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Fulvio Corsi

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Personal Details

First Name: Fulvio
Middle Name:
Last Name: Corsi
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RePEc Short-ID: pco762

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Affiliation

Dipartimento di Economia
Università Ca' Foscari Venezia
Location: Venezia, Italy
Homepage: http://www.unive.it/dip.economia
Email:
Phone: +39-0412349621
Fax: +39-0412349176
Postal: Cannaregio, S. Giobbe no 873 , 30121 Venezia
Handle: RePEc:edi:dsvenit (more details at EDIRC)

Works

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Working papers

  1. Majewski, A. A. & Bormetti, G. & Corsi, F., 2013. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Working Papers 13/11, Department of Economics, City University London.
  2. Giacomo Bormetti & Lucio Maria Calcagnile & Michele Treccani & Fulvio Corsi & Stefano Marmi & Fabrizio Lillo, 2013. "Modelling systemic price cojumps with Hawkes factor models," Papers 1301.6141, arXiv.org, revised Mar 2013.
  3. Corsi, Fulvio & Peluso, Stefano & Audrino, Francesco, 2012. "Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation," Economics Working Paper Series 1202, University of St. Gallen, School of Economics and Political Science.
  4. Francesco Audrino & Fulvio Corsi & Kameliya Filipova, 2010. "Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators," University of St. Gallen Department of Economics working paper series 2010 2010-09, Department of Economics, University of St. Gallen.
  5. Fulvio Corsi & Davide Pirino & Roberto Renò, 2010. "Threshold bipower variation and the impact of jumps on volatility forecasting," Post-Print hal-00741630, HAL.
  6. Alexander Saichev & Didier Sornette & Vladimir Filimonov & Fulvio Corsi, 2009. "Homogeneous Volatility Bridge Estimators," Papers 0912.1617, arXiv.org.
  7. Fulvio CORSI & Nicola FUSARI & Davide LA VECCHIA, 2009. "Realizing Smiles: Pricing Options with Realized Volatility," Swiss Finance Institute Research Paper Series 10-05, Swiss Finance Institute, revised Jan 2010.
  8. Fulvio Corsi & Francesco Audrino, 2008. "Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects," University of St. Gallen Department of Economics working paper series 2008 2008-04, Department of Economics, University of St. Gallen.
  9. Simone Bianco & Fulvio Corsi & Roberto Reno', 2008. "Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect," Papers 0810.4912, arXiv.org.
  10. Fulvio Corsi & Davide Pirino & Roberto Renò, 2008. "Volatility forecasting: the jumps do matter," Department of Economics University of Siena 534, Department of Economics, University of Siena.
  11. Fulvio Corsi & Francesco Audrino, 2008. "Modeling Tick-by-Tick Realized Correlations," University of St. Gallen Department of Economics working paper series 2008 2008-05, Department of Economics, University of St. Gallen.
  12. Fulvio Corsi & Francesco Audrino, 2007. "Realized Correlation Tick-by-Tick," University of St. Gallen Department of Economics working paper series 2007 2007-02, Department of Economics, University of St. Gallen.
  13. Corsi, Fulvio & Kretschmer, Uta & Mittnik, Stefan & Pigorsch, Christian, 2005. "The volatility of realized volatility," CFS Working Paper Series 2005/33, Center for Financial Studies (CFS).
  14. Fulvio Corsi & Gilles Zumbach & Ulrich Müller & Michel Dacorogna, 2004. "Consistent high-precision volatility from high-frequency data," Finance 0407005, EconWPA.

Articles

  1. A. Saichev & D. Sornette & V. Filimonov & F. Corsi, 2014. "Bridge homogeneous volatility estimators," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 87-99, January.
  2. Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 284-304.
  3. Fulvio Corsi & Francesco Audrino, 2012. "Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(4), pages 591-616, September.
  4. Giuseppe Curci & Fulvio Corsi, 2012. "Discrete sine transform for multi-scale realized volatility measures�," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 263-279, April.
  5. Fulvio Corsi & Roberto Ren�, 2012. "Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 368-380, January.
  6. Corsi, Fulvio & Pirino, Davide & Renò, Roberto, 2010. "Threshold bipower variation and the impact of jumps on volatility forecasting," Journal of Econometrics, Elsevier, vol. 159(2), pages 276-288, December.
  7. Audrino, Francesco & Corsi, Fulvio, 2010. "Modeling tick-by-tick realized correlations," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2372-2382, November.
  8. Fulvio Corsi, 2009. "A Simple Approximate Long-Memory Model of Realized Volatility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 7(2), pages 174-196, Spring.
  9. Fulvio Corsi & Stefan Mittnik & Christian Pigorsch & Uta Pigorsch, 2008. "The Volatility of Realized Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 46-78.

NEP Fields

13 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2014-04-18
  2. NEP-ECM: Econometrics (8) 2007-03-31 2008-02-16 2008-02-16 2008-09-20 2009-03-07 2010-04-11 2010-07-17 2012-03-21. Author is listed
  3. NEP-ETS: Econometric Time Series (6) 2004-07-11 2007-03-31 2008-09-20 2009-03-07 2010-07-17 2012-03-21. Author is listed
  4. NEP-FIN: Finance (1) 2004-07-11
  5. NEP-FMK: Financial Markets (1) 2009-03-07
  6. NEP-FOR: Forecasting (6) 2007-03-31 2008-02-16 2008-09-20 2009-03-07 2010-04-11 2010-07-17. Author is listed
  7. NEP-MST: Market Microstructure (6) 2007-03-31 2008-02-16 2008-02-16 2008-09-20 2010-07-17 2012-03-21. Author is listed
  8. NEP-ORE: Operations Research (1) 2012-03-21
  9. NEP-RMG: Risk Management (4) 2007-03-31 2008-09-20 2009-03-07 2013-12-06. Author is listed
  10. NEP-UPT: Utility Models & Prospect Theory (1) 2010-04-11

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