Fulvio Corsi

University of Pisa - Department of Economics

via Ridolfi 10

I-56100 Pisa, PI 56100

Italy

http://people.unipi.it/fulvio_corsi/

City University London

Northampton Square

London, EC1V OHB

United Kingdom

SCHOLARLY PAPERS

31

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234

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Scholarly Papers (31)

1.

A Simple Long Memory Model of Realized Volatility

Number of pages: 27 Posted: 07 Dec 2004
Fulvio Corsi
University of Pisa - Department of Economics
Downloads 2,667 (4,343)

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Realized volatility, long memory, high-frequency data, volatility forecasting, HAR-RV model

2.

Efficient Estimation of Volatility Using High Frequency Data

Number of pages: 22 Posted: 16 Apr 2002
University of Applied Sciences Western Switzerland - Geneva School of Business Administration, University of Pisa - Department of Economics and Independent
Downloads 1,379 (13,001)

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volatility estimators, high-frequency data, incoherent price formation, daily volatility

3.

Consistent High-Precision Volatility from High-Frequency Data

EFMA 2001 Lugano Meetings; FCO Working Paper No. 2000-09-25
Number of pages: 19 Posted: 23 Feb 2001
University of Pisa - Department of Economics, University of Applied Sciences Western Switzerland - Geneva School of Business Administration, Olsen & Associates and DEAR-Consulting
Downloads 1,184 (16,469)

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Volatility estimator, high frequency realized volatility, incoherent prices formation, return autocorrelation, volatility bias

4.

Follow the Money: The Monetary Roots of Bubbles and Crashes

Swiss Finance Institute Research Paper No. 11-60
Number of pages: 32 Posted: 29 Nov 2011
Fulvio Corsi and Didier Sornette
University of Pisa - Department of Economics and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 965 (22,335)

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Minskian dynamics, financial bubbles, positive feedback, financial accelerator, generalized FTS-GARCH

5.

Realized Correlation Tick-By-Tick

University of St. Gallen, Department of Economics, Discussion Paper No. 2007-02
Number of pages: 32 Posted: 19 Jan 2007
Fulvio Corsi and Francesco Audrino
University of Pisa - Department of Economics and University of St. Gallen
Downloads 588 (44,252)

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High frequency data, Realized Correlation, Market Microstructure, Bias correction, HAR, Regimes

6.

Realizing Smiles: Options Pricing with Realized Volatility

Swiss Finance Institute Research Paper No. 10-05
Number of pages: 52 Posted: 03 Feb 2010 Last Revised: 22 Nov 2011
Fulvio Corsi, Nicola Fusari and Davide La Vecchia
University of Pisa - Department of Economics, Johns Hopkins University - Carey Business School and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 557 (47,441)

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High Frequency, Realized Volatility, Option Pricing

7.

Discrete-time Volatility Forecasting with Persistent Leverage Effect and the Link with Continuous-time Volatility Modeling

Number of pages: 34 Posted: 17 Dec 2008 Last Revised: 06 Apr 2010
Fulvio Corsi and Roberto Renò
University of Pisa - Department of Economics and University of Verona - Department of Economics
Downloads 409 (69,581)

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Volatility Forecasting, High Frequency Data, Leverage Effect, Jumps, Fractional Brownian Motion, Multifactor Models

8.

A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics

Number of pages: 30 Posted: 08 Feb 2017 Last Revised: 24 Mar 2019
Scuola Normale Superiore, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 398 (71,903)

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Intraday Correlations; Dynamic Dependencies; Asynchronicity; Microstructure Noise

9.

Modeling Tick-by-Tick Realized Correlations

University of St. Gallen Economics Discussion Paper No. 2008-05
Number of pages: 29 Posted: 18 Feb 2008 Last Revised: 27 Apr 2008
Francesco Audrino and Fulvio Corsi
University of St. Gallen and University of Pisa - Department of Economics
Downloads 370 (78,270)

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High frequency data, Realized correlation, Stock-bond correlation, Tree-structured models, HAR, Regimes

10.

Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting

Number of pages: 32 Posted: 02 Apr 2008 Last Revised: 06 Jul 2009
Fulvio Corsi, Davide Pirino and Roberto Renò
University of Pisa - Department of Economics, Department of Economics and Finance, University of Rome "Tor Vergata" and University of Verona - Department of Economics
Downloads 349 (83,746)

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volatility, forecasting, jumps, HAR

11.

