← All authors Fulvio Corsi University of Pisa (from arXiv:2412.01367, 2024) · ORCID · OpenAlex
32 papers in scope · 30 published · 2 on the econ.EM arXiv · 4,862 citations · h-index 19 (over the papers listed here)
Papers (2 of 32)
SVAR identification with nowcasted macroeconomic data
published 2025 · Journal of Economic Dynamics and Control · first circulated 2024
working paper 2024 · arXiv
working paper 2021 · arXiv
The continuous-time limit of score-driven volatility models
published 2020 · Journal of Econometrics · 7 citations · first circulated 2019
A DCC-type approach for realized covariance modeling with score-driven dynamics
published 2020 · International Journal of Forecasting · 16 citations · first circulated 2018
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics
published 2020 · Journal of Business and Economic Statistics · 50 citations · first circulated 2018
High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model
published 2019 · Journal of Business and Economic Statistics · 31 citations
HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies
published 2019 · Journal of Financial Econometrics · 40 citations · first circulated 2017
A Stochastic Volatility Model With Realized Measures for Option Pricing
published 2019 · Journal of Business and Economic Statistics · 19 citations
A realized volatility approach to option pricing with continuous and jump variance components
published 2019 · Decisions in Economics and Finance · 6 citations
Comment on: Price Discovery in High Resolution
published 2019 · Journal of Financial Econometrics · 15 citations
Entropy and Efficiency of the ETF Market
published 2019 · Computational Economics · 12 citations · first circulated 2016
A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing*
published 2019 · Journal of Financial Econometrics · 14 citations · first circulated 2015
Measuring the propagation of financial distress with Granger-causality tail risk networks
published 2018 · Journal of Financial Stability · 95 citations
When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification
published 2016 · Operations Research · 68 citations · first circulated 2013
Modelling systemic price cojumps with Hawkes factor models
published 2015 · Quantitative Finance · 73 citations · first circulated 2013
Smile from the past: A general option pricing framework with multiple volatility and leverage components
published 2015 · Journal of Econometrics · 61 citations · first circulated 2013
A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns
published 2014 · Journal of Financial Econometrics · 23 citations · first circulated 2012
with Stefano Peluso, Antonietta Mira
Follow the money: The monetary roots of bubbles and crashes
published 2014 · International Review of Financial Analysis · 39 citations · first circulated 2011
Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation
published 2014 · Journal of Applied Econometrics · 55 citations · first circulated 2012
Bridge homogeneous volatility estimators
published 2013 · Quantitative Finance · 4 citations · first circulated 2009
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators
published 2013 · Econometric Reviews · 4 citations · first circulated 2010
Realizing smiles: Options pricing with realized volatility
published 2012 · Journal of Financial Economics · 136 citations · first circulated 2010
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling
published 2012 · Journal of Business and Economic Statistics · 340 citations · first circulated 2010
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects
published 2012 · Journal of Financial Econometrics · 15 citations · first circulated 2008
Discrete sine transform for multi-scale realized volatility measures
published 2010 · Quantitative Finance · 35 citations · first circulated 2006
with Giuseppe Curci
Threshold bipower variation and the impact of jumps on volatility forecasting
published 2010 · Journal of Econometrics · 548 citations · first circulated 2008
Modeling tick-by-tick realized correlations
published 2009 · Computational Statistics & Data Analysis · 43 citations · first circulated 2008
Intraday LeBaron effects
published 2009 · Proceedings of the National Academy of Sciences · 17 citations
A Simple Approximate Long-Memory Model of Realized Volatility
published 2008 · Journal of Financial Econometrics · 2543 citations · first circulated 2004
The Volatility of Realized Volatility
published 2008 · Econometric Reviews · 422 citations · first circulated 2005
with Stefan Mittnik, Christian Pigorsch, Uta Pigorsch, Uta Kretschmer
Consistent High‐precision Volatility from High‐frequency Data
published 2001 · Economic Notes · 131 citations
with Gilles Zumbach, Ulrich Müller, Michel M. Dacorogna
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).