Fulvio Corsi
Personal Details
First Name: | Fulvio |
Middle Name: | |
Last Name: | Corsi |
Suffix: | |
RePEc Short-ID: | pco762 |
| |
Affiliation
Dipartimento di Economia
Università Ca' Foscari Venezia
Venezia, Italyhttp://www.unive.it/dip.economia
RePEc:edi:dsvenit (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Adam Aleksander Majewski & Giacomo Bormetti & Fulvio Corsi, 2014. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Papers 1404.3555, arXiv.org.
- Giacomo Bormetti & Lucio Maria Calcagnile & Michele Treccani & Fulvio Corsi & Stefano Marmi & Fabrizio Lillo, 2013. "Modelling systemic price cojumps with Hawkes factor models," Papers 1301.6141, arXiv.org, revised Mar 2013.
- Corsi, Fulvio & Peluso, Stefano & Audrino, Francesco, 2012.
"Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation,"
Economics Working Paper Series
1202, University of St. Gallen, School of Economics and Political Science.
- Fulvio Corsi & Stefano Peluso & Francesco Audrino, 2015. "Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(3), pages 377-397, April.
- Fulvio Corsi & Davide Pirino & Roberto Renò, 2010.
"Threshold bipower variation and the impact of jumps on volatility forecasting,"
Post-Print
hal-00741630, HAL.
- Corsi, Fulvio & Pirino, Davide & Renò, Roberto, 2010. "Threshold bipower variation and the impact of jumps on volatility forecasting," Journal of Econometrics, Elsevier, vol. 159(2), pages 276-288, December.
- Fulvio Corsi & Davide Pirino & Roberto Reno', 2010. "Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting," LEM Papers Series 2010/11, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Francesco Audrino & Fulvio Corsi & Kameliya Filipova, 2010.
"Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators,"
University of St. Gallen Department of Economics working paper series 2010
2010-09, Department of Economics, University of St. Gallen.
- Francesco Audrino & Fulvio Corsi & Kameliya Filipova, 2016. "Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators," Econometric Reviews, Taylor & Francis Journals, vol. 35(2), pages 232-256, February.
- Fulvio CORSI & Nicola FUSARI & Davide LA VECCHIA, 2010. "Realizing Smiles: Pricing Options with Realized Volatility," Swiss Finance Institute Research Paper Series 10-05, Swiss Finance Institute, revised Jan 2010.
- Alexander Saichev & Didier Sornette & Vladimir Filimonov & Fulvio Corsi, 2009. "Homogeneous Volatility Bridge Estimators," Papers 0912.1617, arXiv.org.
- Fulvio Corsi & Francesco Audrino, 2008.
"Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects,"
University of St. Gallen Department of Economics working paper series 2008
2008-04, Department of Economics, University of St. Gallen.
- Fulvio Corsi & Francesco Audrino, 2012. "Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects," Journal of Financial Econometrics, Oxford University Press, vol. 10(4), pages 591-616, September.
- Simone Bianco & Fulvio Corsi & Roberto Reno', 2008. "Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect," Papers 0810.4912, arXiv.org.
- Fulvio Corsi & Francesco Audrino, 2008.
"Modeling Tick-by-Tick Realized Correlations,"
University of St. Gallen Department of Economics working paper series 2008
2008-05, Department of Economics, University of St. Gallen.
- Audrino, Francesco & Corsi, Fulvio, 2010. "Modeling tick-by-tick realized correlations," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2372-2382, November.
- Fulvio Corsi & Davide Pirino & Roberto Renò, 2008.
"Volatility forecasting: the jumps do matter,"
Department of Economics University of Siena
534, Department of Economics, University of Siena.
- Fulvio Corsi & Davide Pirino & Roberto Reno, 2009. "Volatility Forecasting: The Jumps Do Matter," Global COE Hi-Stat Discussion Paper Series gd08-036, Institute of Economic Research, Hitotsubashi University.
- Fulvio Corsi & Francesco Audrino, 2007. "Realized Correlation Tick-by-Tick," University of St. Gallen Department of Economics working paper series 2007 2007-02, Department of Economics, University of St. Gallen.
- Corsi, Fulvio & Kretschmer, Uta & Mittnik, Stefan & Pigorsch, Christian, 2005.
