Details about Fulvio Corsi
Access statistics for papers by Fulvio Corsi.
Last updated 2026-06-10. Update your information in the RePEc Author Service.
Short-id: pco762
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Working Papers
2024
- From rotational to scalar invariance: Enhancing identifiability in score-driven factor models
Papers, arXiv.org 
- Generalized Optimization Algorithms for Complex Objective Functions
LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy
2022
- A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters
Papers, arXiv.org
2019
- A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics
Papers, arXiv.org
See also Journal Article A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics, Journal of Business & Economic Statistics, Taylor & Francis Journals (2021) View citations (16) (2021)
2016
- Entropy and efficiency of the ETF market
Papers, arXiv.org
See also Journal Article Entropy and Efficiency of the ETF Market, Computational Economics, Springer (2020) View citations (6) (2020)
2014
- Smile from the Past: A general option pricing framework with multiple volatility and leverage components
Papers, arXiv.org
Also in Working Papers, Department of Economics, City St George's, University of London (2013)
See also Journal Article Smile from the past: A general option pricing framework with multiple volatility and leverage components, Journal of Econometrics, Elsevier (2015) View citations (44) (2015)
2013
- Modelling systemic price cojumps with Hawkes factor models
Papers, arXiv.org View citations (6)
See also Journal Article Modelling systemic price cojumps with Hawkes factor models, Quantitative Finance, Taylor & Francis Journals (2015) View citations (41) (2015)
2012
- 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)
See also Journal Article Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (21) (2015)
2011
- Follow the money: The monetary roots of bubbles and crashes
Swiss Finance Institute Research Paper Series, Swiss Finance Institute
Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2011)
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, Department of Economics, University of St. Gallen
See also Journal Article Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators, Econometric Reviews, Taylor & Francis Journals (2016) View citations (1) (2016)
- Realizing Smiles: Pricing Options with Realized Volatility
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)
- 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 (345)
Also in Post-Print, HAL (2010) View citations (317)
See also Journal Article Threshold bipower variation and the impact of jumps on volatility forecasting, Journal of Econometrics, Elsevier (2010) View citations (313) (2010)
2009
- Homogeneous Volatility Bridge Estimators
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
Also in Papers, arXiv.org (2009) View citations (1)
- 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
- 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)
- 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)
- Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect
Papers, arXiv.org
2007
- 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 (14)
2005
- The volatility of realized volatility
CFS Working Paper Series, Center for Financial Studies (CFS) View citations (24)
See also Journal Article The Volatility of Realized Volatility, Econometric Reviews, Taylor & Francis Journals (2008) View citations (262) (2008)
2004
- Consistent high-precision volatility from high-frequency data
Finance, University Library of Munich, Germany View citations (22)
See also Journal Article Consistent High-precision Volatility from High-frequency Data, Economic Notes, Banca Monte dei Paschi di Siena SpA (2001) View citations (36) (2001)
Journal Articles
2025
- SVAR identification with nowcasted macroeconomic data
Journal of Economic Dynamics and Control, 2025, 179, (C)
2021
- A DCC-type approach for realized covariance modeling with score-driven dynamics
International Journal of Forecasting, 2021, 37, (2), 569-586 View citations (7)
- A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics
Journal of Business & Economic Statistics, 2021, 39, (4), 920-936 View citations (16)
See also Working Paper A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics, Papers (2019) (2019)
- Comment on: Price Discovery in High Resolution
Journal of Financial Econometrics, 2021, 19, (3), 439-451 View citations (4)
- HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies*
Journal of Financial Econometrics, 2021, 19, (4), 614-649 View citations (7)
- High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model
Journal of Business & Economic Statistics, 2021, 39, (3), 605-621 View citations (6)
- The continuous-time limit of score-driven volatility models
Journal of Econometrics, 2021, 221, (2), 655-675 View citations (4)
2020
- A Stochastic Volatility Model With Realized Measures for Option Pricing
Journal of Business & Economic Statistics, 2020, 38, (4), 856-871 View citations (9)
- Entropy and Efficiency of the ETF Market
Computational Economics, 2020, 55, (1), 143-184 View citations (6)
See also Working Paper Entropy and efficiency of the ETF market, Papers (2016) (2016)
2019
- A realized volatility approach to option pricing with continuous and jump variance components
Decisions in Economics and Finance, 2019, 42, (2), 639-664 View citations (5)
2018
- Measuring the propagation of financial distress with Granger-causality tail risk networks
Journal of Financial Stability, 2018, 38, (C), 18-36 View citations (53)
2016
- Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators
Econometric Reviews, 2016, 35, (2), 232-256 View citations (1)
See also Working Paper 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) (2010)
- When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification
Operations Research, 2016, 64, (5), 1073-1088 View citations (35)
2015
- A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns
Journal of Financial Econometrics, 2015, 13, (3), 665-697 View citations (1)
- Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation
Journal of Applied Econometrics, 2015, 30, (3), 377-397 View citations (21)
See also Working Paper Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation, Economics Working Paper Series (2012) View citations (13) (2012)
- Modelling systemic price cojumps with Hawkes factor models
Quantitative Finance, 2015, 15, (7), 1137-1156 View citations (41)
See also Working Paper Modelling systemic price cojumps with Hawkes factor models, Papers (2013) View citations (6) (2013)
- Smile from the past: A general option pricing framework with multiple volatility and leverage components
Journal of Econometrics, 2015, 187, (2), 521-531 View citations (44)
See also Working Paper Smile from the Past: A general option pricing framework with multiple volatility and leverage components, Papers (2014) (2014)
2014
- Bridge homogeneous volatility estimators
Quantitative Finance, 2014, 14, (1), 87-99
2013
- Realizing smiles: Options pricing with realized volatility
Journal of Financial Economics, 2013, 107, (2), 284-304 View citations (83)
2012
- Discrete sine transform for multi-scale realized volatility measures§
Quantitative Finance, 2012, 12, (2), 263-279 View citations (7)
- 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 (210)
- 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
- 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)
- Threshold bipower variation and the impact of jumps on volatility forecasting
Journal of Econometrics, 2010, 159, (2), 276-288 View citations (313)
See also Working Paper Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting, LEM Papers Series (2010) View citations (345) (2010)
2009
- A Simple Approximate Long-Memory Model of Realized Volatility
Journal of Financial Econometrics, 2009, 7, (2), 174-196 View citations (1454)
2008
- The Volatility of Realized Volatility
Econometric Reviews, 2008, 27, (1-3), 46-78 View citations (262)
See also Working Paper The volatility of realized volatility, CFS Working Paper Series (2005) View citations (24) (2005)
2001
- Consistent High-precision Volatility from High-frequency Data
Economic Notes, 2001, 30, (2), 183-204 View citations (36)
See also Working Paper Consistent high-precision volatility from high-frequency data, Finance (2004) View citations (22) (2004)
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