Loriano Mancini

USI Lugano - Institute of Finance

Via Giuseppe Buffi 6

6904 Lugano, CH-6904

Switzerland

http://www.people.usi.ch/mancil/

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

24

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20,871

SSRN CITATIONS
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Top 7,096

in Total Papers Citations

122

CROSSREF CITATIONS

64

Scholarly Papers (24)

A GARCH Option Pricing Model with Filtered Historical Simulation

Review of Financial Studies, 2008
Number of pages: 54 Posted: 15 Oct 2004 Last Revised: 29 Apr 2008
Giovanni Barone-Adesi, Robert F. Engle and Loriano Mancini
University of Lugano, New York University (NYU) - Department of Finance and USI Lugano - Institute of Finance
Downloads 3,187 (4,596)
Citation 44

Abstract:

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Option pricing, GARCH model, state price density, Monte Carlo simulation

A GARCH Option Pricing Model with Filtered Historical Simulation

The Review of Financial Studies, Vol. 21, Issue 3, pp. 1223-1258, 2008
Posted: 02 Jul 2008
Giovanni Barone-Adesi, Robert F. Engle and Loriano Mancini
University of Lugano, New York University (NYU) - Department of Finance and USI Lugano - Institute of Finance

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2.

Detecting Abnormal Trading Activities in Option Markets

Swiss Finance Institute Research Paper No. 11-42
Number of pages: 36 Posted: 13 Jan 2010 Last Revised: 23 Jan 2015
Marc Chesney, Remo Crameri and Loriano Mancini
University of Zurich - Department of Banking and Finance, University of Zurich - Swiss Banking Institute (ISB) and USI Lugano - Institute of Finance
Downloads 2,568 (6,691)
Citation 1

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Options Trades, Open Interest, False Discovery Rate, Massive dataset

3.

The Term Structure of Variance Swaps and Risk Premia

Swiss Finance Institute Research Paper No. 18-37
Number of pages: 64 Posted: 27 Aug 2012 Last Revised: 14 May 2018
Yacine Ait-Sahalia, Mustafa Karaman and Loriano Mancini
Princeton University - Department of Economics, University of Zurich - Swiss Banking Institute (ISB) and USI Lugano - Institute of Finance
Downloads 2,560 (6,717)
Citation 36

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Variance Swap, Stochastic Volatility, Likelihood Approximation, Term Structure, Equity Risk Premium, Variance Risk Premium

4.

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

Journal of Finance, 2013, Vol. 68, No. 5, pp. 1805-1841
Number of pages: 69 Posted: 14 Aug 2009 Last Revised: 13 Oct 2013
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer
USI Lugano - Institute of Finance, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 2,418 (7,371)
Citation 19

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Foreign Exchange Market, Liquidity, Commonality in Liquidity, Liquidity Spiral, Liquidity Risk Premium, Carry Trade

5.

Estimating Sentiment, Risk Aversion, and Time Preference from Behavioral Pricing Kernel Theory

Swiss Finance Institute Research Paper No. 12-21
Number of pages: 47 Posted: 18 May 2012 Last Revised: 20 Mar 2017
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
University of Lugano, USI Lugano - Institute of Finance and Santa Clara University - Leavey School of Business
Downloads 1,528 (15,384)
Citation 10

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Sentiment, Pricing Kernel, Optimism, Overconfidence, Option Data

6.

The Euro Interbank Repo Market

Swiss Finance Institute Research Paper No. 13-71, University of St. Gallen, School of Finance Research Paper No. 2013/16
Number of pages: 42 Posted: 28 Sep 2013 Last Revised: 29 Mar 2016
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer
USI Lugano - Institute of Finance, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 1,203 (22,096)
Citation 38

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Repurchase agreements, money market structure, central counterparty, short-term debt, financial crisis, unconventional monetary policy

7.

Robust Value at Risk Prediction

Swiss Finance Institute Research Paper No. 07-31
Number of pages: 51 Posted: 17 Aug 2005 Last Revised: 13 Sep 2010
Loriano Mancini and Fabio Trojani
USI Lugano - Institute of Finance and Swiss Finance Institute
Downloads 1,147 (23,709)
Citation 1

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M-estimator, Extreme Value Theory, Breakdown Point, Backtesting

8.

