Concepedia

Loriano Mancini

LM

Statistics

Publications

12

Citations

844

H-Index

12

Active since

2003

Affiliations

Swiss Finance Institute(Current)

Università della Svizzera italiana

University of Zurich

Princeton University

École Polytechnique Fédérale de Lausanne

Loriano Mancini is an author at Swiss Finance Institute specializing in engineering, statistics, and statistical inference.

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Top concepts

Publications per year

2003–2015

12

Publications

12

A GARCH Option Pricing Model with Filtered Historical Simulation

Giovanni Barone‐Adesi, Robert F. Engle, Loriano Mancini · Review of Financial Studies · 2008 · 296 citations · Full text

Out of sample forecasts of quadratic variation

Yacine Aı̈t-Sahalia, Loriano Mancini · Journal of Econometrics · 2008 · 160 citations · Full text

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Quadratic variance swap models

Damir Filipović, Elise Gourier, Loriano Mancini · Journal of Financial Economics · 2015 · 97 citations · Full text

The Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesis

Yacine Aı̈t-Sahalia, Mustafa Karaman, Loriano Mancini · SSRN Electronic Journal · 2012 · 83 citations · Full text

Option Pricing With Model-Guided Nonparametric Methods

Jianqing Fan, Loriano Mancini · Journal of the American Statistical Association · 2009 · 42 citations

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