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Advanced Search Results For "Mancini, Loriano"

1 - 10 of 24 results for
 "Mancini, Loriano"
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Understanding Cash Flow Risk.

Publication Type:Academic Journal

Source(s):Review of Financial Studies; Aug2022, Vol. 35 Issue 8, p3922-3973, 52p

Abstract:Copyright of Review of Financial Studies is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users m...

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The Euro Interbank Repo Market.

Publication Type:Academic Journal

Source(s):Review of Financial Studies; Jul2016, Vol. 29 Issue 7, p1747-1779, 33p

Abstract:Copyright of Review of Financial Studies is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users m...

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A GARCH Option Pricing Model with Filtered Historical Simulation.

Publication Type:Academic Journal

Source(s):Review of Financial Studies; May2008, Vol. 21 Issue 3, p1223-1258, 36p

Abstract:Copyright of Review of Financial Studies is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users m...

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Scientific research measures.

Publication Type:Academic Journal

Source(s):Journal of the Association for Information Science & Technology; Dec2016, Vol. 67 Issue 12, p3051-3063, 13p

Abstract:Copyright of Journal of the Association for Information Science & Technology is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express writte...

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Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums.

Publication Type:Academic Journal

Source(s):Journal of Finance (John Wiley & Sons, Inc.); Oct2013, Vol. 68 Issue 5, p1805-1841, 37p, 1 Black and White Photograph, 1 Diagram, 6 Charts, 4 Graphs

Abstract:Copyright of Journal of Finance (John Wiley & Sons, Inc.) is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. Howev...

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Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums.

Publication Type:Report

Source(s):Swiss National Bank Working Papers. 2010, Issue 3, p1-57. 57p. 12 Charts, 7 Graphs.

Abstract:This paper develops a liquidity measure tailored to the foreign exchange (FX) market, quantifies the amount of commonality in liquidity across exchange rates, and determines the extent of liquidity risk premiums embedded in FX returns. The new liquidit...

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Robust Value at Risk Prediction.

Publication Type:Academic Journal

Source(s):Journal of Financial Econometrics; Apr2011, Vol. 9 Issue 2, p281-313, 33p, 11 Charts, 2 Graphs

Abstract:Copyright of Journal of Financial Econometrics is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, u...

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Option Pricing With Model-Guided Nonparametric Methods.

Publication Type:Academic Journal

Source(s):Journal of the American Statistical Association. Dec2009, Vol. 104 Issue 488, p1351-1372. 22p.

Abstract:Parametric option pricing models are widely used in finance. These models capture several features of asset price dynamics; however, their pricing performance can be significantly enhanced when they are combined with nonparametric learning approaches t...

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Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models.

Publication Type:Academic Journal

Source(s):Journal of the American Statistical Association. Jun2005, Vol. 100 Issue 470, p628-641. 14p.

Abstract:This article studies the local robustness of estimators and tests for the conditional location and scale parameters in a strictly stationary time series model. We first derive optimal bounded-influence estimators for such settings under a conditionally...

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Out of sample forecasts of quadratic variation

Publication Type:Periodical

Source(s):Journal of Econometrics. Nov2008, Vol. 147 Issue 1, p17-33. 17p.

Abstract:Abstract: We compare the forecasts of Quadratic Variation given by the Realized Volatility (RV) and the Two Scales Realized Volatility (TSRV) computed from high frequency data in the presence of market microstructure noise, under several different dyna...

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