| Liquidity in the foreign exchange market: Measurement, commonality, and risk premiums L Mancini, A Ranaldo, J Wrampelmeyer The Journal of Finance 68 (5), 1805-1841, 2013 | 493 | 2013 |
| A GARCH option pricing model with filtered historical simulation G Barone-Adesi, RF Engle, L Mancini The review of financial studies 21 (3), 1223-1258, 2008 | 377 | 2008 |
| The term structure of variance swaps and risk premia Y Ait-Sahalia, M Karaman, L Mancini Swiss Finance Institute Research Paper, 2018 | 201* | 2018 |
| The euro interbank repo market L Mancini, A Ranaldo, J Wrampelmeyer The Review of Financial Studies 29 (7), 1747-1779, 2016 | 201 | 2016 |
| Out of sample forecasts of quadratic variation Y Aït-Sahalia, L Mancini Journal of Econometrics 147 (1), 17-33, 2008 | 201 | 2008 |
| Quadratic variance swap models D Filipović, E Gourier, L Mancini Journal of Financial Economics 119 (1), 44-68, 2016 | 121 | 2016 |
| Robust value at risk prediction L Mancini, F Trojani Journal of financial econometrics 9 (2), 281-313, 2011 | 85 | 2011 |
| The term structure of equity and variance risk premia Y Aït-Sahalia, M Karaman, L Mancini Journal of Econometrics 219 (2), 204-230, 2020 | 70 | 2020 |
| Detecting abnormal trading activities in option markets M Chesney, R Crameri, L Mancini Journal of Empirical Finance 33, 263-275, 2015 | 69 | 2015 |
| Optimal conditionally unbiased bounded-influence inference in dynamic location and scale models L Mancini, E Ronchetti, F Trojani Journal of the American Statistical Association 100 (470), 628-641, 2005 | 65 | 2005 |
| Option pricing with model-guided nonparametric methods J Fan, L Mancini Journal of the American Statistical Association 104 (488), 1351-1372, 2009 | 52 | 2009 |
| A GARCH option pricing model in incomplete markets G Barone-Adesi, RF Engle, L Mancini Review of Financial Studies 21 (3), 1223-1258, 2008 | 41 | 2008 |
| A tale of two investors: estimating optimism and overconfidence G Barone-Adesi, L Mancini, H Shefrin 26th Australasian Finance and Banking Conference, 2013 | 31 | 2013 |
| Understanding cash flow risk S Gryglewicz, L Mancini, E Morellec, E Schroth, P Valta The Review of Financial Studies 35 (8), 3922-3972, 2022 | 23* | 2022 |
| Sentiment, asset prices, and systemic risk G Barone-Adesi, L Mancini, H Shefrin Swiss Finance Institute Research Paper, 2012 | 20 | 2012 |
| Behavioral finance and the Pricing Kernel Puzzle: Estimating risk aversion, optimism, and overconfidence G Barone-Adesi, L Mancini, H Shefrin Unpublished Manuscript Swiss Finance Institute 3 (7), 1-50, 2012 | 18 | 2012 |
| 'Estimating Sentiment, Risk Aversion, and Time Preference from Behavioral Pricing Kernel Theory' G Barone-Adesi, L Mancini, H Shefrin Available at SSRN 2295896, 2017 | 17 | 2017 |
| Sentiment, risk aversion, and time preference G Barone-Adesi, L Mancini, H Shefrin Swiss Finance Institute Research Paper Series, 2012 | 15 | 2012 |
| Systemic risk and sentiment G Barone-Adesi, L Mancini, H Shefrin Handbook on Systemic Risk, Cambridge, Cambridge University Press. http://www …, 2013 | 11 | 2013 |
| Risk premia and Lévy jumps: theory and evidence H Fallahgoul, J Hugonnier, L Mancini Journal of Financial Econometrics 21 (3), 810-851, 2023 | 9 | 2023 |