Quadratic Variance Swap Models

Journal of Financial Economics, Forthcoming
Number of pages: 77 Posted: 23 Mar 2013 Last Revised: 20 Dec 2014
Damir Filipović, Elise Gourier and Loriano Mancini
Ecole Polytechnique Fédérale de Lausanne, ESSEC Business School and USI Lugano - Institute of Finance
Downloads 966 (30,376)
Citation 5

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stochastic volatility, variance swap, quadratic term structure, quadratic jump-diffusion, dynamic optimal portfolio

9.

Option Pricing with Model-Guided Nonparametric Methods

Number of pages: 55 Posted: 20 Feb 2007 Last Revised: 13 Feb 2009
Jianqing Fan and Loriano Mancini
Princeton University - Bendheim Center for Finance and USI Lugano - Institute of Finance
Downloads 940 (31,559)
Citation 5

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Nonparametric regression, state price distribution, model misspecification, out-of-sample analysis, generalized likelihood ratio test

10.

Sentiment, Asset Prices, and Systemic Risk

Swiss Finance Institute Research Paper No. 11-50
Number of pages: 31 Posted: 03 Nov 2011 Last Revised: 21 Mar 2012
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
University of Lugano, USI Lugano - Institute of Finance and Santa Clara University - Leavey School of Business
Downloads 767 (41,799)
Citation 6

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systemic risk, marginal expected shortfall, pricing kernel, overconfidence, optimism

11.

Out of Sample Forecasts of Quadratic Variation

Journal of Econometrics, Vol. 147, pp. 17-33, 2008
Number of pages: 36 Posted: 01 Jun 2006 Last Revised: 12 Nov 2008
Yacine Ait-Sahalia and Loriano Mancini
Princeton University - Department of Economics and USI Lugano - Institute of Finance
Downloads 543 (65,422)
Citation 4

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Market microstructure noise, high frequency data, measurement error, realized volatility, two scales realized volatility, out of sample forecasts.

12.

A Tale of Two Investors: Estimating Optimism and Overconfidence

26th Australasian Finance and Banking Conference 2013
Number of pages: 50 Posted: 02 Sep 2013
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
University of Lugano, USI Lugano - Institute of Finance and Santa Clara University - Leavey School of Business
Downloads 446 (83,241)
Citation 5

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Sentiment, Pricing Kernel, Optimism, Overconfidence

13.

Detecting Abnormal Trading Activities in Option Markets: Supplemental Appendix

Swiss Finance Institute Research Paper No. 11-38
Number of pages: 59 Posted: 22 Sep 2011 Last Revised: 01 Apr 2015
Marc Chesney, Remo Crameri and Loriano Mancini
University of Zurich - Department of Banking and Finance, University of Zurich - Swiss Banking Institute (ISB) and USI Lugano - Institute of Finance
Downloads 424 (88,390)

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Options Trades, Open Interest, False Discovery Rate, Massive dataset, Financial Crisis

14.

Understanding Cash Flow Risk

Swiss Finance Institute Research Paper No. 18-21
Number of pages: 90 Posted: 26 Jun 2017 Last Revised: 15 Jul 2021
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), USI Lugano - Institute of Finance, Ecole Polytechnique Fédérale de Lausanne, EDHEC Business School and University of Bern
Downloads 341 (113,192)
Citation 2

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cash flow risk, permanent and transitory shocks, liquidity management

15.

Internet Appendix for 'Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums'

Number of pages: 59 Posted: 20 Dec 2011 Last Revised: 11 Jun 2013
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer
USI Lugano - Institute of Finance, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 260 (150,638)
Citation 3

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foreign exchange market, liquidity, commonality in liquidity, liquidity spiral, liquidity risk premium, carry trade

16.

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

Journal of the American Statistical Association, Vol. 100, No. 470, pp. 628-641, June 2005
Number of pages: 34 Posted: 29 Jul 2003
Loriano Mancini, Fabio Trojani and Elvezio Ronchetti
USI Lugano - Institute of Finance, Swiss Finance Institute and University of Geneva - Research Center for Statistics
Downloads 236 (165,616)
Citation 12

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Time series models, M-estimators, influence function, robust estimation and testing

17.

