Details about Fulvio Corsi

Access statistics for papers by Fulvio Corsi.

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

Short-id: pco762

Working Papers

2014

1. Smile from the Past: A general option pricing framework with multiple volatility and leverage components
   Papers, arXiv.org

2013

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

2012

3. 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 View citations (13)

2010

4. 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
5. Realizing Smiles: Pricing Options with Realized Volatility
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)
6. 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 View citations (311)
   Also in Post-Print, HAL (2010) View citations (283)
   See also Journal Article Threshold bipower variation and the impact of jumps on volatility forecasting, Journal of Econometrics, Elsevier (2010) View citations (279) (2010)

2009

7. Homogeneous Volatility Bridge Estimators
   Papers, arXiv.org View citations (1)
8. Volatility Forecasting: The Jumps Do Matter
   Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (4)
   Also in Department of Economics University of Siena, Department of Economics, University of Siena (2008) View citations (17)

2008

9. Modeling Tick-by-Tick Realized Correlations
   University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen View citations (1)
   See also Journal Article Modeling tick-by-tick realized correlations, Computational Statistics & Data Analysis, Elsevier (2010) View citations (26) (2010)
10. 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 View citations (4)
    See also Journal Article Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects, Journal of Financial Econometrics, Oxford University Press (2012) View citations (10) (2012)
11. Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect
    Papers, arXiv.org

2007

12. Realized Correlation Tick-by-Tick
    University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen View citations (13)

2005

13. The volatility of realized volatility
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (23)
    See also Journal Article The Volatility of Realized Volatility, Econometric Reviews, Taylor & Francis Journals (2008) View citations (241) (2008)

2004

14. Consistent high-precision volatility from high-frequency data
    Finance, University Library of Munich, Germany View citations (22)

Journal Articles

2014

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

2013

2. Realizing smiles: Options pricing with realized volatility
   Journal of Financial Economics, 2013, 107, (2), 284-304 View citations (75)

2012

3. Discrete sine transform for multi-scale realized volatility measures§
   Quantitative Finance, 2012, 12, (2), 263-279 View citations (7)
4. 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 View citations (187)
5. Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects
   Journal of Financial Econometrics, 2012, 10, (4), 591-616 View citations (10)
   See also Working Paper 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) View citations (4) (2008)

2010

6. Modeling tick-by-tick realized correlations
   Computational Statistics & Data Analysis, 2010, 54, (11), 2372-2382 View citations (26)
   See also Working Paper Modeling Tick-by-Tick Realized Correlations, University of St. Gallen Department of Economics working paper series 2008 (2008) View citations (1) (2008)
7. Threshold bipower variation and the impact of jumps on volatility forecasting
   Journal of Econometrics, 2010, 159, (2), 276-288 View citations (279)
   See also Working Paper Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting, LEM Papers Series (2010) View citations (311) (2010)

2009

8. A Simple Approximate Long-Memory Model of Realized Volatility
   Journal of Financial Econometrics, 2009, 7, (2), 174-196 View citations (1298)

2008

9. The Volatility of Realized Volatility
   Econometric Reviews, 2008, 27, (1-3), 46-78 View citations (241)
   See also Working Paper The volatility of realized volatility, CFS Working Paper Series (2005) View citations (23) (2005)