Sfoglia per Autore
Mostra risultati da 1 a 20 di 33
Consistent High-precision Volatility from High-frequency Data
2001-01-01 Corsi, Fulvio
The Volatility of Realized Volatility
2008-01-01 Corsi, Fulvio
A Simple Approximate Long-Memory Model of Realized Volatility
2008-01-01 Corsi, Fulvio
Intraday LeBaron effects
2009-01-01 Corsi, Fulvio
Threshold bipower variation and the impact of jumps on volatility forecasting
2010-01-01 Corsi, Fulvio
Modeling tick-by-tick realized correlations
2010-01-01 Corsi, Fulvio
Risk Allocation: The Double Face of Financial Derivatives
2011-01-01 Corsi, Fulvio
HAR Modeling for Realized Volatility Forecasting
2012-01-01 Corsi, Fulvio
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling
2012-01-01 Corsi, Fulvio
Realizing smiles: Options pricing with realized volatility
2012-01-01 Corsi, Fulvio
Discrete sine transform for multi-scale realized volatility measures
2012-01-01 Corsi, Fulvio
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects
2012-01-01 Corsi, Fulvio
A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns
2014-01-01 Corsi, Fulvio
Bridge homogeneous volatility estimators
2014-01-01 Corsi, Fulvio
Follow the money: The monetary roots of bubbles and crashes
2014-01-01 Corsi, Fulvio
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators
2014-01-01 Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
2015-01-01 Peluso, Stefano; Corsi, Fulvio; Mira, Antonietta
Missing in Asynchronicity: A Kalman-em Approach for Multivariate Realized Covariance Estimation
2015-01-01 Corsi, Fulvio; Peluso, Stefano; Audrino, Francesco
Modelling systemic price cojumps with Hawkes factor models
2015-01-01 Bormetti, Giacomo; Calcagnile, Lucio Maria; Treccani, Michele; Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio
Smile from the past: A general option pricing framework with multiple volatility and leverage components
2015-01-01 Corsi, Fulvio
Mostra risultati da 1 a 20 di 33
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