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Programme Measuring Modeling Financial Risk
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Fulvio Corsi, University of Lugano |. Missing in Asynchronicity: A Kalman-EM Approach for Multivariate. Realized Covariance Estimation (with Stefano Peluso, ... › Economics › Conferences
Guardian: A post-Brexit economic policy reset for the UK is essential | Letters...
Letters: Further cuts in interest rates and more quantitative easing won’t work
Centro di Ricerca Matematica Ennio De Giorgi
crm.sns.it
Fulvio Corsi University of Lugano 2 October October Lucinda David Lund University 2 October October Pietro Dindo
Telephone & Addresses
Fulvio Corsi | IDEAS/RePEc
ideas.repec.org
Fulvio Corsi: current contact information and listing of economic research of this author provided by RePEc/IDEAS
Homogeneous Volatility Bridge Estimators
ideas.repec.org
Downloadable! We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the...
Network Profiles
LinkedIn: Fulvio Corsi | LinkedIn
Visualizza il profilo professionale di Fulvio Corsi su LinkedIn. LinkedIn è la rete professionale più grande al mondo utilizzata dai professionisti come Fulvio ...
LinkedIn: Fulvio Corsi – Schweiz | Berufsprofil - LinkedIn
› fulvio-corsi...
Business Profiles
Researchgate: Fulvio Corsi
Venice, Italy
Fulvio CORSI | Professor (Associate) | PhD | Università di ...
www.researchgate.net
Fulvio Corsi Changes in variance, or volatility, over time can be modeled using the approach based on autoregressive conditional heteroscedasticity. Another approach is to model variance as an ...
Books & Literature
A Simple Long Memory Model of Realized Volatility - Fulvio Corsi ...
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› books › about › A_Simple_L...
Discrete Time Series, Processes, and Applications in Finance
books.google.com
... Giuseppe Ballochi, Fulvio Corsi, Michel Dacorogna, Hoss Haukson, Richard Olsen, Ulrich Müller, Olivier Pictet, Rejeb Sadruddin, and Adrien Trapletti.
Systemic Real and Financial Risks: Measurement, Forecasting, ...
books.google.com
We thank without implications Olivier Blanchard, Fabio Canova, Stijn Claessens, Fulvio Corsi, Ferre De Graeve, Myron Kwast, David Romer, Andrei Sarichev, ...
Related Documents
A Simple Approximate Long-Memory Model of Realized ...
statmath.wu.ac.at
by F Corsi · · Cited by — Fulvio Corsi. University of Lugano and Swiss Finance Institute abstract. The paper proposes an additive cascade model of volatility components. › FinEtricsQF › References
A tale of two sentiment scales: Disentangling short-run and ...
ui.adsabs.harvard.edu
by D Vassallo · · Cited by 2 — We benefited from discussion with Giuseppe Buccheri, Fulvio Corsi, Luca Trapin, as well as with conference participants to the Quantitative Finance Workshop ... › abs › abstract
Scientific Publications
When Micro Prudence Increases Macro Risk - jstor
www.jstor.org
by F Corsi · · Cited by 73 — Fulvio Corsi. Dipartimento di Scienze Economiche, Universitй Ca' Foscari, Venice, Italy and City University of London, United Kingdom, . › stable
The volatility of realized volatility - OPUS 4
publikationen.ub.uni-frankfurt.de
Fulvio Corsi, Uta Kretschmer, Stefan Mittnik, Christian Pigorsch. Using unobservable conditional variance as measure, latent-variable approaches, ... › year › docId
Discrete-Time Volatility Forecasting With Persistent Leverage Eff...:...
www.ingentaconnect.com
To cite this article: Fulvio Corsi & Roberto Renò (2012) Discrete-Time Volatility Forecasting With. Persistent Leverage Effect and the Link With ...
