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

32

DOWNLOADS
Rank 2,954

SSRN RANKINGS

Top 2,954

in Total Papers Downloads

13,262

SSRN CITATIONS
Rank 6,966

SSRN RANKINGS

Top 6,966

in Total Papers Citations

62

CROSSREF CITATIONS

105

Scholarly Papers (32)

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 2,762 (4,711)
Citation 90

Abstract:

Loading...

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 1,405 (14,294)
Citation 14

Abstract:

Loading...

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 1,218 (17,754)
Citation 5

Abstract:

Loading...

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 994 (24,039)
Citation 4

Abstract:

Loading...

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 610 (47,145)
Citation 10

Abstract:

Loading...

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 571 (51,319)
Citation 13

Abstract:

Loading...

High Frequency, Realized Volatility, Option Pricing

7.

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

Number of pages: 31 Posted: 08 Feb 2017 Last Revised: 04 Mar 2020
University of Rome Tor Vergata, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 448 (69,480)
Citation 2

Abstract:

Loading...

Intraday Correlations; Dynamic Dependencies; Asynchronicity; Microstructure Noise

8.

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 428 (73,435)
Citation 18

Abstract:

Loading...

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

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 379 (84,652)

Abstract:

Loading...

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 362 (89,280)
Citation 23

Abstract:

Loading...

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 339 (96,185)
Citation 14

Abstract:

Loading...

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

12.

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

Number of pages: 53 Posted: 23 Mar 2017 Last Revised: 29 Jul 2019
Giuseppe Buccheri, Fulvio Corsi and Stefano Peluso
University of Rome Tor Vergata, University of Pisa - Department of Economics and University of Lugano and Swiss Finance Institute
Downloads 337 (96,794)

Abstract:

Loading...

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

13.

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 308 (106,869)
Citation 4

Abstract:

Loading...

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

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 306 (107,650)
Citation 1

Abstract:

Loading...

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

15.

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 306 (107,650)
Citation 1

Abstract:

Loading...

systemic risk, derivatives, credit default swap

16.

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 294 (112,394)

Abstract:

Loading...

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

17.

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 261 (127,484)
Citation 8

Abstract:

Loading...

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

18.

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 253 (131,613)
Citation 1

Abstract:

Loading...

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

19.

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 233 (142,742)
Citation 6

Abstract:

Loading...

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

20.

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 231 (143,955)
Citation 7

Abstract:

Loading...

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

21.

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
University of Rome Tor Vergata and University of Pisa - Department of Economics
Downloads 225 (147,678)
Citation 6

Abstract:

Loading...

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

22.

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 210 (157,574)
Citation 3

Abstract:

Loading...

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

23.

Homogeneous Volatility Bridge Estimators

Econometrics Journal, Vol. 10, pp. 1–25, 2010
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 171 (189,808)

Abstract:

Loading...

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

24.

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 159 (201,946)
Citation 13

Abstract:

Loading...

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

25.

Filtering and Smoothing with Score-Driven Models

Number of pages: 33 Posted: 14 Mar 2018 Last Revised: 02 Dec 2019
University of Rome Tor Vergata, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 143 (220,434)
Citation 1

Abstract:

Loading...

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

26.

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 118 (255,669)
Citation 5

Abstract:

Loading...

27.

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

Number of pages: 39 Posted: 08 Jan 2019 Last Revised: 15 Jun 2020
Scuola Normale Superiore, University of Rome Tor Vergata and University of Pisa - Department of Economics
Downloads 58 (391,792)

Abstract:

Loading...

Realized Covariance, Dynamic Dependencies, Covariance forecasting, Score-driven models, Portfolio construction

28.

The Continuous-Time Limit of Score-Driven Volatility Models

Number of pages: 44 Posted: 13 Jun 2019
University of Rome Tor Vergata, University of Pisa - Department of Economics, Scuola Normale Superiore and Scuola Normale Superiore
Downloads 47 (430,255)

Abstract:

Loading...

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

29.

Comment on: Price Discovery in High Resolution

Number of pages: 13 Posted: 06 Mar 2019 Last Revised: 12 Mar 2019
University of Rome Tor Vergata, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 44 (441,865)
Citation 2

Abstract:

Loading...

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

30.

Identification of Singular and Noisy Structural VAR Models: The Collapsing-ICA Approach

Number of pages: 39 Posted: 09 Jul 2019 Last Revised: 08 Jun 2020
Francesco Cordoni and Fulvio Corsi
Scuola Normale Superiore and University of Pisa - Department of Economics
Downloads 42 (449,938)

Abstract:

Loading...

Structural vector autoregressive model, Identification, Independent component analysis, Pseudo maximum likelihood, Overdetermined ICA, Noisy ICA, Impulse response functions

31.

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

Abstract:

Loading...

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

32.

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 (LMU) - Department of Statistics

Abstract:

Loading...

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