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Publications

by alumni of

Universitá della Svizzera Italiana (USI) → Facoltá di scienze economiche

University of Lugano → Faculty of Economics

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Chapters |

Working papers

2024

  1. Giuseppe Buccheri & Fulvio Corsi & Emilija Dzuverovic, 2024, "From rotational to scalar invariance: Enhancing identifiability in score-driven factor models," Papers, arXiv.org, number 2412.01367, Dec.
  2. Mario Martinoli & Raffaello Seri & Fulvio Corsi, 2024, "Generalized Optimization Algorithms for Complex Objective Functions," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2024/18, Jul.

2023

  1. Desogus, Marco & Venturi, Beatrice, 2023, "Stability and Bifurcations in Banks and Small Enterprises—A Three-Dimensional Continuous-Time Dynamical System," MPRA Paper, University Library of Munich, Germany, number 116598, Mar.

2022

  1. Desogus, Marco & Conversano, Claudio & Pili, Ambrogio & Venturi, Beatrice, 2022, "Fractal analysis of Dow Jones Industrial Index returns," MPRA Paper, University Library of Munich, Germany, number 114923.
  2. Desogus, Marco & Casu, Elisa, 2022, "Chaos, granularity, and instability in economic systems of countries with emerging market economies: relationships between GDP growth rate and increasing internal inequality," MPRA Paper, University Library of Munich, Germany, number 115744, revised 2022.

2021

  1. Giacomo Bormetti & Fulvio Corsi, 2021, "A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters," Papers, arXiv.org, number 2107.05263, Jul, revised Feb 2022.
  2. Desogus, Marco & Casu, Elisa, 2021, "Economic System Entanglement on Intra-Firm Trade Portfolios: The Impact of Counterparty Credit Ratings on Business-to-Business Credit Dynamics," MPRA Paper, University Library of Munich, Germany, number 114364.
  3. Desogus, Marco & Casu, Elisa, 2021, "A survey on macroeconomic data and trends in the Eurozone and a control dashboard model based on the KAM and Nekhoroshev theorems and the Hénon attractor," MPRA Paper, University Library of Munich, Germany, number 114366.

2020

  1. Desogus, Marco & Casu, Elisa, 2020, "What Are the Impacts of Credit Crunch on the Bank-Enterprise System? An Analysis Through Dynamic Modeling and an Italian Dataset," MPRA Paper, University Library of Munich, Germany, number 114349.
  2. Desogus, Marco, 2020, "The stochastic dynamics of business evaluations using Markov models," MPRA Paper, University Library of Munich, Germany, number 114361.
  3. Desogus, Marco & Casu, Elisa, 2020, "On the Monetary Causes of Inequality: A Review of the Literature and an Alternate Way Forward," MPRA Paper, University Library of Munich, Germany, number 114362.
  4. Desogus, Marco & Casu, Elisa, 2020, "A Contribution on Relationship Banking. Economic, Anthropological and Mathematical Reasoning, Empirical Evidence from Italy," MPRA Paper, University Library of Munich, Germany, number 114365.
  5. Desogus, Marco, 2020, "Understanding bank money through a quantum macroeconomic theory of credit. Some theoretical considerations on microcredit," MPRA Paper, University Library of Munich, Germany, number 114367.

2019

  1. Desogus, Marco & Casu, Elisa, 2019, "A diagnostic approach to corporate sustainability based on normalized net margins and extended present value," MPRA Paper, University Library of Munich, Germany, number 114363.
  2. Desogus, Marco & Venturi, Beatrice, 2019, "Bank Crashes and Micro Enterprise Loans," MPRA Paper, University Library of Munich, Germany, number 114469.

2018

  1. Giuseppe Buccheri & Giacomo Bormetti & Fulvio Corsi & Fabrizio Lillo, 2018, "A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics," Papers, arXiv.org, number 1803.04894, Mar, revised Mar 2019.

2016

  1. Lucio Maria Calcagnile & Fulvio Corsi & Stefano Marmi, 2016, "Entropy and efficiency of the ETF market," Papers, arXiv.org, number 1609.04199, Sep.

2014

  1. Adam Aleksander Majewski & Giacomo Bormetti & Fulvio Corsi, 2014, "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Papers, arXiv.org, number 1404.3555, Apr.

