CORSI, FULVIO Statistiche
CORSI, FULVIO
DIPARTIMENTO DI ECONOMIA E MANAGEMENT
A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns
2014-01-01 Corsi, Fulvio
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
2015-01-01 Peluso, Stefano; Corsi, Fulvio; Mira, Antonietta
A DCC-type approach for realized covariance modeling with score-driven dynamics
2021-01-01 Vassallo, D.; Buccheri, G.; Corsi, F.
A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing
2020-01-01 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
2020-01-01 Buccheri, G.; Bormetti, G.; Corsi, F.; Lillo, F.
A Simple Approximate Long-Memory Model of Realized Volatility
2008-01-01 Corsi, Fulvio
A stochastic volatility framework with analytical filtering
2017-01-01 Corsi, Fulvio
A Stochastic Volatility Model With Realized Measures for Option Pricing
2020-01-01 Bormetti, G.; Casarin, R.; Corsi, F.; Livieri, G.
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
Bridge homogeneous volatility estimators
2014-01-01 Corsi, Fulvio
Comment on: Price Discovery in High Resolution
2019-01-01 Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio
Consistent High-precision Volatility from High-frequency Data
2001-01-01 Corsi, Fulvio
Discrete sine transform for multi-scale realized volatility measures
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
Entropy and Efficiency of the ETF Market
2020-01-01 Calcagnile, L. M.; Corsi, F.; Marmi, S.
Follow the money: The monetary roots of bubbles and crashes
2014-01-01 Corsi, Fulvio
HAR Modeling for Realized Volatility Forecasting
2012-01-01 Corsi, Fulvio
HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies
2019-01-01 Buccheri, Giuseppe; Corsi, Fulvio
High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model
2020-01-01 Buccheri, Giuseppe; Corsi, Fulvio; Peluso, Stefano
Intraday LeBaron effects
2009-01-01 Corsi, Fulvio