| Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts G Toscano, G Livieri, ME Mancino, S Marmi Journal of Financial Econometrics 22 (1), 252-296, 2024 | 9 | 2024 |
| Rate-efficient asymptotic normality for the Fourier estimator of the leverage process ME Mancino, G Toscano Statistics and Its Interface 15 (1), 73-89, 2022 | 9 | 2022 |
| From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution T Mariotti, F Lillo, G Toscano Quantitative Finance 23 (3), 367-388, 2023 | 4 | 2023 |
| Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data I Raffaelli, S Scotti, G Toscano Annals of Operations Research, 1-19, 2022 | 4 | 2022 |
| Bias-optimal vol-of-vol estimation: the role of window overlapping G Toscano, MC Recchioni Decisions in Economics and Finance 45 (1), 137-185, 2022 | 4 | 2022 |
| Is the variance swap rate affine in the spot variance? Evidence from S&P500 data ME Mancino, S Scotti, G Toscano Applied Mathematical Finance 27 (4), 288-316, 2020 | 4 | 2020 |
| The foreign exchange market in Barcelona at the beginning of the fifteenth century A Orlandi, G Toscano Financial History Review 28 (1), 124-151, 2021 | 3 | 2021 |
| Asymptotic Normality for the Fourier Spot Volatility Estimator in the Presence of Microstructure Noise ME Mancino, T Mariotti, G Toscano https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4223249, 2022 | 2 | 2022 |
| The price‐leverage covariation as a measure of the response of the leverage effect to price and volatility changes G Toscano Applied Stochastic Models in Business and Industry 38 (3), 497-511, 2022 | 2 | 2022 |
| SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks A Brini, G Toscano https://arxiv.org/abs/2401.06249, 2024 | | 2024 |
Maria Elvira MancinoProfessor University of FirenzeEmail verificata su dmd.unifi.it
