CORSI, Fulvio
CORSI, Fulvio
Dipartimento di Economia
A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns
2014-01-01 S., Peluso; Corsi, Fulvio; A., Mira
A Simple Approximate Long-Memory Model of Realized Volatility
2008-01-01 Corsi, Fulvio
A stochastic volatility framework with analytical filtering
2017-01-01 Bormetti, Giacomo; Casarin, Roberto; Corsi, Fulvio; Livieri, Giulia
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators
2013-01-01 Francesco, Audrino; Corsi, Fulvio; Kameliya, Filipova
Bridge homogeneous volatility estimators
2014-01-01 A., Saichev; D., Sornette; V., Filimonov; Corsi, Fulvio
Consistent High-precision Volatility from High-frequency Data
2001-01-01 Corsi, Fulvio; Gilles, Zumbach; Ulrich A., Muller; Michel M., Dacorogna
Discrete sine transform for multi-scale realized volatility measures
2012-01-01 Giuseppe, Curci; Corsi, Fulvio
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling
2012-01-01 Corsi, Fulvio; Roberto, Renò
Follow the money: The monetary roots of bubbles and crashes
2014-01-01 Corsi, Fulvio; Didier, Sornette
HAR Modeling for Realized Volatility Forecasting
2012-01-01 Corsi, Fulvio; Francesco, Audrino; Roberto, Renò
Intraday LeBaron effects
2009-01-01 Simone, Bianco; Corsi, Fulvio; Roberto, Reno
MISSING IN ASYNCHRONICITY: A KALMAN-EM APPROACH FOR MULTIVARIATE REALIZED COVARIANCE ESTIMATION
2014-01-01 Corsi, Fulvio; Stefano, Peluso; Francesco, Audrino
Modeling tick-by-tick realized correlations
2010-01-01 Francesco, Audrino; Corsi, Fulvio
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects
2012-01-01 Corsi, Fulvio; Francesco, Audrino
Realizing smiles: Options pricing with realized volatility
2012-01-01 Corsi, Fulvio; Nicola, Fusari; Davide La, Vecchia
Risk Allocation: The Double Face of Financial Derivatives
2011-01-01 Corsi, Fulvio; Hykel, Hosni; Stefano, Marmi
Smile from the past: A general option pricing framework with multiple volatility and leverage components
2015-01-01 Majewski, Adam A; Bormetti, Giacomo; Corsi, Fulvio
The Volatility of Realized Volatility
2008-01-01 Corsi, Fulvio; Stefan, Mittnik; Christian, Pigorsch; Uta, Pigorsch
Threshold bipower variation and the impact of jumps on volatility forecasting
2010-01-01 Corsi, Fulvio; Davide, Pirino; Roberto, Renò
When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification
In corso di stampa Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio