Author/Creator: Corsi, Fulvio - British Library Electronic Legal Deposit Catalogue-Journal Issues and Articles Search Results

Author/Creator Corsi, Fulvio

1. A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing. (5th February 2019)

Authors:: Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; Majewski, Adam A
Journal:: Journal of financial econometrics
Issue:: Volume 18:Number 1(2020:Winter)
Page Start:: 121
Record Type:: Journal Article
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2. A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics. Issue 4 (2nd October 2021)

Authors:: Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio
Journal:: Journal of business & economic statistics
Issue:: Volume 39:Issue 4(2021)
Page Start:: 920
Record Type:: Journal Article
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3. A Stochastic Volatility Model With Realized Measures for Option Pricing. Issue 4 (1st October 2020)

Authors:: Bormetti, Giacomo; Casarin, Roberto; Corsi, Fulvio; Livieri, Giulia
Journal:: Journal of business & economic statistics
Issue:: Volume 38:Issue 4(2020)
Page Start:: 856
Record Type:: Journal Article
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4. Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators. (7th February 2016)

Authors:: Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya
Journal:: Econometric reviews
Issue:: Volume 35:Number 2(2016)
Page Start:: 232
Record Type:: Journal Article
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5. Comment on: Price Discovery in High Resolution. (15th March 2019)

Authors:: Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio
Journal:: Journal of financial econometrics
Issue:: Volume 19:Number 3(2021)
Page Start:: 439
Record Type:: Journal Article
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6. HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies. (22nd August 2019)

Authors:: Buccheri, Giuseppe; Corsi, Fulvio
Journal:: Journal of financial econometrics
Issue:: Volume 19:Number 4(2021)
Page Start:: 614
Record Type:: Journal Article
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7. High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model. Issue 3 (3rd July 2021)

Authors:: Buccheri, Giuseppe; Corsi, Fulvio; Peluso, Stefano
Journal:: Journal of business & economic statistics
Issue:: Volume 39:Issue 3(2021)
Page Start:: 605
Record Type:: Journal Article
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8. Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation. (19th January 2014)

Authors:: Corsi, Fulvio; Peluso, Stefano; Audrino, Francesco
Journal:: Journal of applied econometrics
Issue:: Volume 30:Number 3(2015)
Page Start:: 377
Record Type:: Journal Article
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