Fulvio Corsi

Available identifiers

Publication	Date of Publication	Type
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling	2025-01-20	Paper
A Stochastic Volatility Model With Realized Measures for Option Pricing	2024-10-28	Paper
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics	2024-10-11	Paper
High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model	2024-10-11	Paper
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators	2022-06-07	Paper
The continuous-time limit of score-driven volatility models	2021-03-24	Paper
A realized volatility approach to option pricing with continuous and jump variance components	2020-01-31	Paper
Modelling systemic price cojumps with Hawkes factor models	2018-09-19	Paper
When micro prudence increases macro risk: the destabilizing effects of financial innovation, leverage, and diversification	2016-12-20	Paper
Threshold bipower variation and the impact of jumps on volatility forecasting	2016-08-10	Paper
Smile from the past: a general option pricing framework with multiple volatility and leverage components	2015-06-08	Paper
Modeling tick-by-tick realized correlations	2014-04-14	Paper
Discrete sine transform for multi-scale realized volatility measures	2012-06-26	Paper
The Volatility of Realized Volatility	2008-11-19	Paper

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