When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification

Number of pages: 36 Posted: 13 Jun 2013
Fulvio Corsi, Stefano Marmi and Fabrizio Lillo
University of Pisa - Department of Economics, Scuola Normale Superiore and Università di Bologna
Downloads 327 (90,184)

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financial innovation, leverage, diversification, endogenous risk, financial crises

12.

Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects

University of St. Gallen Economics Discussion Paper No. 2008-04
Number of pages: 30 Posted: 18 Feb 2008
Francesco Audrino and Fulvio Corsi
University of St. Gallen and University of Pisa - Department of Economics
Downloads 304 (97,653)

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High frequency data, Realized covariance, Market microstructure, Bias correction

13.

Risk Allocation: The Double Face of Financial Derivatives

Number of pages: 22 Posted: 24 May 2011 Last Revised: 13 Jul 2011
Fulvio Corsi, Hykel Hosni and Stefano Marmi
University of Pisa - Department of Economics, University of Milan - Department of Philosophy and Scuola Normale Superiore
Downloads 303 (98,029)

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systemic risk, derivatives, credit default swap

14.

Term Structure of Variance Risk Premium and Returns' Predictability

Number of pages: 49 Posted: 18 Jun 2015 Last Revised: 22 Aug 2016
Giacomo Bormetti, Fulvio Corsi and Adam Majewski
University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Capital Fund Management
Downloads 275 (108,775)

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Component GARCH, variance risk premium, predictability, equity risk premium, term structure, option pricing

15.

A Stochastic Volatility Model with Realized Measures for Option Pricing

Number of pages: 86 Posted: 19 Jul 2016 Last Revised: 26 Mar 2019
University of Bologna - Department of Mathematics, University Ca' Foscari of Venice - Department of Economics, University of Pisa - Department of Economics and Scuola Normale Superiore
Downloads 255 (117,698)

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Bayesian Inference, Monte Carlo Markov Chain, High-frequency, Realized volatility, HARG, Stochastic volatility, Option pricing

16.

Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation

Number of pages: 32 Posted: 09 Feb 2012 Last Revised: 11 Sep 2013
Fulvio Corsi, Stefano Peluso and Francesco Audrino
University of Pisa - Department of Economics, University of Lugano and Swiss Finance Institute and University of St. Gallen
Downloads 250 (120,133)

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High frequency data, Realized covariance matrix, Market microstructure noise, Missing data, Kalman filter, EM algorithm, Maximum likelihood

17.

High-Frequency Lead-Lag Effects and Cross-Asset Linkages: a Multi-Asset Lagged Adjustment Model

Number of pages: 35 Posted: 23 Mar 2017 Last Revised: 19 Apr 2018
Giuseppe Buccheri, Fulvio Corsi and Stefano Peluso
Scuola Normale Superiore, University of Pisa - Department of Economics and University of Lugano and Swiss Finance Institute
Downloads 242 (124,117)

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price discovery, microstructure noise, asynchronicity, quadratic covariation, Kalman filter, Granger causality

18.

Discrete Sine Transform for Multi-Scales Realized Volatility Measures

Number of pages: 28 Posted: 19 Jan 2005
Giuseppe Curci and Fulvio Corsi
Universita di Pisa - Department of Physics and University of Pisa - Department of Economics
Downloads 224 (134,064)

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High frequency data, realized volatility, market microstructure, bias correction

19.

Measuring the Propagation of Financial Distress with Granger-Causality Tail Risk Networks

Number of pages: 34 Posted: 10 Mar 2015 Last Revised: 02 Mar 2018
University of Pisa - Department of Economics, Università di Bologna, Department of Economics and Finance, University of Rome "Tor Vergata" and Catholic University of Milan
Downloads 215 (139,422)

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flight-to-quality, sovereign debt crisis, systemic risk, Granger causality, illiquidity, fire sales, bi-partite networks

20.

A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing

Number of pages: 46 Posted: 17 Jul 2015 Last Revised: 10 Mar 2019
Scuola Normale Superiore, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Capital Fund Management
Downloads 211 (141,981)

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High-frequency, Realized volatility, HARG, Option pricing, Variance risk premium, Jumps

21.

