Fields of research: Financial Economics, Financial Econometrics, and Empirical Finance: volatility, jumps, and correlation measures with high frequency data, (pseudo) long memory models induced by heterogeneous agents, multivariate models of realized volatility, derivative pricing, models for financial bubbles and systemic risk, time varying parameters with score-driven models, structural VAR identification.
Phone: 347 50 20 261
Address: Dipartimento di Economia e Management, University of Pisa, Via C. Ridolfi, 10 56124 Pisa (PI), Italy.
Dr Fulvio Corsi, currently hold a position as Associate Professor at University of Pisa. After joining the Olsen and Associates Company, who pioneered the study of high-frequency data in finance, he earned his PhD in finance at University of Lugano under the supervision of Prof. Barone-Adesi and Prof. Tim Bollerslev. He is expert in modelling and forecasting volatility dynamics: he devised the HAR-RV model (winning the Engle Prize 2010 for best paper published in 2007, 2008 and 2009 volumes of Journal of Financial Econometrics) which is nowadays a standard benchmark in analyzing financial volatility dynamics. He also contributed in the field of volatility measuring in the presence of microstructure noise, jump detection, correlation measuring and modelling, derivative pricing, nonlinear dynamic modelling of asset price bubble and crashes, time varying parameters with score-driven models and structural VAR identification. He published on international journals as Journal of Financial Economics, Journal of Econometrics, Journal of Applied Econometrics, Journal of Business and Economic Statistics, Journal of Financial Econometrics, Operations Research, PNAS.
Reader, City University of London 2013 – 2021
Associate Professor, Ca’ Foscari University of Venice (IT), 2015 – 2017
Assistant Professor, Ca’ Foscari University of Venice (IT), 2013 – 2014
Postdoctoral Research Fellow, Scuola Normale Superiore di Pisa, Pisa (IT), 2012 – 2013
Postdoctoral Research Fellow, University of St. Gallen and Swiss Finance Institute, St. Gallen (CH), 2009 – 2011
Postdoctoral Research Fellow, University of Siena, Siena (IT), 2007 – 2009
Postdoctoral Research Fellow, University of Lugano, Lugano (CH), 2005 – 2007
Visiting Scholar, Duke University, NC (USA), 2004
Ph.D. in Finance (Hons), University of Lugano, Lugano (CH), 2005
MSc in Economics and Finance (Hons), Venice International University, Venice (IT), 1999
Diploma in Economics and Business (Hons), University of Pisa, Pisa (IT), 1998