2013

  1. Giacomo Bormetti & Lucio Maria Calcagnile & Michele Treccani & Fulvio Corsi & Stefano Marmi & Fabrizio Lillo, 2013, "Modelling systemic price cojumps with Hawkes factor models," Papers, arXiv.org, number 1301.6141, Jan, revised Mar 2013.

2012

  1. Corsi, Fulvio & Peluso, Stefano & Audrino, Francesco, 2012, "Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1202, Jan.

2011

  1. Fulvio CORSI & Didier SORNETTE, 2011, "Follow the money: The monetary roots of bubbles and crashes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-60, Nov.

2010

  1. Fulvio CORSI & Nicola FUSARI & Davide LA VECCHIA, 2010, "Realizing Smiles: Pricing Options with Realized Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-05, Jan, revised Jan 2010.
  2. Fulvio Corsi & Davide Pirino & Roberto Renò, 2010, "Threshold bipower variation and the impact of jumps on volatility forecasting," Post-Print, HAL, number hal-00741630, Oct, DOI: 10.1016/j.jeconom.2010.07.008.
  3. 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, Department of Economics, University of St. Gallen, number 2010-09, Mar.

2009

  1. Alexander Saichev & Didier Sornette & Vladimir Filimonov & Fulvio Corsi, 2009, "Homogeneous Volatility Bridge Estimators," Papers, arXiv.org, number 0912.1617, Dec.
  2. Fulvio Corsi & Davide Pirino & Roberto Reno, 2009, "Volatility Forecasting: The Jumps Do Matter," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-036, Mar.

2008

  1. Simone Bianco & Fulvio Corsi & Roberto Reno', 2008, "Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect," Papers, arXiv.org, number 0810.4912, Oct.
  2. 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, Department of Economics, University of St. Gallen, number 2008-04, Jan.
  3. Fulvio Corsi & Francesco Audrino, 2008, "Modeling Tick-by-Tick Realized Correlations," University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen, number 2008-05, Jan.

2007

  1. Fulvio Corsi & Francesco Audrino, 2007, "Realized Correlation Tick-by-Tick," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen, number 2007-02, Jan.

2005

  1. Corsi, Fulvio & Kretschmer, Uta & Mittnik, Stefan & Pigorsch, Christian, 2005, "The volatility of realized volatility," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/33.

2004

  1. Fulvio Corsi & Gilles Zumbach & Ulrich Müller & Michel Dacorogna, 2004, "Consistent high-precision volatility from high-frequency data," Finance, University Library of Munich, Germany, number 0407005, Jul.

Journal articles

2026

  1. Bartesaghi, Paolo & Beretta, Edoardo & Desogus, Marco & Korn, Ralf, 2026, "Cash or card – combat or coexistence? A non-cooperative differential game approach," Finance Research Letters, Elsevier, volume 92, issue C, DOI: 10.1016/j.frl.2026.109582.

2025

  1. Corsi, Fulvio & Longo, Luigi & Cordoni, Francesco, 2025, "SVAR identification with nowcasted macroeconomic data," Journal of Economic Dynamics and Control, Elsevier, volume 179, issue C, DOI: 10.1016/j.jedc.2025.105176.
  2. Mokhtari, MohammadAli & Ghoddusi, Hamed, 2025, "Fueling inequality: A novel estimate from large-scale reforms," Journal of Environmental Economics and Management, Elsevier, volume 134, issue C, DOI: 10.1016/j.jeem.2025.103240.

2024

  1. Edoardo Beretta & Aurelio F. Bariviera & Marco Desogus & Costanza Naguib & Sergio Rossi, 2024, "Productivity and Keynes’s 15-Hour Work Week Prediction for 2030: An Alternative, Macroeconomic Analysis for the United States," JRFM, MDPI, volume 17, issue 7, pages 1-30, July.
  2. Marco Desogus & Enrico Sergi & Stefano Zedda, 2024, "The Role of Credit Consortia in the Financial Structure of Sardinian Companies During the SARS-CoV-2 Crisis," Risks, MDPI, volume 12, issue 12, pages 1-29, November.
  3. Desogus, Marco & Casu, Elisa, 2024, "Contagion and interdependencies between BRICS-plus Countries on the Markets of Commodities and Derivative Financial Instruments," Journal of Business and Social Review in Emerging Economies, CSRC Publishing, Center for Sustainability Research and Consultancy Pakistan, volume 10, issue 2, pages 269-288, June, DOI: http://doi.org/10.26710/jbsee.v10i2.

