Pubblications

• Giuseppe Buccheri, Fulvio Corsi, Franco Flandoli, Giulia Livieri (2021) The continuous-time limit of score-driven volatility models,  Journal of Econometrics,  Volume 221, Issue 2, April 2021, Pages 655-675
  Link DOI

• Danilo Vassallo, Giuseppe Buccheri, Fulvio Corsi, (2021) A DCC-type approach for realized covariance modeling with score-driven dynamics,  International Journal of Forecasting, Volume 37, Issue 2, April–June 2021, Pages 569-586
  Link DOI     Slides

• Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi, Fabrizio Lillo (2021) A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics,  Journal of Business & Economics Statistics,  Volume 39, 2021 – Issue 4, Pages 920-936
  Link DOI     Slides

• Giuseppe Buccheri, Fulvio Corsi, Stefano Peluso (2021) High-Frequency Lead-Lag Effects and Cross-Asset Linkages: a Multi-Asset Lagged Adjustment Model, Journal of Business & Economic Statistics, Volume 39, 2021 – Issue 3, Pages 605-621
  Link DOI    Slides

• Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi, Fabrizio Lillo (2021) Comment on: Price Discovery in High Resolution, Journal of Financial Econometrics, Volume 19, Issue 3, Summer 2021, Pages 439–451
  Link DOI    Slides

• Giuseppe Buccheri, Fulvio Corsi (2021) Hark the Shark: Realized Volatility Modelling with Measurement Errors and Nonlinear Dependencies, Journal of Financial Econometrics, Volume 19, Issue 4, Fall 2021, Pages 614–649
  Link DOI     Slides

• Giacomo Bormetti, Roberto Casarin, Fulvio Corsi, Giulia Livieri (2020) A Stochastic Volatility Model With Realized Measures for Option Pricing, Journal of Business & Economics Statistics, Volume 38, 2020 – Issue 4, Pages 856-871
  Link DOI

• Dario Alitab; Giacomo Bormetti; Fulvio Corsi; Adam Majewski  (2020) A Jump and Smile Ride: Continuous and Jump Variance Risk Premia in Option Pricing, Journal of Financial Econometrics, Volume 18, Issue 1, Winter 2020, Pages 121–157
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• Lucio Maria Calcagnile; Fulvio Corsi; Stefano Marmi (2020) Entropy and Efficiency of the ETF Market,  Computational Economics, Volume 55, Pages 143–184
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• Fulvio Corsi; Fabrizio Lillo; Davide Pirino; Luca Trapin (2018) Measuring the propagation of financial distress with Granger-causality tail risk networks”, Journal of Financial Stability Volume 38, Pages 18-36.
  Link DOI

• Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio (2016) When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification in Operations Research, Volume 64(5), pages 1073–1088 (ISSN 0030-364X)
  Link DOI

• Majewski, Adam A; Bormetti, Giacomo; Corsi, Fulvio (2015) Smile from the past: A general option pricing framework with multiple volatility and leverage components in Journal of Econometrics, vol. 187, pp. 521-531 (ISSN 0304-4076)  
  Link DOI

• S. Peluso;F. Corsi;A. Mira (2014) A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns in Journal of Financial Econometrics, Volume 13 (3), pages 665-697 (ISSN 1479-8409)  
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• A. Saichev;D. Sornette;V. Filimonov;F. Corsi (2014) Bridge homogeneous volatility estimators in Quantitative Finance, vol. 14, pp. 87-99 (ISSN 1469-7688)  
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• Fulvio Corsi;Didier Sornette (2014) Follow the money: The monetary roots of bubbles and crashes in International review of Financial Analysis, vol. 32, pp. 47-59 (ISSN 1057-5219)  
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• Fulvio Corsi; Stefano Peluso; Francesco Audrino (2014) Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation in Journal of Applied Econometrics, Volume 30 (3), pages 377-397 (ISSN 0883-7252)
  Link DOI

• Francesco Audrino; Fulvio Corsi; Kameliya Filipova (2013) Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators in Econometric Reviews, Volume 35(2), pages 232-256 (ISSN 0747-4938)  
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• Giuseppe Curci; Fulvio Corsi (2012) Discrete sine transform for multi-scale realized volatility measures in Quantitative Finance, vol. 12, pp. 263-279 (ISSN 1469-7688)  
  Link DOI

• Fulvio Corsi; Roberto Renò (2012) Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling in Journal of Business and Economic Statistics, vol. 30, pp. 368-380 (ISSN 0735-0015)  
  Link DOI

• Fulvio Corsi; Francesco Audrino (2012) Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects in Journal of Financial Econometrics, vol. 10, pp. 591-616 (ISSN 1479-8409)
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• Fulvio Corsi;Nicola Fusari;Davide La Vecchia (2012) Realizing smiles: Options pricing with realized volatility in Journal of Financial Economics, vol. 107, pp. 284-304 (ISSN 0304-405X)
  Link DOI

• Fulvio Corsi;Francesco Audrino;Roberto Renò (2011) HAR Modeling for Realized Volatility Forecasting , Handbook of Volatility Models and Their Applications, John Wiley & Sons, Inc., pp. 363-382 (ISBN 9780470872512; 9781118272039)
  Link DOI

• Francesco Audrino;Fulvio Corsi (2010) Modeling tick-by-tick realized correlations in Computational  Statistics and Data Analysis, vol. 54, pp. 2372-2382 (ISSN 0167-9473)  
  Link DOI

• Fulvio Corsi;Davide Pirino; Roberto Renò (2010) Threshold bipower variation and the impact of jumps on volatility forecasting in Journal of Econometrics, vol. 159, pp. 276-288 (ISSN 0304-4076)  
  Link DOI

• Fulvio Corsi (2009) A Simple Approximate Long-Memory Model of Realized Volatility in Journal of Financial Econometrics, vol. 7, pp. 174-196 (ISSN 1479-8409)  
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• Simone Bianco;Fulvio Corsi;Roberto Reno (2009) Intraday LeBaron effects in Proceedings of National Academy of Sciences of United States of America (PNAS), vol. 106, pp. 11439-11443 (ISSN 0027-8424)  
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• Fulvio Corsi; Stefan Mittnik; Christian Pigorsch; Uta Pigorsch (2008) The Volatility of Realized Volatility in Econometric Reviews, vol. 27, pp. 46-78 (ISSN 0747-4938)  
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• Fulvio Corsi; Gilles Zumbach; Ulrich A. Muller; Michel M. Dacorogna (2001) Consistent High-precision Volatility from High-frequency Data in Economic Notes, vol. 30, pp. 183-204 (ISSN 0391-5026)  
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• PhD Thesis (2005)