CORSI, FULVIO Statistiche



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Titolo Data di pubblicazione Autore(i) File
When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification In corso di stampa Corsi, Fulvio
A DCC-type approach for realized covariance modeling with score-driven dynamics 1-gen-2021 Vassallo, D.; Buccheri, G.; Corsi, F.
The continuous-time limit of score-driven volatility models 1-gen-2021 Buccheri, G.; Corsi, F.; Flandoli, F.; Livieri, G.
A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing 1-gen-2020 Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; Majewski, Adam A
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics 1-gen-2020 Buccheri, G.; Bormetti, G.; Corsi, F.; Lillo, F.
A Stochastic Volatility Model With Realized Measures for Option Pricing 1-gen-2020 Bormetti, G.; Casarin, R.; Corsi, F.; Livieri, G.
Entropy and Efficiency of the ETF Market 1-gen-2020 Calcagnile, L. M.; Corsi, F.; Marmi, S.
High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model 1-gen-2020 Buccheri, Giuseppe; Corsi, Fulvio; Peluso, Stefano
Comment on: Price Discovery in High Resolution 1-gen-2019 Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio
HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies 1-gen-2019 Buccheri, Giuseppe; Corsi, Fulvio
Measuring the propagation of financial distress with Granger-causality tail risk networks 1-gen-2018 Corsi, Fulvio; Lillo, Fabrizio; Pirino, Davide; Trapin, Luca
A stochastic volatility framework with analytical filtering 1-gen-2017 Corsi, Fulvio
When micro prudence increases macro risk: The destabilizing effects of financial innovation, leverage, and diversification 1-gen-2016 Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio
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
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-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
Bridge homogeneous volatility estimators 1-gen-2014 Corsi, Fulvio