"The volatility of realized volatility,"
CFS Working Paper Series
2005/33, Center for Financial Studies (CFS).
- Fulvio Corsi & Stefan Mittnik & Christian Pigorsch & Uta Pigorsch, 2008. "The Volatility of Realized Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 46-78.
- Fulvio Corsi & Gilles Zumbach & Ulrich Müller & Michel Dacorogna, 2004.
"Consistent high-precision volatility from high-frequency data,"
Finance
0407005, University Library of Munich, Germany.
- Fulvio Corsi & Gilles Zumbach & Ulrich A. Muller & Michel M. Dacorogna, 2001. "Consistent High-precision Volatility from High-frequency Data," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(2), pages 183-204, July.
Articles
- A. Saichev & D. Sornette & V. Filimonov & F. Corsi, 2014. "Bridge homogeneous volatility estimators," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 87-99, January.
- Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 284-304.
- Fulvio Corsi & Francesco Audrino, 2012.
"Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects,"
Journal of Financial Econometrics, Oxford University Press, vol. 10(4), pages 591-616, September.
- Fulvio Corsi & Francesco Audrino, 2008. "Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects," University of St. Gallen Department of Economics working paper series 2008 2008-04, Department of Economics, University of St. Gallen.
- Fulvio Corsi & Roberto Renò, 2012. "Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 368-380, January.
- Giuseppe Curci & Fulvio Corsi, 2012. "Discrete sine transform for multi-scale realized volatility measures§," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 263-279, April.
- Corsi, Fulvio & Pirino, Davide & Renò, Roberto, 2010.
"Threshold bipower variation and the impact of jumps on volatility forecasting,"
Journal of Econometrics, Elsevier, vol. 159(2), pages 276-288, December.
- Fulvio Corsi & Davide Pirino & Roberto Reno', 2010. "Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting," LEM Papers Series 2010/11, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Fulvio Corsi & Davide Pirino & Roberto Renò, 2010. "Threshold bipower variation and the impact of jumps on volatility forecasting," Post-Print hal-00741630, HAL.
- Audrino, Francesco & Corsi, Fulvio, 2010.
"Modeling tick-by-tick realized correlations,"
Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2372-2382, November.
- Fulvio Corsi & Francesco Audrino, 2008. "Modeling Tick-by-Tick Realized Correlations," University of St. Gallen Department of Economics working paper series 2008 2008-05, Department of Economics, University of St. Gallen.
- Fulvio Corsi, 2009. "A Simple Approximate Long-Memory Model of Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 7(2), pages 174-196, Spring.
- Fulvio Corsi & Stefan Mittnik & Christian Pigorsch & Uta Pigorsch, 2008.
"The Volatility of Realized Volatility,"
Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 46-78.
- Corsi, Fulvio & Kretschmer, Uta & Mittnik, Stefan & Pigorsch, Christian, 2005. "The volatility of realized volatility," CFS Working Paper Series 2005/33, Center for Financial Studies (CFS).
More information
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Rankings
This author is among the top 5% authors according to these criteria:- Number of Citations
- Number of Citations, Discounted by Citation Age
- Number of Citations, Weighted by Simple Impact Factor
- Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors
- Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (8) 2007-03-31 2008-02-16 2008-02-16 2008-09-20 2009-03-07 2010-04-11 2010-07-17 2012-03-21. Author is listed
- NEP-ETS: Econometric Time Series (6) 2004-07-11 2007-03-31 2008-09-20 2009-03-07 2010-07-17 2012-03-21. Author is listed
- NEP-FOR: Forecasting (6) 2007-03-31 2008-02-16 2008-09-20 2009-03-07 2010-04-11 2010-07-17. Author is listed
- NEP-MST: Market Microstructure (6) 2007-03-31 2008-02-16 2008-02-16 2008-09-20 2010-07-17 2012-03-21. Author is listed
- NEP-RMG: Risk Management (3) 2007-03-31 2008-09-20 2009-03-07
- NEP-CFN: Corporate Finance (1) 2014-04-18
- NEP-FIN: Finance (1) 2004-07-11
- NEP-FMK: Financial Markets (1) 2009-03-07
- NEP-ORE: Operations Research (1) 2012-03-21
- NEP-UPT: Utility Models and Prospect Theory (1) 2010-04-11
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