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Prof. Dr. Loriano Mancini - Publications

Assistant Professor of Finance



Publications Supervised theses

Journal Articles (5)

Detecting abnormal trading activities in option markets
Marc Chesney, Remo Crameri, Loriano Mancini
In: Journal of Empirical Finance, Vol. 33, p. 263-275, September 2015.


Option pricing with model-guided nonparametric methods
Loriano Mancini, Jianqing Fan
In: Journal of the American Statistical Association, Vol. 104 (No. 488), p. 1351-1372, December 2009.


Out of sample forecasts of quadratic variation
Yacine Ait-Sahalia, Loriano Mancini
In: Journal of Econometrics, Vol. 147 (No. 1), p. 17-33, November 2008.


A GARCH option pricing model with filtered historical simulation
Giovanni Barone-Adesi, Robert F Engle, Loriano Mancini
In: Review of Financial Studies, Vol. 21 (No. 3), p. 1223-1258, May 2008.


Optimal conditionally unbiased bounded-influence inference in dynamic location and scale models
Loriano Mancini, Elvezio Ronchetti, Fabio Trojani
In: Journal of the American Statistical Association, Vol. 100 (No. 470), p. 628-641, June 2005.


Working Papers (3)

Detecting informed trading activities in the options markets
Marc Chesney, Remo Crameri, Loriano Mancini
NCCR FINRISK Working Paper, No. 560, April 2014.


Detecting informed trading activities in the options markets: Appendix on subprime financial crisis
Marc Chesney, Remo Crameri, Loriano Mancini
NCCR FINRISK Working Paper Series, No. 726, September 2012.


Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
Angelo Ranaldo, Loriano Mancini, Jan Wrampelmeyer
Swiss National Bank, No. 3, 2010.