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 0 1 10 42
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics 0 0 0 45 0 0 14 90
Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators 0 0 1 172 0 1 23 374
Consistent high-precision volatility from high-frequency data 0 0 0 490 0 1 12 1,092
Entropy and efficiency of the ETF market 0 0 0 28 1 1 34 77
Follow the money: The monetary roots of bubbles and crashes 0 0 0 41 0 0 10 57
Follow the money: The monetary roots of bubbles and crashes 0 0 0 28 0 0 6 39
From rotational to scalar invariance: Enhancing identifiability in score-driven factor models 0 0 0 8 1 1 11 24
Generalized Optimization Algorithms for Complex Objective Functions 0 0 1 8 0 2 14 46
Homogeneous Volatility Bridge Estimators 0 0 0 2 0 0 10 22
Homogeneous Volatility Bridge Estimators 0 0 0 16 1 2 10 68
Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation 0 0 1 124 0 2 17 416
Modeling Tick-by-Tick Realized Correlations 0 0 1 204 0 2 39 513
Modelling systemic price cojumps with Hawkes factor models 0 0 0 19 1 1 6 114
Realized Correlation Tick-by-Tick 0 0 2 231 2 5 17 662
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 1 104 0 2 25 325
Realizing Smiles: Pricing Options with Realized Volatility 0 0 0 52 1 2 18 319
Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect 0 0 1 33 1 1 6 158
Smile from the Past: A general option pricing framework with multiple volatility and leverage components 0 0 0 15 1 1 13 70
Smile from the Past: A general option pricing framework with multiple volatility and leverage components 0 0 1 19 1 1 12 108
The volatility of realized volatility 0 0 2 523 2 4 18 1,265
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting 0 0 2 163 1 2 36 500
Threshold bipower variation and the impact of jumps on volatility forecasting 0 0 0 18 1 7 18 110
Volatility Forecasting: The Jumps Do Matter 1 1 5 167 2 3 23 484
Volatility forecasting: the jumps do matter 0 0 1 192 0 1 29 592
Total Working Papers 1 1 19 2,730 16 43 431 7,567

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 0 13 37
A DCC-type approach for realized covariance modeling with score-driven dynamics 0 0 1 6 16 18 39 61
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics 0 0 0 1 0 0 7 21
A Simple Approximate Long-Memory Model of Realized Volatility 10 25 69 960 43 118 327 2,443
A Stochastic Volatility Model With Realized Measures for Option Pricing 1 2 2 7 1 3 7 27
A realized volatility approach to option pricing with continuous and jump variance components 1 1 3 8 2 2 24 76
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators 0 0 1 10 0 0 7 63
Bridge homogeneous volatility estimators 0 0 0 4 0 0 6 31
Comment on: Price Discovery in High Resolution 0 0 0 1 0 0 6 12
Consistent High-precision Volatility from High-frequency Data 0 0 0 6 0 1 13 73
Discrete sine transform for multi-scale realized volatility measures§ 0 0 0 6 0 0 6 70
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling 0 1 8 145 2 6 29 400
Entropy and Efficiency of the ETF Market 0 0 0 7 1 1 13 62
HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies* 1 1 2 9 2 4 21 45
High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model 0 3 5 13 4 10 34 62
Measuring the propagation of financial distress with Granger-causality tail risk networks 0 0 0 23 0 0 20 122
Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation 0 0 1 9 4 4 12 68
Modeling tick-by-tick realized correlations 0 0 0 60 1 4 15 227
Modelling systemic price cojumps with Hawkes factor models 0 0 0 7 0 1 8 37
Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects 0 0 0 11 0 0 16 71
Realizing smiles: Options pricing with realized volatility 0 0 2 102 0 3 16 344
SVAR identification with nowcasted macroeconomic data 0 0 0 0 0 1 14 14
Smile from the past: A general option pricing framework with multiple volatility and leverage components 0 0 1 28 0 2 19 120
The Volatility of Realized Volatility 0 0 0 198 5 11 25 580
The continuous-time limit of score-driven volatility models 0 0 1 9 0 1 19 48
Threshold bipower variation and the impact of jumps on volatility forecasting 0 0 2 117 7 19 56 436
When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification 0 0 1 33 1 1 12 99
Total Journal Articles 13 33 99 1,780 89 210 784 5,649

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Statistics updated 2026-09-10