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Details about Fulvio Corsi

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Workplace:Dipartimento di Economia (Department of Economics), Università Ca' Foscari Venezia (University Ca' Foscari Venice), (more information at EDIRC)

Access statistics for papers by Fulvio Corsi.

Last updated 2014-06-12. Update your information in the RePEc Author Service.

Short-id: pco762


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Working Papers

2014

  1. Smile from the Past: A general option pricing framework with multiple volatility and leverage components
    Papers, arXiv.org Downloads
    Also in Working Papers, Department of Economics, City University London (2013) Downloads

2013

  1. Modelling systemic price cojumps with Hawkes factor models
    Papers, arXiv.org Downloads View citations (6)

2012

  1. Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation
    Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science Downloads View citations (12)

2010

  1. 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, Department of Economics, University of St. Gallen Downloads
  2. Realizing Smiles: Pricing Options with Realized Volatility
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)
  3. Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy Downloads View citations (176)
    Also in Post-Print, HAL (2010) Downloads View citations (168)

    See also Journal Article in Journal of Econometrics (2010)

2009

  1. Homogeneous Volatility Bridge Estimators
    Papers, arXiv.org Downloads
  2. Volatility Forecasting: The Jumps Do Matter
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads View citations (3)
    Also in Department of Economics University of Siena, Department of Economics, University of Siena (2008) Downloads View citations (12)

2008

  1. Modeling Tick-by-Tick Realized Correlations
    University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen Downloads View citations (1)
    See also Journal Article in Computational Statistics & Data Analysis (2010)
  2. 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, Department of Economics, University of St. Gallen Downloads View citations (3)
    See also Journal Article in Journal of Financial Econometrics (2012)
  3. Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect
    Papers, arXiv.org Downloads

2007

  1. Realized Correlation Tick-by-Tick
    University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen Downloads View citations (9)

2005

  1. The volatility of realized volatility
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (15)
    See also Journal Article in Econometric Reviews (2008)

2004

  1. Consistent high-precision volatility from high-frequency data
    Finance, University Library of Munich, Germany Downloads View citations (21)

Journal Articles

2014

  1. Bridge homogeneous volatility estimators
    Quantitative Finance, 2014, 14, (1), 87-99 Downloads

2013

  1. Realizing smiles: Options pricing with realized volatility
    Journal of Financial Economics, 2013, 107, (2), 284-304 Downloads View citations (34)

2012

  1. Discrete sine transform for multi-scale realized volatility measures§
    Quantitative Finance, 2012, 12, (2), 263-279 Downloads View citations (5)
  2. Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling
    Journal of Business & Economic Statistics, 2012, 30, (3), 368-380 Downloads View citations (103)
  3. Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects
    Journal of Financial Econometrics, 2012, 10, (4), 591-616 Downloads View citations (7)
    See also Working Paper (2008)

2010

  1. Modeling tick-by-tick realized correlations
    Computational Statistics & Data Analysis, 2010, 54, (11), 2372-2382 Downloads View citations (19)
    See also Working Paper (2008)
  2. Threshold bipower variation and the impact of jumps on volatility forecasting
    Journal of Econometrics, 2010, 159, (2), 276-288 Downloads View citations (163)
    See also Working Paper (2010)

2009

  1. A Simple Approximate Long-Memory Model of Realized Volatility
    Journal of Financial Econometrics, 2009, 7, (2), 174-196 Downloads View citations (768)

2008

  1. The Volatility of Realized Volatility
    Econometric Reviews, 2008, 27, (1-3), 46-78 Downloads View citations (141)
    See also Working Paper (2005)
 
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