Current Research

Papers submitted or under revision 

BUCCHERI, G. BORMETTI, F. CORSI, F. LILLO (2020)Filtering and Smoothing with Score-Driven Models”.  Slides. Presented at:

  • International Association for Applied Econometrics (IAAE), 25-28 June 2019, Nicosia, Cyprus.

CORDONI, F. CORSI (2020) “Identification of Overdetermined and Noisy Structural VAR Models: The Collapsing-ICA Approach”.

BORMETTI, F. CORSI, A. MAJEWSKI (2018) “Term Structure of Variance Risk Premium and Returns’ Predictability”. Presented at:

  • The Society for Financial Econometrics (SoFiE), 21-23 June 2017, NYU Stern School of Business, New York.