CORSI Fulvio

Qualifica Docente a contratto
Telefono 041 234 9243
E-mail fulvio.corsi@unive.it
Sito web www.unive.it/persone/fulvio.corsi (scheda personale)

Pubblicazioni per anno

In corso di stampa
  • Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification in OPERATIONS RESEARCH, vol. N/D (ISSN 0030-364X) (Articolo su rivista)
    Link DOI Link al documento: 10278/3667750
2017
  • Bormetti, Giacomo; Casarin, Roberto; Corsi, Fulvio; Livieri Giulia A stochastic volatility framework with analytical filtering , Proceedings of the Conference of the Italian Statistical Society. Statistics and Data Science: new challenges, new generations, Università degli Studi di Firenze, pp. 203-209, Convegno: Conference of the Italian Statistical Society (ISBN 9788864535210) (Articolo in Atti di convegno)
    Link al documento: 10278/3691749
2015
  • Majewski, Adam A; Bormetti, Giacomo; Corsi, Fulvio Smile from the past: A general option pricing framework with multiple volatility and leverage components in JOURNAL OF ECONOMETRICS, vol. 187, pp. 521-531 (ISSN 0304-4076) (Articolo su rivista)
    Link DOIURL correlato Link al documento: 10278/3666870
2014
  • S. Peluso;F. Corsi;A. Mira A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns in JOURNAL OF FINANCIAL ECONOMETRICS, vol. n/a, pp. n/a-n/a (ISSN 1479-8409) (Articolo su rivista)
    Link DOI Link al documento: 10278/44754
  • A. Saichev;D. Sornette;V. Filimonov;F. Corsi Bridge homogeneous volatility estimators in QUANTITATIVE FINANCE, vol. 14, pp. 87-99 (ISSN 1469-7688) (Articolo su rivista)
    Link DOI Link al documento: 10278/38388
  • Fulvio Corsi;Didier Sornette Follow the money: The monetary roots of bubbles and crashes in INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, vol. 32, pp. 47-59 (ISSN 1057-5219) (Articolo su rivista)
    Link DOI Link al documento: 10278/28931
  • Fulvio Corsi;Stefano Peluso;Francesco Audrino MISSING IN ASYNCHRONICITY: A KALMAN-EM APPROACH FOR MULTIVARIATE REALIZED COVARIANCE ESTIMATION in JOURNAL OF APPLIED ECONOMETRICS, vol. n/a, pp. n/a-n/a (ISSN 0883-7252) (Articolo su rivista)
    Link DOI Link al documento: 10278/39877
2013
  • Francesco Audrino;Fulvio Corsi;Kameliya Filipova Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators in ECONOMETRIC REVIEWS, vol. forthcoming, pp. n/a-n/a (ISSN 0747-4938) (Articolo su rivista)
    Link DOI Link al documento: 10278/38389
2012
  • Giuseppe Curci;Fulvio Corsi Discrete sine transform for multi-scale realized volatility measures in QUANTITATIVE FINANCE, vol. 12, pp. 263-279 (ISSN 1469-7688) (Articolo su rivista)
    Link DOI Link al documento: 10278/38453
  • Fulvio Corsi;Roberto Renò Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling in JOURNAL OF BUSINESS & ECONOMIC STATISTICS, vol. 30, pp. 368-380 (ISSN 0735-0015) (Articolo su rivista)
    Link DOI Link al documento: 10278/38454
  • Fulvio Corsi; Francesco Audrino Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects in JOURNAL OF FINANCIAL ECONOMETRICS, vol. 10, pp. 591-616 (ISSN 1479-8409) (Articolo su rivista)
    Link DOI Link al documento: 10278/38473
  • Fulvio Corsi;Nicola Fusari;Davide La Vecchia Realizing smiles: Options pricing with realized volatility in JOURNAL OF FINANCIAL ECONOMICS, vol. 107, pp. 284-304 (ISSN 0304-405X) (Articolo su rivista)
    Link DOI Link al documento: 10278/38472
  • Fulvio Corsi;Francesco Audrino;Roberto Renò HAR Modeling for Realized Volatility Forecasting , Handbook of Volatility Models and Their Applications, John Wiley & Sons, Inc., pp. 363-382 (ISBN 9780470872512; 9781118272039) (Articolo su libro)
    Link DOI Link al documento: 10278/38387
2011
2010
  • Francesco Audrino;Fulvio Corsi Modeling tick-by-tick realized correlations in COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol. 54, pp. 2372-2382 (ISSN 0167-9473) (Articolo su rivista)
    Link DOI Link al documento: 10278/38471
  • Fulvio Corsi;Davide Pirino;Roberto Renò Threshold bipower variation and the impact of jumps on volatility forecasting in JOURNAL OF ECONOMETRICS, vol. 159, pp. 276-288 (ISSN 0304-4076) (Articolo su rivista)
    Link DOI Link al documento: 10278/38474
2009
  • Simone Bianco;Fulvio Corsi;Roberto Reno Intraday LeBaron effects in PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA, vol. 106, pp. 11439-11443 (ISSN 0027-8424) (Articolo su rivista)
    Link DOI Link al documento: 10278/38475
2008
  • Fulvio Corsi A Simple Approximate Long-Memory Model of Realized Volatility in JOURNAL OF FINANCIAL ECONOMETRICS, vol. 7, pp. 174-196 (ISSN 1479-8409) (Articolo su rivista)
    Link DOI Link al documento: 10278/38476
  • Fulvio Corsi;Stefan Mittnik;Christian Pigorsch;Uta Pigorsch The Volatility of Realized Volatility in ECONOMETRIC REVIEWS, vol. 27, pp. 46-78 (ISSN 0747-4938) (Articolo su rivista)
    Link DOI Link al documento: 10278/38477
2001
  • Fulvio Corsi;Gilles Zumbach;Ulrich A. Muller;Michel M. Dacorogna Consistent High-precision Volatility from High-frequency Data in ECONOMIC NOTES, vol. 30, pp. 183-204 (ISSN 0391-5026) (Articolo su rivista)
    Link DOI Link al documento: 10278/38478