Scientific Research Measures

Swiss Finance Institute Research Paper No. 13-37
Number of pages: 28 Posted: 02 Jul 2013 Last Revised: 30 Jan 2015
Marco Frittelli, Loriano Mancini and Ilaria Peri
University of Florence - Dipartimento di Matematica, USI Lugano - Institute of Finance and University of London - Economics, Mathematics and Statistics
Downloads 228 (171,208)

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Research Performance, Scientific Impact Measures, Bibliometric Indices, Citations, Calibration

18.

'Estimating Sentiment, Risk Aversion, and Time Preference from Behavioral Pricing Kernel Theory': Online Appendix

Number of pages: 60 Posted: 22 Jul 2013 Last Revised: 20 Mar 2017
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
University of Lugano, USI Lugano - Institute of Finance and Santa Clara University - Leavey School of Business
Downloads 202 (191,816)
Citation 5

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Sentiment, Pricing Kernel, Optimism, Overconfidence, Option Data

19.

Risk Premia and Lévy Jumps: Theory and Evidence

Swiss Finance Institute Research Paper No. 19-49
Number of pages: 53 Posted: 12 Feb 2019 Last Revised: 23 May 2021
Monash UniversityMonash University, Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and USI Lugano - Institute of Finance
Downloads 197 (196,203)
Citation 3

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Lévy jumps, time changes, tempered stable law, time series, option pricing

20.
Downloads 187 (205,558)

(In)efficient repo markets

Swiss Finance Institute Research Paper No. 21-10
Number of pages: 68 Posted: 08 Feb 2021 Last Revised: 09 Feb 2021
Tobias Dieler, Loriano Mancini and Norman Schürhoff
University of Bristol - Department of Finance and Accounting, USI Lugano - Institute of Finance and Swiss Finance Institute - HEC Lausanne
Downloads 187 (205,483)

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repo market, funding run, financial stability, asymmetric information, central clearing, novation, guarantee fund, collateral

(In)Efficient Repo Markets

Number of pages: 69 Posted: 11 Feb 2021
Tobias Dieler, Loriano Mancini and Norman Schürhoff
University of Bristol - Department of Finance and Accounting, USI Lugano - Institute of Finance and Swiss Finance Institute - HEC Lausanne
Downloads 0
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21.

Model Risk and Disappointment Aversion

Swiss Finance Institute Research Paper No. 18-65, Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC, 31st Australasian Finance and Banking Conference 2018
Number of pages: 60 Posted: 30 Jul 2018 Last Revised: 01 Oct 2019
Monash UniversityMonash University, USI Lugano - Institute of Finance and Charles Schwab
Downloads 169 (226,623)
Citation 1

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model risk, choice under uncertainty, optimal portfolios, generalized disappointment aversion, higher-order moments

22.

Robust Value at Risk Prediction: Appendix

Number of pages: 30 Posted: 12 Sep 2010
Loriano Mancini and Fabio Trojani
USI Lugano - Institute of Finance and Swiss Finance Institute
Downloads 166 (227,811)
Citation 2

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M-estimator, Extreme Value Theory, Breakdown Point, Backtesting

23.

Internet Appendix for 'The Euro Interbank Repo Market'

Number of pages: 28 Posted: 17 Dec 2013 Last Revised: 30 Jul 2015
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer
USI Lugano - Institute of Finance, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 163 (231,349)

Abstract:

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Repurchase agreements, repo market, central counterparty, short-term debt, liquidity hoarding, financial crisis, unconventional monetary policy

24.

Online Appendix for: 'Scientific Research Measures'

Number of pages: 12 Posted: 09 Dec 2014
Marco Frittelli, Loriano Mancini and Ilaria Peri
University of Florence - Dipartimento di Matematica, USI Lugano - Institute of Finance and University of London - Economics, Mathematics and Statistics
Downloads 25 (614,574)

Abstract:

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Research Performance, Scientific Impact Measures, Bibliometric Indices, Citations, Calibration