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
Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators 0 0 1 170 2 2 6 344
Consistent high-precision volatility from high-frequency data 0 1 1 485 1 3 12 1,052
Homogeneous Volatility Bridge Estimators 0 0 0 15 0 0 0 56
Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation 0 0 4 119 1 5 17 379
Modeling Tick-by-Tick Realized Correlations 0 1 5 201 0 2 10 459
Modelling systemic price cojumps with Hawkes factor models 0 0 0 19 1 5 8 100
Realized Correlation Tick-by-Tick 0 0 3 224 1 1 7 624
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 1 102 1 1 3 293
Realizing Smiles: Pricing Options with Realized Volatility 3 8 8 44 6 29 35 271
Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect 0 0 1 29 0 1 2 145
Smile from the Past: A general option pricing framework with multiple volatility and leverage components 0 0 0 11 0 0 0 44
Smile from the Past: A general option pricing framework with multiple volatility and leverage components 0 0 0 17 1 3 11 85
The volatility of realized volatility 0 0 2 509 1 5 24 1,173
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting 0 0 5 147 1 3 31 411
Threshold bipower variation and the impact of jumps on volatility forecasting 0 0 2 10 1 1 6 59
Volatility Forecasting: The Jumps Do Matter 2 2 6 146 2 6 31 394
Volatility forecasting: the jumps do matter 0 0 0 179 2 2 10 525
Total Working Papers 5 12 39 2,427 21 69 213 6,414


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Simple Approximate Long-Memory Model of Realized Volatility 3 6 18 622 8 24 76 1,350
Bridge homogeneous volatility estimators 0 0 0 4 0 1 1 21
Discrete sine transform for multi-scale realized volatility measures§ 0 0 0 5 0 0 1 59
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling 1 3 15 78 4 8 45 220
Modeling tick-by-tick realized correlations 0 1 1 53 0 1 7 180
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 0 10 0 0 1 50
Realizing smiles: Options pricing with realized volatility 1 5 10 71 2 28 46 258
The Volatility of Realized Volatility 0 0 4 172 0 2 15 459
Threshold bipower variation and the impact of jumps on volatility forecasting 0 0 7 81 2 2 22 273
Total Journal Articles 5 15 55 1,096 16 66 214 2,870


Statistics updated 2021-02-03