Sfoglia per Autore

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