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 tipologia

Articolo su rivista
  • Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio (in corso di stampa), When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification in OPERATIONS RESEARCH, vol. N/D (ISSN 0030-364X)
    Link DOI Link al documento: 10278/3667750
  • Majewski, Adam A; Bormetti, Giacomo; Corsi, Fulvio (2015), 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)
    Link DOIURL correlato Link al documento: 10278/3666870
  • S. Peluso;F. Corsi;A. Mira (2014), 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)
    Link DOI Link al documento: 10278/44754
  • A. Saichev;D. Sornette;V. Filimonov;F. Corsi (2014), Bridge homogeneous volatility estimators in QUANTITATIVE FINANCE, vol. 14, pp. 87-99 (ISSN 1469-7688)
    Link DOI Link al documento: 10278/38388
  • Fulvio Corsi;Didier Sornette (2014), Follow the money: The monetary roots of bubbles and crashes in INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, vol. 32, pp. 47-59 (ISSN 1057-5219)
    Link DOI Link al documento: 10278/28931
  • Fulvio Corsi;Stefano Peluso;Francesco Audrino (2014), 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)
    Link DOI Link al documento: 10278/39877
  • Francesco Audrino;Fulvio Corsi;Kameliya Filipova (2013), 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)
    Link DOI Link al documento: 10278/38389
  • Giuseppe Curci;Fulvio Corsi (2012), Discrete sine transform for multi-scale realized volatility measures in QUANTITATIVE FINANCE, vol. 12, pp. 263-279 (ISSN 1469-7688)
    Link DOI Link al documento: 10278/38453
  • Fulvio Corsi;Roberto Renò (2012), 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)
    Link DOI Link al documento: 10278/38454
  • Fulvio Corsi; Francesco Audrino (2012), 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)
    Link DOI Link al documento: 10278/38473
  • Fulvio Corsi;Nicola Fusari;Davide La Vecchia (2012), Realizing smiles: Options pricing with realized volatility in JOURNAL OF FINANCIAL ECONOMICS, vol. 107, pp. 284-304 (ISSN 0304-405X)
    Link DOI Link al documento: 10278/38472
  • Francesco Audrino;Fulvio Corsi (2010), Modeling tick-by-tick realized correlations in COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol. 54, pp. 2372-2382 (ISSN 0167-9473)
    Link DOI Link al documento: 10278/38471
  • Fulvio Corsi;Davide Pirino;Roberto Renò (2010), Threshold bipower variation and the impact of jumps on volatility forecasting in JOURNAL OF ECONOMETRICS, vol. 159, pp. 276-288 (ISSN 0304-4076)
    Link DOI Link al documento: 10278/38474
  • Simone Bianco;Fulvio Corsi;Roberto Reno (2009), 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)
    Link DOI Link al documento: 10278/38475
  • Fulvio Corsi (2008), A Simple Approximate Long-Memory Model of Realized Volatility in JOURNAL OF FINANCIAL ECONOMETRICS, vol. 7, pp. 174-196 (ISSN 1479-8409)
    Link DOI Link al documento: 10278/38476
  • Fulvio Corsi;Stefan Mittnik;Christian Pigorsch;Uta Pigorsch (2008), The Volatility of Realized Volatility in ECONOMETRIC REVIEWS, vol. 27, pp. 46-78 (ISSN 0747-4938)
    Link DOI Link al documento: 10278/38477
  • Fulvio Corsi;Gilles Zumbach;Ulrich A. Muller;Michel M. Dacorogna (2001), Consistent High-precision Volatility from High-frequency Data in ECONOMIC NOTES, vol. 30, pp. 183-204 (ISSN 0391-5026)
    Link DOI Link al documento: 10278/38478
Articolo su libro
  • Fulvio Corsi;Francesco Audrino;Roberto Renò (2012), HAR Modeling for Realized Volatility Forecasting , Handbook of Volatility Models and Their Applications, John Wiley & Sons, Inc., pp. 363-382 (ISBN 9780470872512; 9781118272039)
    Link DOI Link al documento: 10278/38387
Articolo in Atti di convegno
  • Bormetti, Giacomo; Casarin, Roberto; Corsi, Fulvio; Livieri Giulia (2017), 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)
    Link al documento: 10278/3691749
Working paper