Fulvio Corsi
Fulvio Corsi
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A simple approximate long-memory model of realized volatility
F Corsi
Journal of Financial Econometrics 7 (2), 174-196, 2009
21102009
Threshold bipower variation and the impact of jumps on volatility forecasting
F Corsi, D Pirino, R Reno
Journal of Econometrics 159 (2), 276-288, 2010
526*2010
The volatility of realized volatility
F Corsi, S Mittnik, C Pigorsch, U Pigorsch
Econometric Reviews 27 (1-3), 46-78, 2008
4192008
Discrete-time volatility forecasting with persistent leverage effect and the link with continuous-time volatility modeling
F Corsi, R Renò
Journal of Business & Economic Statistics 30 (3), 368-380, 2012
315*2012
Consistent high‐precision volatility from high‐frequency data
F Corsi, G Zumbach, UA Muller, MM Dacorogna
Economic Notes 30 (2), 183-204, 2001
2022001
Realizing smiles: Options pricing with realized volatility
F Corsi, N Fusari, D La Vecchia
Journal of Financial Economics 107 (2), 284-304, 2013
1182013
Discrete sine transform for multi-scale realized volatility measures
G Curci, F Corsi
Quantitative Finance 12 (2), 263-279, 2012
75*2012
HAR modeling for realized volatility forecasting
F Corsi, F Audrino, R Renó
John Wiley & Sons, Inc, 2012
742012
When micro prudence increases macro risk: The destabilizing effects of financial innovation, leverage, and diversification
F Corsi, S Marmi, F Lillo
Operations Research 64 (5), 1073-1088, 2016
672016
Modelling systemic price cojumps with Hawkes factor models
G Bormetti, LM Calcagnile, M Treccani, F Corsi, S Marmi, F Lillo
Quantitative Finance 15 (7), 1137-1156, 2015
672015
Missing in asynchronicity: a Kalman‐em approach for multivariate realized covariance estimation
F Corsi, S Peluso, F Audrino
Journal of Applied Econometrics 30 (3), 377-397, 2015
522015
Realized correlation tick-by-tick
F Corsi, F Audrino
University of St. Gallen, Department of Economics, Discussion Paper, 2007
512007
Efficient estimation of volatility using high frequency data
GO Zumbach, F Corsi, A Trapletti
Available at SSRN 306002, 2002
502002
Follow the money: The monetary roots of bubbles and crashes
F Corsi, D Sornette
International Review of Financial Analysis 32, 47-59, 2014
432014
Measuring the propagation of financial distress with granger-causality tail risk networks
F Corsi, F Lillo, D Pirino, L Trapin
Journal of Financial Stability 38, 18-36, 2018
42*2018
Smile from the past: A general option pricing framework with multiple volatility and leverage components
AA Majewski, G Bormetti, F Corsi
Journal of Econometrics 187 (2), 521-531, 2015
412015
Modeling tick-by-tick realized correlations
F Audrino, F Corsi
Computational Statistics & Data Analysis 54 (11), 2372-2382, 2010
402010
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
S Peluso, F Corsi, A Mira
Journal of Financial Econometrics 13 (3), 665-697, 2014
262014
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
F Corsi, F Audrino
Journal of Financial Econometrics 10 (4), 591-616, 2012
252012
HARK the SHARK: Realized volatility modeling with measurement errors and nonlinear dependencies
G Buccheri, F Corsi
Journal of Financial Econometrics, 2019
212019
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Artículos 1–20