via Ridolfi 10
I-56100 Pisa, PI 56100
Italy
http://people.unipi.it/fulvio_corsi/
University of Pisa - Department of Economics
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Realized volatility, long memory, high-frequency data, volatility forecasting, HAR-RV model
volatility estimators, high-frequency data, incoherent price formation, daily volatility
Volatility estimator, high frequency realized volatility, incoherent prices formation, return autocorrelation, volatility bias
Minskian dynamics, financial bubbles, positive feedback, financial accelerator, generalized FTS-GARCH
price discovery, microstructure noise, asynchronicity, quadratic covariation, Granger causality
High frequency data, Realized Correlation, Market Microstructure, Bias correction, HAR, Regimes
High Frequency, Realized Volatility, Option Pricing
Volatility Forecasting, High Frequency Data, Leverage Effect, Jumps, Fractional Brownian Motion, Multifactor Models
Intraday Correlations; Dynamic Dependencies; Asynchronicity; Microstructure Noise
Realized Volatility, HAR, Measurement Errors, Nonlinear Time Series, Score Driven Models, Kalman Filter
volatility, forecasting, jumps, HAR
financial innovation, leverage, diversification, endogenous risk, financial crises
High frequency data, Realized correlation, Stock-bond correlation, Tree-structured models, HAR, Regimes
Component GARCH, variance risk premium, predictability, equity risk premium, term structure, option pricing
Bayesian Inference, Monte Carlo Markov Chain, High-frequency, Realized volatility, HARG, Stochastic volatility, Option pricing
Nonlinear filtering, time-varying parameters, stochastic volatility, dynamic correlations
High frequency data, Realized covariance matrix, Market microstructure noise, Missing data, Kalman filter, EM algorithm, Maximum likelihood
Structural vector autoregressive model, Identification, Temporal aggregation, Nowcasting
systemic risk, derivatives, credit default swap
High frequency data, Realized covariance, Market microstructure, Bias correction
High-frequency, Realized volatility, HARG, Option pricing, Variance risk premium, Jumps
flight-to-quality, sovereign debt crisis, systemic risk, Granger causality, illiquidity, fire sales, bi-partite networks
asinchronicity, data augmentation, Gibbs sampler, missing observations, realized covariance
High frequency data, realized volatility, market microstructure, bias correction
volatility, variance, estimators, efficiency, Wiener processes, homogeneous functions
price cojumps, Hawkes processes, systemic shocks, high frequency data
Weak diffusion limits, Score-driven models, Student-t, General error distribution
Structural vector autoregressive model, Identification, Independent component analysis, Pseudo maximum likelihood, Overdetermined ICA, Noisy ICA, Impulse response functions
Realized Covariance, Dynamic Dependencies, Covariance forecasting, Score-driven models, Portfolio construction
Time-varying VAR models, Independent Component Analysis, Score-driven models
High-resolution, High-frequency trading, Information share, HAR, Lagged-adjustment
Structural vector autoregressive model, Identification, Nowcasting, Temporal aggregation
Identification, Factor Models, Score-driven Models, Forecasting
Nonparametric regression, Model selection, Empirical Risk, Minimum Spanning Tree, Machine Learning
C13, C22, C51, C53, high-frequency data, long-memory models, realized volatility, volatility forecast
Finance, Realized Volatility, Realized Quarticity, GARCH, Normal Inverse
