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Number of items: 7.

Chesney, Marc; Crameri, Remo; Mancini, Loriano (2015). Detecting abnormal trading activities in option markets. Journal of Empirical Finance, 33:263-275.

Chesney, Marc; Crameri, Remo; Mancini, Loriano (2014). Detecting informed trading activities in the options markets. NCCR FINRISK Working Paper 560, University of Zurich.

Chesney, Marc; Crameri, Remo; Mancini, Loriano (2012). Detecting informed trading activities in the options markets: Appendix on subprime financial crisis. NCCR FINRISK Working Paper Series 726, University of Zurich.

Mancini, Loriano; Fan, Jianqing (2009). Option pricing with model-guided nonparametric methods. Journal of the American Statistical Association, 104(488):1351-1372.

Ait-Sahalia, Yacine; Mancini, Loriano (2008). Out of sample forecasts of quadratic variation. Journal of Econometrics, 147(1):17-33.

Barone-Adesi, Giovanni; Engle, Robert F; Mancini, Loriano (2008). A GARCH option pricing model with filtered historical simulation. Review of Financial Studies, 21(3):1223-1258.

Mancini, Loriano; Ronchetti, Elvezio; Trojani, Fabio (2005). Optimal conditionally unbiased bounded-influence inference in dynamic location and scale models. Journal of the American Statistical Association, 100(470):628-641.

This list was generated on Wed Jul 26 11:46:26 2017 CEST.