Sfoglia per Autore
Threshold estimation of Markov models with jumps and interest rate modeling
2011-01-01 Mancini, Cecilia; Renò, Roberto
Nonparametric tests for pathwise properties of semimartingales
2011-01-01 Cont, R.; Mancini, C.
The speed of convergence of the threshold estimator of integrated variance
2011-01-01 Mancini, Cecilia
Jumps
2012-01-01 Mancini, C.; Calvori, F.
Identifying the Brownian covariation from the co-jumps given discrete observations
2012-01-01 Mancini, C.; Gobbi, F.
Measuring the relevance of the microstructure noise in observed financial data
2013-01-01 Mancini, C.
Spot volatility estimation using delta sequences
2015-01-01 Mancini, Cecilia; Mattiussi, Vanessa; Renò, Roberto
WORKING PAPER: Optimal threshold for the estimator of integrated variance
2016-01-01 Mancini, C.
Truncated Realized Covariance when prices have infinite variation jumps
2017-01-01 Mancini, Cecilia
Non-parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
2018-01-01 Mancini, Cecilia
Warnings about future jumps: properties of the exponential Hawkes model
2019-01-01 Mancini, Cecilia; Foschi, Rachele; Lilla, Francesca
Optimum thresholding using mean and conditional mean squared error
2019-01-01 Mancini, Cecilia; Figueroa Lopez, Jose
Zero Sigma
2020-01-01 Mancini, Cecilia; Renò, Roberto
Risk that an observed cluster of price jumps has not yet exhausted: performance of an estimate on simulated data
2021-01-01 Mancini, Cecilia
Warnings about future jumps: properties of the exponential Hawkes model
2021-01-01 Foschi, Rachele; Lilla, Francesca; Mancini, Cecilia
Drift Burst test statistic in a pure jump semimartingale model
2021-01-01 Mancini, Cecilia
Preface to the XXII Workshop On Quantitative Finance Book of Abstracts
2021-01-01 Mancini, Cecilia
Academic research on Quantitative Finance in Italy today
2022-01-01 Mancini, Cecilia
Drift burst test statistic in the presence of infinite variation jumps
2023-01-01 Mancini, Cecilia
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