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
Intraday Correlations; Dynamic Dependencies; Asynchronicity; Microstructure Noise
Volatility Forecasting, High Frequency Data, Leverage Effect, Jumps, Fractional Brownian Motion, Multifactor Models
Realized Volatility, HAR, Measurement Errors, Nonlinear Time Series, Score Driven Models, Kalman Filter
High frequency data, Realized correlation, Stock-bond correlation, Tree-structured models, HAR, Regimes
financial innovation, leverage, diversification, endogenous risk, financial crises
volatility, forecasting, jumps, HAR
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
High frequency data, Realized covariance matrix, Market microstructure noise, Missing data, Kalman filter, EM algorithm, Maximum likelihood
Nonlinear filtering, Time-varying parameters, State-Space models, Stochastic volatility
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
High frequency data, realized volatility, market microstructure, bias correction
Structural vector autoregressive model, Identification, High-frequency data, Temporal aggregation, Heterogeneous VAR model.
asinchronicity, data augmentation, Gibbs sampler, missing observations, realized covariance
volatility, variance, estimators, efficiency, Wiener processes, homogeneous functions
price cojumps, Hawkes processes, systemic shocks, high frequency data
Structural vector autoregressive model, Identification, Independent component analysis, Pseudo maximum likelihood, Overdetermined ICA, Noisy ICA, Impulse response functions
Structural vector autoregressive model, Independent component analysis, Pseudo maximum likelihood, Singular vector autoregressive model
Weak diffusion limits, Score-driven models, Student-t, General error distribution
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
C13, C22, C51, C53, high-frequency data, long-memory models, realized volatility, volatility forecast
Finance, Realized Volatility, Realized Quarticity, GARCH, Normal Inverse