Publications
Publications | Uster Metrics
www.ustermetrics.com
Zumbach, Fulvio Corsi, Adrian Trapletti (2002). Efficient Estimation of Volatility Using High Frequency Data. On SSRN. Cite SSRN · Adrian Trapletti, Alois Geyer ... › publication
Volatility forecasting: the jumps do matter - CORE
core.ac.uk
By Fulvio Corsi, Davide Pirino and ... This study reconsiders the role of jumps for volatility forecasting by showing that jumps have positive and mostly significant ...
EconPapers: Fulvio Corsi
econpapers.repec.org
Jump to Journal Articles Working Papers Smile from the Past: A general option pricing framework with multiple volatility and leverage components
Reports & Statements
Publications - fabriziolillo - WordPress.com
fabriziolillo.wordpress.com
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi, Fabrizio Lillo, Comment on: Price Discovery in High Resolution, Journal of Financial Econometrics › publications
Miscellaneous
Publications - Luca Trapin - Google Sites
sites.google.com
Measuring the propagation of financial distress with Granger-causality tail risk networks, with Fulvio Corsi, Fabrizio Lillo and Davide Pirino (2018). › site › lucatrapin › publications
Fulvio Corsi | LinkedIn
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View Fulvio Corsi’s professional profile on LinkedIn. LinkedIn is the world's largest business network, helping professionals like Fulvio Corsi discover inside ...
Fulvio Corsi, economist | World Biographical Encyclopedia - Prabook
prabook.com
› web › fulvio.corsi
OFFICINA MECCANICA CORSI FULVIO E ZANNINI FAUSTO SNC ...
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A D&B Hoovers Subscription is your foot in the door to OFFICINA MECCANICA CORSI FULVIO E ZANNINI FAUSTO SNC contact information. FULVIO CORSI. Associate. › ... › CIVITELLA D'AGLIANO
When micro prudence increases macro risk : the destabilizung ...
www.econbiz.de
... increases macro risk : the destabilizung effects of financial innovation, leverage, and diversification. Fulvio Corsi, Stefano Marmi, Fabrizio Lillo ... › Record › when-micro-pruden...
A Simple Approximate Long-Memory Model of ebsco
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by F CORSI · · Cited by — Fulvio Corsi. University of Lugano and Swiss Finance Institute abstract. The paper proposes an additive cascade model of volatility components. › login
Duke Financial Econometrics Lunch Group, Spring 2015
econ.duke.edu
Apr 3, — - The Engle prize was awarded to Fulvio Corsi (a former member of this group) now on the faculty at the University of Lugano. The › finlunch
Forecasting Realised Volatility of MICEX index - File Exchange
www.mathworks.com
... volatility and applies HAR specification to produce one day ahead volatility forecast. Special thanks to Dr. Alev Atak, Dr. Fulvio Corsi, Oleg Komarov. › matlabcentral › f...
Francesco Cordoni - A1638: Identification of overd - CMStatistics
www.cmstatistics.org
Fulvio Corsi - University of Pisa and City University London (Italy) Abstract: When the number of observed macroeconomic variables is larger than the number ... Fulvio Corsi - University of Pisa and City University London (Italy) Adam Aleksander Majewski - QUANT Lab Pisa (Italy) Abstract: An analytic relation ... › viewSubmission › CMStatistics2018 › viewS...
High-Frequency Lead-Lag Effects and Cross-Asset Linkages
figshare.com
posted on , 08:58 authored by Giuseppe Buccheri, Fulvio Corsi, Stefano Peluso. Motivated by the empirical evidence of high-frequency lead-lag ... › articles › dataset › High-Frequenc...
IWEEE Final Program - Italian Econometric Association
www.side-iea.it
... Julien Royer, Jean-Michel Zakoïan; Circumventing Violations of Stochastic Equicontinuity in M-estimation - Mario Martinoli, Fulvio Corsi, Raffaello Seri. › iweee final-program-0
Intraday LeBaron effects - Abstract - Europe PMC
europepmc.org
by S Bianco · · Cited by 21 — Fulvio Corsi. Dipartimento di Economia Politica, Università di Siena, Piazza San Francesco 7, Siena, Italy. › article › pmc › pmc
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