
Mancini, Loriano ; Fan, Jianqing
Journal of the American Statistical Association, 104, 1351-1372 (2009)
2009 | Journal Articles |
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