Person

Loriano Mancini

This person is no longer with EPFL

The Euro Interbank Repo Market

The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and compre ...

Oxford University Press2016

Quadratic variance swap models

Damir Filipovic, Loriano Mancini

We introduce a novel class of term structure models for variance swaps. The multivariate state process is characterized by a quadratic diffusion function. The variance swap curve is quadratic in the state variable and available in closed form, greatly faci ...

Elsevier2016

Scientific research measures

Loriano Mancini

The evaluation of scientific research is crucial for both the academic community and society as a whole. Numerous bibliometric indices have been proposed for the ranking of research performance, mainly on an ad hoc basis. We introduce the novel class of Sc ...

Wiley-Blackwell2016

Detecting abnormal trading activities in option markets

Loriano Mancini

We develop an econometric method to detect "abnormal trades" in option markets, i.e., trades which are not driven by liquidity motives. Abnormal trades are characterized by unusually large increments in open interest, trading volume, and option returns, an ...

Elsevier2015

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

Loriano Mancini, Angelo Ranaldo

We provide the first systematic study of liquidity in the foreign exchange market. We find significant variation in liquidity across exchange rates, substantial illiquidity costs, and strong commonality in liquidity across currencies and with equity and bo ...

Wiley-Blackwell2013

Robust Value at Risk Prediction

Loriano Mancini, Fabio Trojani

This paper proposes a robust semiparametric bootstrap method to estimate predictive distributions of GARCH-type models. The method is based on a robust estimation of parametric GARCH models and a robustified resampling scheme for GARCH residuals that contr ...

Oxford University Press2011

Option Pricing with Model-Guided Nonparametric Methods

Loriano Mancini

Parametric option pricing models are largely used in Finance. These models capture several features of asset price dynamics. However, their pricing performance can be significantly enhanced when they are combined with nonparametric learning approaches that ...

American Statistical Association2009

A GARCH Option Pricing Model with Filtered Historical Simulation

Loriano Mancini, Giovanni Barone-Adesi

We propose a new method for pricing options based on GARCH models with filtered historical innovations. In an incomplete market framework, we allow for different distributions of historical and pricing return dynamics enhancing the model flexibility to fit ...

2008

Out of Sample Forecasts of Quadratic Variation

Loriano Mancini

We compare the forecasts of Quadratic Variation given by the Realized Volatility (RV) and the Two Scales Realized Volatility (TSRV) computed from high frequency data in the presence of market microstructure noise, under several different dynamics for the v ...

2008

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

Loriano Mancini, Fabio Trojani

This paper studies the local robustness of estimators and tests for the conditional location and scale parameters in a strictly stationary time series model. We first derive optimal bounded-influence estimators for such settings under a conditionally Gauss ...

2005