Items where Author is "Corsi, F."
Buccheri, G., Corsi, F. 
ORCID: 0000-0003-2683-4479 & Peluso, S. (2021).
High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model.
Journal of Business & Economic Statistics, 39(3),
pp. 605-621.
doi: 10.1080/07350015.2019.1697699
Buccheri, G., Corsi, F. ORCID: 0000-0003-2683-4479, Flandoli, F. & Livieri, G. (2021).
The continuous-time limit of score-driven volatility models.
Journal of Econometrics, 221(2),
pp. 655-675.
doi: 10.1016/j.jeconom.2020.07.042
Vassallo, D., Buccheri, G. & Corsi, F. ORCID: 0000-0003-2683-4479 (2020).
A DCC-type approach for realized covariance modeling with score-driven dynamics.
International Journal of Forecasting, 37(2),
pp. 569-586.
doi: 10.1016/j.ijforecast.2020.07.006
Buccheri, G., Bormetti, G., Corsi, F. ORCID: 0000-0003-2683-4479 & Lillo, F. (2020).
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics.
Journal of Business and Economic Statistics, 39(4),
pp. 920-936.
doi: 10.1080/07350015.2020.1739530
Buccheri, G. & Corsi, F. ORCID: 0000-0003-2683-4479 (2019).
HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies.
Journal of Financial Econometrics, 19(4),
pp. 614-649.
doi: 10.1093/jjfinec/nbz025
Bormetti, G., Casarin, R., Corsi, F. ORCID: 0000-0003-2683-4479 & Livieri, G. (2019).
A Stochastic Volatility Model With Realized Measures for Option Pricing.
Journal of Business & Economic Statistics, 38(4),
pp. 856-871.
doi: 10.1080/07350015.2019.1604371
Alitab, D., Bormetti, G., Corsi, F. & Majewski, A. A. (2019). A realized volatility approach to option pricing with continuous and jump variance components. Decisions in Economics and Finance, 42(2), pp. 639-664. doi: 10.1007/s10203-019-00241-2
Buccheri, G., Bormetti, G., Corsi, F. ORCID: 0000-0003-2683-4479 & Lillo, F. (2019).
Comment on: Price Discovery in High Resolution.
Journal of Financial Econometrics, 19(3),
pp. 439-451.
doi: 10.1093/jjfinec/nbz008
Calcagnile, L. M., Corsi, F. ORCID: 0000-0003-2683-4479 & Marmi, S. (2019).
Entropy and Efficiency of the ETF Market.
Computational Economics, 55(1),
pp. 143-184.
doi: 10.1007/s10614-019-09885-z
Alitab, D., Bormetti, G., Corsi, F. ORCID: 0000-0003-2683-4479 & Majewski, A. A. (2019).
A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing.
Journal of Financial Econometrics, 18(1),
pp. 121-157.
doi: 10.1093/jjfinec/nbz001
Corsi, F., Lillo, F., Pirino, D. & Trapin, L. (2018). Measuring the propagation of financial distress with Granger-causality tail risk networks. Journal of Financial Stability, 38, pp. 18-36. doi: 10.1016/j.jfs.2018.06.003
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. 232-256. 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. 521-531. 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
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
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
Majewski, A. A., Bormetti, G. & Corsi, F. (2013). Smile from the Past: A general option pricing framework with multiple volatility and leverage components (13/11). London, UK: Department of Economics, City University London.
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. & 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. doi: 10.1002/9781118272039.ch15
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