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Fulvio Corsi

Personal Details

First Name:Fulvio
Middle Name:
Last Name:Corsi
Suffix:
RePEc Short-ID:pco762
[This author has chosen not to make the email address public]
https://people.unipi.it/fulvio_corsi/
Terminal Degree: Facoltá di scienze economiche; Universitá della Svizzera Italiana (USI) (from RePEc Genealogy)

Affiliation

Dipartimento di Economia e Management
Università degli Studi di Pisa

Pisa, Italy
https://www.ec.unipi.it/
RePEc:edi:dspisit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Mario Martinoli & Raffaello Seri & Fulvio Corsi, 2024. "Generalized Optimization Algorithms for Complex Objective Functions," LEM Papers Series 2024/18, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  2. Giuseppe Buccheri & Fulvio Corsi & Emilija Dzuverovic, 2024. "From rotational to scalar invariance: Enhancing identifiability in score-driven factor models," Papers 2412.01367, arXiv.org.
  3. Giacomo Bormetti & Fulvio Corsi, 2021. "A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters," Papers 2107.05263, arXiv.org, revised Feb 2022.
  4. 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 1803.04894, arXiv.org, revised Mar 2019.
  5. Lucio Maria Calcagnile & Fulvio Corsi & Stefano Marmi, 2016. "Entropy and efficiency of the ETF market," Papers 1609.04199, arXiv.org.
  6. Adam Aleksander Majewski & Giacomo Bormetti & Fulvio Corsi, 2014. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Papers 1404.3555, arXiv.org.
  7. 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.
  8. 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.
  9. Fulvio CORSI & Didier SORNETTE, 2011. "Follow the money: The monetary roots of bubbles and crashes," Swiss Finance Institute Research Paper Series 11-60, Swiss Finance Institute.
  10. Fulvio Corsi & Davide Pirino & Roberto Renò, 2010. "Threshold bipower variation and the impact of jumps on volatility forecasting," Post-Print hal-00741630, HAL.
  11. 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.
  12. Fulvio CORSI & Nicola FUSARI & Davide LA VECCHIA, 2010. "Realizing Smiles: Pricing Options with Realized Volatility," Swiss Finance Institute Research Paper Series 10-05, Swiss Finance Institute, revised Jan 2010.
  13. Alexander Saichev & Didier Sornette & Vladimir Filimonov & Fulvio Corsi, 2009. "Homogeneous Volatility Bridge Estimators," Papers 0912.1617, arXiv.org.
  14. Fulvio Corsi & Davide Pirino & Roberto Reno, 2009. "Volatility Forecasting: The Jumps Do Matter," Global COE Hi-Stat Discussion Paper Series gd08-036, Institute of Economic Research, Hitotsubashi University.
  15. 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.
  16. Simone Bianco & Fulvio Corsi & Roberto Reno', 2008. "Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect," Papers 0810.4912, arXiv.org.
  17. 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.
  18. 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.
  19. 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).
  20. Fulvio Corsi & Gilles Zumbach & Ulrich Müller & Michel Dacorogna, 2004. "Consistent high-precision volatility from high-frequency data," Finance 0407005, University Library of Munich, Germany.

Articles

  1. Corsi, Fulvio & Longo, Luigi & Cordoni, Francesco, 2025. "SVAR identification with nowcasted macroeconomic data," Journal of Economic Dynamics and Control, Elsevier, vol. 179(C).
  2. Giuseppe Buccheri & Giacomo Bormetti & Fulvio Corsi & Fabrizio Lillo, 2021. "Comment on: Price Discovery in High Resolution," Journal of Financial Econometrics, Oxford University Press, vol. 19(3), pages 439-451.
  3. Buccheri, Giuseppe & Corsi, Fulvio & Flandoli, Franco & Livieri, Giulia, 2021. "The continuous-time limit of score-driven volatility models," Journal of Econometrics, Elsevier, vol. 221(2), pages 655-675.
  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, vol. 19(4), pages 614-649.
  5. 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, vol. 39(4), pages 920-936, October.
  6. 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, vol. 39(3), pages 605-621, July.
  7. Vassallo, Danilo & Buccheri, Giuseppe & Corsi, Fulvio, 2021. "A DCC-type approach for realized covariance modeling with score-driven dynamics," International Journal of Forecasting, Elsevier, vol. 37(2), pages 569-586.
  8. Lucio Maria Calcagnile & Fulvio Corsi & Stefano Marmi, 2020. "Entropy and Efficiency of the ETF Market," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 143-184, January.
  9. 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, vol. 38(4), pages 856-871, October.
  10. 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, vol. 42(2), pages 639-664, December.
  11. 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, vol. 38(C), pages 18-36.
  12. 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, vol. 64(5), pages 1073-1088, October.
  13. 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, vol. 35(2), pages 232-256, February.
  14. 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, vol. 13(3), pages 665-697.
  15. 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, vol. 15(7), pages 1137-1156, July.
  16. 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, vol. 187(2), pages 521-531.
  17. 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., vol. 30(3), pages 377-397, April.
  18. 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.
  19. 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.
  20. 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, vol. 10(4), pages 591-616, September.
  21. 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, vol. 30(3), pages 368-380, January.
  22. 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.
  23. 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.
  24. Audrino, Francesco & Corsi, Fulvio, 2010. "Modeling tick-by-tick realized correlations," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2372-2382, November.
  25. Fulvio Corsi, 2009. "A Simple Approximate Long-Memory Model of Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 7(2), pages 174-196, Spring.
  26. 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.
  27. 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, vol. 30(2), pages 183-204, July.

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Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
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  2. Number of Citations
  3. Number of Citations, Discounted by Citation Age
  4. Number of Citations, Weighted by Simple Impact Factor
  5. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  6. Number of Citations, Weighted by Recursive Impact Factor
  7. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  8. Number of Citations, Weighted by Number of Authors
  9. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  10. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  11. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  13. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  14. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 18 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (12) 2007-03-31 2008-02-16 2008-02-16 2008-09-20 2009-03-07 2010-04-11 2010-07-17 2012-03-21 2018-04-02 2021-07-26 2024-08-12 2025-01-27. Author is listed
  2. NEP-ETS: Econometric Time Series (8) 2004-07-11 2007-03-31 2008-09-20 2009-03-07 2010-07-17 2012-03-21 2021-07-26 2025-01-27. Author is listed
  3. NEP-MST: Market Microstructure (8) 2007-03-31 2008-02-16 2008-02-16 2008-09-20 2010-07-17 2012-03-21 2016-09-18 2018-04-02. Author is listed
  4. 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
  5. NEP-RMG: Risk Management (4) 2007-03-31 2008-09-20 2009-03-07 2013-12-06
  6. NEP-MON: Monetary Economics (2) 2015-04-19 2016-07-23
  7. NEP-ORE: Operations Research (2) 2012-03-21 2021-07-26
  8. NEP-PKE: Post Keynesian Economics (2) 2015-04-19 2016-07-23
  9. NEP-CFN: Corporate Finance (1) 2014-04-18
  10. NEP-CMP: Computational Economics (1) 2024-08-12
  11. NEP-FMK: Financial Markets (1) 2009-03-07
  12. NEP-MAC: Macroeconomics (1) 2021-07-26
  13. NEP-SOG: Sociology of Economics (1) 2016-09-18
  14. NEP-UPT: Utility Models and Prospect Theory (1) 2010-04-11

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