2023

  1. Marco Desogus & Beatrice Venturi, 2023, "Stability and Bifurcations in Banks and Small Enterprises—A Three-Dimensional Continuous-Time Dynamical System," JRFM, MDPI, volume 16, issue 3, pages 1-20, March.
  2. Edoardo Beretta & Marco Desogus & Soorjith Illickal Karthikeyan, 2023, "The effect of reducing wages of remote workers on society. A preliminary assessment," PSL Quarterly Review, Economia civile, volume 76, issue 307, pages 373-392.
  3. Mokhtari, MohammadAli, 2023, "Opioids ease my pain: Early-life malnutrition and elderly outcomes," Social Science & Medicine, Elsevier, volume 327, issue C, DOI: 10.1016/j.socscimed.2023.115940.

2021

  1. Buccheri, Giuseppe & Corsi, Fulvio & Flandoli, Franco & Livieri, Giulia, 2021, "The continuous-time limit of score-driven volatility models," Journal of Econometrics, Elsevier, volume 221, issue 2, pages 655-675, DOI: 10.1016/j.jeconom.2020.07.042.
  2. Vassallo, Danilo & Buccheri, Giuseppe & Corsi, Fulvio, 2021, "A DCC-type approach for realized covariance modeling with score-driven dynamics," International Journal of Forecasting, Elsevier, volume 37, issue 2, pages 569-586, DOI: 10.1016/j.ijforecast.2020.07.006.
  3. Giuseppe Buccheri & Giacomo Bormetti & Fulvio Corsi & Fabrizio Lillo, 2021, "Comment on: Price Discovery in High Resolution," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 3, pages 439-451.
  4. Giuseppe Buccheri & Fulvio Corsi, 2021, "HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 4, pages 614-649.
  5. Giuseppe Buccheri & Fulvio Corsi & Stefano Peluso, 2021, "High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 39, issue 3, pages 605-621, July, DOI: 10.1080/07350015.2019.1697699.
  6. Giuseppe Buccheri & Giacomo Bormetti & Fulvio Corsi & Fabrizio Lillo, 2021, "A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 39, issue 4, pages 920-936, October, DOI: 10.1080/07350015.2020.1739530.

2020

  1. Lucio Maria Calcagnile & Fulvio Corsi & Stefano Marmi, 2020, "Entropy and Efficiency of the ETF Market," Computational Economics, Springer;Society for Computational Economics, volume 55, issue 1, pages 143-184, January, DOI: 10.1007/s10614-019-09885-z.
  2. Giacomo Bormetti & Roberto Casarin & Fulvio Corsi & Giulia Livieri, 2020, "A Stochastic Volatility Model With Realized Measures for Option Pricing," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 38, issue 4, pages 856-871, October, DOI: 10.1080/07350015.2019.1604371.
  3. Dadgar, Yadollah & Noferesti, Mohammad & Mokhtari, Mohammadali, 2020, "An Assessment of the Level, Trend, and Distribution of Multidimensional Poverty in Iran (in Persian)," The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی و بودجه), Institute for Management and Planning studies, volume 25, issue 2, pages 25-43, August.
  4. Dadgar, Yadollah & Noferesti, Mohammad & Vesal, Mohammad & Mokhtari, Mohammadali, 2020, "The Lasting Effect of Iran Occupation in WWII on the Height of People in Tehran (in Persian)," The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی و بودجه), Institute for Management and Planning studies, volume 25, issue 3, pages 117-143, November.

2019

  1. Dario Alitab & Giacomo Bormetti & Fulvio Corsi & Adam A. Majewski, 2019, "A realized volatility approach to option pricing with continuous and jump variance components," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 2, pages 639-664, December, DOI: 10.1007/s10203-019-00241-2.

2018

  1. Corsi, Fulvio & Lillo, Fabrizio & Pirino, Davide & Trapin, Luca, 2018, "Measuring the propagation of financial distress with Granger-causality tail risk networks," Journal of Financial Stability, Elsevier, volume 38, issue C, pages 18-36, DOI: 10.1016/j.jfs.2018.06.003.

