Access Statistics for Fulvio Corsi

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters 0 0 0 28 1 3 11 42
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics 0 0 0 45 0 4 15 90
Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators 0 0 1 172 0 2 22 373
Consistent high-precision volatility from high-frequency data 0 0 0 490 1 4 13 1,092
Entropy and efficiency of the ETF market 0 0 0 28 0 9 33 76
Follow the money: The monetary roots of bubbles and crashes 0 0 0 28 0 1 7 39
Follow the money: The monetary roots of bubbles and crashes 0 0 0 41 0 8 10 57
From rotational to scalar invariance: Enhancing identifiability in score-driven factor models 0 0 0 8 0 3 10 23
Generalized Optimization Algorithms for Complex Objective Functions 0 0 1 8 0 3 12 44
Homogeneous Volatility Bridge Estimators 0 0 0 2 0 7 13 22
Homogeneous Volatility Bridge Estimators 0 0 0 16 1 3 9 67
Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation 0 0 1 124 1 4 16 415
Modeling Tick-by-Tick Realized Correlations 0 0 1 204 2 5 40 513
Modelling systemic price cojumps with Hawkes factor models 0 0 0 19 0 1 5 113
Realized Correlation Tick-by-Tick 0 0 3 231 2 6 15 659
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 1 104 1 5 26 324
Realizing Smiles: Pricing Options with Realized Volatility 0 0 0 52 0 5 17 317
Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect 0 0 1 33 0 3 6 157
Smile from the Past: A general option pricing framework with multiple volatility and leverage components 0 0 0 15 0 0 12 69
Smile from the Past: A general option pricing framework with multiple volatility and leverage components 0 0 1 19 0 1 11 107
The volatility of realized volatility 0 0 2 523 1 1 17 1,262
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting 0 0 2 163 1 7 38 499
Threshold bipower variation and the impact of jumps on volatility forecasting 0 0 0 18 3 8 15 106
Volatility Forecasting: The Jumps Do Matter 0 0 4 166 0 7 20 481
Volatility forecasting: the jumps do matter 0 0 1 192 1 2 29 592
Total Working Papers 0 0 19 2,729 15 102 422 7,539

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns 0 0 0 0 0 2 14 37
A DCC-type approach for realized covariance modeling with score-driven dynamics 0 0 1 6 1 15 22 44
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics 0 0 0 1 0 1 9 21
A Simple Approximate Long-Memory Model of Realized Volatility 11 26 61 946 37 101 265 2,362
A Stochastic Volatility Model With Realized Measures for Option Pricing 0 0 0 5 0 1 4 24
A realized volatility approach to option pricing with continuous and jump variance components 0 0 2 7 0 2 22 74
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators 0 0 1 10 0 2 8 63
Bridge homogeneous volatility estimators 0 0 0 4 0 1 8 31
Comment on: Price Discovery in High Resolution 0 0 0 1 0 1 8 12
Consistent High-precision Volatility from High-frequency Data 0 0 0 6 1 2 13 73
Discrete sine transform for multi-scale realized volatility measures§ 0 0 0 6 0 4 6 70
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling 0 3 8 144 2 7 29 396
Entropy and Efficiency of the ETF Market 0 0 0 7 0 2 13 61
HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies* 0 1 2 8 0 5 19 41
High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model 1 3 3 11 3 11 27 55
Measuring the propagation of financial distress with Granger-causality tail risk networks 0 0 0 23 0 7 20 122
Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation 0 0 1 9 0 1 8 64
Modeling tick-by-tick realized correlations 0 0 0 60 3 3 14 226
Modelling systemic price cojumps with Hawkes factor models 0 0 0 7 0 2 7 36
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 0 11 0 2 16 71
Realizing smiles: Options pricing with realized volatility 0 0 2 102 1 4 14 342
SVAR identification with nowcasted macroeconomic data 0 0 0 0 1 3 14 14
Smile from the past: A general option pricing framework with multiple volatility and leverage components 0 0 1 28 1 5 20 119
The Volatility of Realized Volatility 0 0 1 198 4 6 23 573
The continuous-time limit of score-driven volatility models 0 1 1 9 1 5 19 48
Threshold bipower variation and the impact of jumps on volatility forecasting 0 2 2 117 7 20 49 424
When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification 0 0 2 33 0 2 12 98
Total Journal Articles 12 36 88 1,759 62 217 683 5,501

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Statistics updated 2026-07-10