Fulvio Corsi

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List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

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

Research outcomes over time

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