A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns

Number of pages: 46 Posted: 20 Feb 2012 Last Revised: 21 May 2014
Stefano Peluso, Fulvio Corsi and Antonietta Mira
University of Lugano and Swiss Finance Institute, University of Pisa - Department of Economics and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 205 (145,807)

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asinchronicity, data augmentation, Gibbs sampler, missing observations, realized covariance

22.

Homogeneous Volatility Bridge Estimators

Econometrics Journal, Vol. 10, pp. 1–25, 2010, Swiss Finance Institute Research Paper No. 09-46
Number of pages: 28 Posted: 20 Dec 2009
ETH Zurich - D-MTEC (Deceased), ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), Swiss Federal Institute of Technology Zurich (ETH Zurich) and University of Pisa - Department of Economics
Downloads 165 (177,369)

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volatility, variance, estimators, efficiency, Wiener processes, homogeneous functions

23.

Modelling Systemic Price Cojumps with Hawkes Factor Models

Number of pages: 30 Posted: 31 Jan 2013 Last Revised: 12 Mar 2013
University of Bologna - Department of Mathematics, Scuola Normale Superiore, List Group, University of Pisa - Department of Economics, Scuola Normale Superiore and Università di Bologna
Downloads 149 (193,283)

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price cojumps, Hawkes processes, systemic shocks, high frequency data

24.

Hark the Shark: Realized Volatility Modelling with Measurement Errors and Nonlinear Dependencies

Number of pages: 41 Posted: 20 Dec 2017 Last Revised: 02 Jun 2019
Giuseppe Buccheri and Fulvio Corsi
Scuola Normale Superiore and University of Pisa - Department of Economics
Downloads 117 (235,022)

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Realized Volatility, HAR, Measurement Errors, Nonlinear Time Series, Score Driven Models, Kalman Filter

25.

Smile from the Past: A General Option Pricing Framework with Multiple Volatility and Leverage Components

Number of pages: 33 Posted: 28 Sep 2013 Last Revised: 14 Apr 2014
Adam Majewski, Giacomo Bormetti and Fulvio Corsi
Capital Fund Management, University of Bologna - Department of Mathematics and University of Pisa - Department of Economics
Downloads 109 (245,714)

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26.

A General Class of Score-Driven Smoothers

Number of pages: 37 Posted: 14 Mar 2018 Last Revised: 26 Sep 2018
Scuola Normale Superiore, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 108 (250,495)

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Score-driven models, Smoothing, Kalman filter, State-Space models, Filtering uncertainty

27.

Comment on: Price Discovery in High Resolution

Number of pages: 13 Posted: 06 Mar 2019 Last Revised: 12 Mar 2019
Scuola Normale Superiore, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 28 (468,757)

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High-resolution, High-frequency trading, Information share, HAR, Lagged-adjustment

28.

A DCC-Type Approach for Realized Covariance Modelling With Score-Driven Dynamics

Number of pages: 25 Posted: 08 Jan 2019 Last Revised: 26 Apr 2019
Scuola Normale Superiore, Scuola Normale Superiore and University of Pisa - Department of Economics
Downloads 21 (506,735)

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Realized Covariance, Dynamic Dependencies, Forecasting, Score-driven models

29.

The Continuous-Time Limit of Score-Driven Volatility Models

Number of pages: 44 Posted: 13 Jun 2019
Scuola Normale Superiore, University of Pisa - Department of Economics, Scuola Normale Superiore and Scuola Normale Superiore
Downloads 20 (523,979)

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Weak diffusion limits, Score-driven models, Student-t, General error distribution

30.

A Simple Approximate Long-Memory Model of Realized Volatility

Journal of Financial Econometrics, Vol. 7, Issue 2, pp. 174-196, 2009
Posted: 23 Mar 2009
Fulvio Corsi
University of Pisa - Department of Economics

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C13, C22, C51, C53, high-frequency data, long-memory models, realized volatility, volatility forecast

31.

The Volatility of Realized Volatility

CFS Working Paper No. 2005/33
Posted: 07 Jun 2006
University of Pisa - Department of Economics, University of Bonn, Department of Economics, University of Kiel - Institute of Statistics & Econometrics and Ludwig Maximilian University of Munich - Department of Statistics

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Finance, Realized Volatility, Realized Quarticity, GARCH, Normal Inverse