{"id":2,"date":"2015-04-08T09:07:42","date_gmt":"2015-04-08T09:07:42","guid":{"rendered":"http:\/\/people.unipi.it\/cloner\/?page_id=2"},"modified":"2024-12-24T14:23:38","modified_gmt":"2024-12-24T13:23:38","slug":"home","status":"publish","type":"page","link":"https:\/\/people.unipi.it\/fulvio_corsi\/","title":{"rendered":"Home"},"content":{"rendered":"
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Academic position: <\/strong>Full Professor of Econometrics (ECON-05\/A) at the <\/span>Department of Economics and Management<\/a>,\u00a0<\/span>University of Pisa.<\/a><\/p>\n<\/div>\n

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Fields of research:\u00a0<\/strong>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.<\/p>\n

Phone<\/strong>:<\/p>\n

Office<\/strong>: 322<\/p>\n

e-mail:<\/strong>\u00a0fulvio.corsi@unipi.it<\/a>\u00a0\u00a0\u00a0\u00a0 fulvio.corsi@gmail.com<\/a><\/p>\n

Address:<\/strong> Dipartimento di Economia e Management, University of Pisa, Via C. Ridolfi, 10 56124 Pisa (PI), Italy.<\/p>\n

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Short Bio<\/h3>\n
Dr Fulvio Corsi, currently hold a position as Full 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.\u00a0\u00a0He 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,\u00a0 Journal of Financial Econometrics,\u00a0 Operations Research, PNAS.<\/p>\n
Past employment<\/strong><\/b><\/p>\n
Associate Professor,\u00a0 University of Pisa (IT), 2018 – 2024<\/p>\n
Reader,\u00a0 City University of London 2013 – 2021<\/p>\n
Associate Professor,\u00a0 Ca’ Foscari University of Venice (IT), 2015 – 2017<\/p>\n
Assistant Professor,\u00a0 Ca’ Foscari University of Venice (IT), 2013 – 2014<\/p>\n
Postdoctoral Research Fellow, Scuola Normale Superiore di Pisa, Pisa (IT), 2012 – 2013<\/p>\n
Postdoctoral Research Fellow, University of St. Gallen and Swiss Finance Institute, St. Gallen (CH), \u00a02009 – 2011<\/p>\n
Postdoctoral Research Fellow, University of Siena, Siena (IT), 2007 – 2009<\/p>\n
Postdoctoral Research Fellow, University of Lugano, Lugano (CH), 2005 \u2013 2007<\/p>\n
Visiting Scholar, Duke University, NC (USA),\u00a0 2003 – 2004<\/p>\n
Education<\/strong><\/b><\/p>\n
Ph.D. in Finance (Hons), University of Lugano, Lugano (CH), \u00a02005<\/p>\n
MSc in Economics and Finance (Hons), Venice International University, Venice (IT), 1999<\/p>\n
Diploma in Economics and Business (Hons), \u00a0University of Pisa, Pisa (IT), 1998<\/p>\n
Full CV<\/a><\/p><\/blockquote>\n<\/div>\n
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Academic position: Full Professor of Econometrics (ECON-05\/A) at the Department of Economics and Management,\u00a0University of Pisa. Fields of research:\u00a0Financial Economics,…<\/p>\n
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