Items where City Author is "Corsi, Fulvio"

Up a level
Export as [feed] RSS 2.0 [feed] RSS
Group by: Publication Type | No Grouping
Number of items: 17.

Article

Corsi, F., Marmi, S. & Lillo, F (2016). When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification. Operations Research, 64(5), pp. 1073-1088. doi: 10.1287/opre.2015.1464

Audrino, F., Corsi, F. & Filipova, K. (2016). Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators. Econometric Reviews, 35(2), pp. 232-23. doi: 10.1080/07474938.2013.833809

Majewski, A. A., Bormetti, G. & Corsi, F. (2015). Smile from the past: A general option pricing framework with multiple volatility and leverage components. Journal of Econometrics, 187(2), pp. 521-532. doi: 10.1016/j.jeconom.2015.02.036

Peluso, S., Corsi, F. & Mira, A. (2015). A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns. Journal of Financial Econometrics, 13(3), pp. 665-697. doi: 10.1093/jjfinec/nbu017

Corsi, F., Peluso, S. & Audrino, F. (2015). Missing in Asynchronicity: A Kalman-em Approach for Multivariate Realized Covariance Estimation. Journal of Applied Econometrics, 30(3), pp. 377-397. doi: 10.1002/jae.2378

Bormetti, G., Calcagnile, L. M., Treccani, M., Corsi, F., Marmi, S. & Lillo, F (2015). Modelling systemic price cojumps with Hawkes factor models. Quantitative Finance, 15(7), pp. 1137-1156. doi: 10.1080/14697688.2014.996586

Corsi, F., Peluso, S. & Audrino, F. (2015). Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation. Journal of Applied Econometrics, 30(3), pp. 377-397. doi: 10.1002/jae.2378

Majewski, A. A., Bormetti, G. & Corsi, F. (2015). Smile from the Past: A general option pricing framework with multiple volatility and leverage components. Journal of Econometrics, 167(2), pp. 521-531. doi: 10.1016/j.jeconom.2015.02.036

Saichev, A., Sornette, D., Filimonov, V. & Corsi, F. (2013). Bridge homogeneous volatility estimators. Quantitative Finance, 14(1), pp. 87-99. doi: 10.1080/14697688.2013.819985

Corsi, F., Fusari, N. & La Vecchia, D. (2013). Realizing smiles: Options pricing with realized volatility. Journal of Financial Economics, 107(2), pp. 284-304. doi: 10.1016/j.jfineco.2012.08.015

Curci, G. & Corsi, F. (2012). Discrete sine transform for multi-scale realized volatility measures. Quantitative Finance, 12(2), pp. 263-279. doi: 10.1080/14697688.2010.490561

Corsi, F. & Reno, R. (2012). Discrete-time volatility forecasting with persistent leverage effect and the link with continuous-time volatility modeling. Journal of Business and Economic Statistics, 30(3), pp. 368-380. doi: 10.1080/07350015.2012.663261

Corsi, F. & Audrino, F. (2012). Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects. Journal of Financial Econometrics, 10(4), pp. 591-616. doi: 10.1093/jjfinec/nbs007

Audrino, F. & Corsi, F. (2010). Modeling tick-by-tick realized correlations. Computational Statistics and Data Analysis, 54(11), pp. 2372-2382. doi: 10.1016/j.csda.2009.09.033

Corsi, F., Pirino, D. & Reno, R. (2010). Threshold bipower variation and the impact of jumps on volatility forecasting. Journal of Econometrics, 159(2), pp. 276-288. doi: 10.1016/j.jeconom.2010.07.008

Book Section

Corsi, F., Audrino, F. & Reno, R. (2012). HAR Modeling for Realized Volatility Forecasting. In: Handbook of Volatility Models and Their Applications. (pp. 363-382). New Jersey, USA: John Wiley & Sons, Inc. ISBN 9780470872512

Monograph

Majewski, A. A., Bormetti, G. & Corsi, F. (2013). Smile from the Past: A general option pricing framework with multiple volatility and leverage components (Report No. 13/11). London, UK: Department of Economics, City University London.

This list was generated on Tue Jun 19 06:31:22 2018 UTC.