Follow
cecilia mancini
Title
Cited by
Cited by
Year
Non‐parametric threshold estimation for models with stochastic diffusion coefficient and jumps
C Mancini
Scandinavian Journal of Statistics 36 (2), 270-296, 2009
5102009
Disentangling the jumps of the diffusion in a geometric jumping Brownian motion
C Mancini
Giornale dell'Istituto Italiano degli Attuari 64, 19-47, 2001
2542001
Estimation of the characteristics of the jumps of a general Poisson-diffusion model
C Mancini
Scandinavian Actuarial Journal 2004 (1), 42-52, 2004
1422004
Identifying the brownian covariation from the co-jumps given discrete observations
C Mancini, F Gobbi
Econometric Theory 28 (2), 249-273, 2012
982012
Nonparametric tests for pathwise properties of semimartingales
R Cont, C Mancini
912011
Threshold estimation of Markov models with jumps and interest rate modeling
C Mancini, R Ren˛
Journal of Econometrics 160 (1), 77-92, 2011
842011
Estimating the integrated volatility in stochastic volatility models with LÚvy type jumps
C Mancini
working paper, University of Firenze, 2006
572006
Spot volatility estimation using delta sequences
C Mancini, V Mattiussi, R Ren˛
Finance and Stochastics 19, 261-293, 2015
562015
The speed of convergence of the threshold estimator of integrated variance
C Mancini
Stochastic processes and their applications 121 (4), 845-855, 2011
332011
Optimum thresholding using mean and conditional mean squared error
JE Figueroa-Lˇpez, C Mancini
Journal of Econometrics 208 (1), 179-210, 2019
322019
Nonparametric tests for analyzing the fine structure of price fluctuations
R Cont, C Mancini
Columbia University Financial Engineering Report, 2007
292007
Threshold estimation of jump-diffusion models and interest rate modeling
C Mancini, R Reno
Available at SSRN 1158439, 2008
242008
Identifying the covariation between the diffusion parts and the co-jumps given discrete observations
F Gobbi, C Mancini
arXiv preprint math/0610621, 2006
222006
Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process
C Mancini
Statistics & probability letters 78 (7), 869-879, 2008
212008
Diffusion covariation and co-jumps in bidimensional asset price processes with stochastic volatility and infinite activity LÚvy jumps
F Gobbi, C Mancini
Noise and Stochastics in Complex Systems and Finance 6601, 234-241, 2007
202007
Statistics of a Poisson-Gaussian process
C Mancini
Dipartimento di Matematica per le Decisioni, Universita di Firenze, 2003
172003
The European options hedge perfectly in a Poisson-Gaussian stock market model
C Mancini
Applied Mathematical Finance 9 (2), 87-102, 2002
152002
Jumps
C Mancini, F Calvori
Handbook of Volatility Models and Their Applications, 403-445, 2012
132012
Identifying the diffusion covariation and the co-jumps given discrete observations
F Gobbi, C Mancini
arXiv preprint math/0610621, 2008
102008
Threshold estimation of jump-diffusion models and interest rate modelling
C Mancini, R Reno
Atti del XXX Convegno AMASES, 2006
72006
The system can't perform the operation now. Try again later.
Articles 1–20