2016

  1. Fulvio Corsi & Stefano Marmi & Fabrizio Lillo, 2016, "When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification," Operations Research, INFORMS, volume 64, issue 5, pages 1073-1088, October, DOI: 10.1287/opre.2015.1464.
  2. Francesco Audrino & Fulvio Corsi & Kameliya Filipova, 2016, "Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 2, pages 232-256, February, DOI: 10.1080/07474938.2013.833809.

2015

  1. Majewski, Adam A. & Bormetti, Giacomo & Corsi, Fulvio, 2015, "Smile from the past: A general option pricing framework with multiple volatility and leverage components," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 521-531, DOI: 10.1016/j.jeconom.2015.02.036.
  2. Stefano Peluso & Fulvio Corsi & Antonietta Mira, 2015, "A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns," Journal of Financial Econometrics, Oxford University Press, volume 13, issue 3, pages 665-697.
  3. Giacomo Bormetti & Lucio Maria Calcagnile & Michele Treccani & Fulvio Corsi & Stefano Marmi & Fabrizio Lillo, 2015, "Modelling systemic price cojumps with Hawkes factor models," Quantitative Finance, Taylor & Francis Journals, volume 15, issue 7, pages 1137-1156, July, DOI: 10.1080/14697688.2014.996586.
  4. Fulvio Corsi & Stefano Peluso & Francesco Audrino, 2015, "Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 3, pages 377-397, April.

2014

  1. A. Saichev & D. Sornette & V. Filimonov & F. Corsi, 2014, "Bridge homogeneous volatility estimators," Quantitative Finance, Taylor & Francis Journals, volume 14, issue 1, pages 87-99, January, DOI: 10.1080/14697688.2013.819985.

2013

  1. Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013, "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, volume 107, issue 2, pages 284-304, DOI: 10.1016/j.jfineco.2012.08.015.

2012

  1. Fulvio Corsi & Francesco Audrino, 2012, "Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects," Journal of Financial Econometrics, Oxford University Press, volume 10, issue 4, pages 591-616, September.
  2. Fulvio Corsi & Roberto Renò, 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, volume 30, issue 3, pages 368-380, January, DOI: 10.1080/07350015.2012.663261.
  3. Giuseppe Curci & Fulvio Corsi, 2012, "Discrete sine transform for multi-scale realized volatility measures§," Quantitative Finance, Taylor & Francis Journals, volume 12, issue 2, pages 263-279, April, DOI: 10.1080/14697688.2010.490561.

2010

  1. Audrino, Francesco & Corsi, Fulvio, 2010, "Modeling tick-by-tick realized correlations," Computational Statistics & Data Analysis, Elsevier, volume 54, issue 11, pages 2372-2382, November.
  2. Corsi, Fulvio & Pirino, Davide & Renò, Roberto, 2010, "Threshold bipower variation and the impact of jumps on volatility forecasting," Journal of Econometrics, Elsevier, volume 159, issue 2, pages 276-288, December.

2009

  1. Fulvio Corsi, 2009, "A Simple Approximate Long-Memory Model of Realized Volatility," Journal of Financial Econometrics, Oxford University Press, volume 7, issue 2, pages 174-196, Spring.

2008

  1. Fulvio Corsi & Stefan Mittnik & Christian Pigorsch & Uta Pigorsch, 2008, "The Volatility of Realized Volatility," Econometric Reviews, Taylor & Francis Journals, volume 27, issue 1-3, pages 46-78, DOI: 10.1080/07474930701853616.

2001

  1. Fulvio Corsi & Gilles Zumbach & Ulrich A. Muller & Michel M. Dacorogna, 2001, "Consistent High-precision Volatility from High-frequency Data," Economic Notes, Banca Monte dei Paschi di Siena SpA, volume 30, issue 2, pages 183-204, July.

Chapters

2025

  1. Marco Desogus & Elisa Casu, 2025, "Three Innovative Methods for Evaluating Corporate Cash Flows: The Extended Net Present Value Criterion, the Smooth Pasting Condition, and the Markowitz Model," Springer Books, Springer, in: Evan Lau & Jaime Moll de Alba & Lee Ming Tan, "Economics and Finance Readings", DOI: 10.1007/978-981-96-6998-1_11.

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