Fulvio Corsi
Biographic Data
| ID | 8920132 |
|---|---|
| NAME | Fulvio Corsi |
| GIVEN NAMES | Fulvio |
| FAMILY NAME | Corsi |
| SIGNATURE | CORSI F |
| AFFILIATIONS | University of Pisa |
| ORCID | 0000-0003-2683-4479 |
| VERIFIED | Yes |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 3 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2012 |
| LATEST PUBLICATION YEAR | 2021 |
| H-INDEX | 0 |
High-Frequency Lead-Lag Effects and Cross-Asset Linkages
Motivated by the empirical evidence of high-frequency lead-lag effects and cross-asset linkages, we introduce a multi-asset price formation model which generalizes standard univariate microstructure models of lagged price adjustment. Econometric inference on such model provides: (i) a unified statistical test for the presence of lead-lag correlations in the latent price process and for the existence of a multi-asset price formation mechanism; (ii…
A Stochastic Volatility Model With Realized Measures for Option Pricing
Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized measures to the latent conditional variance. A semi-analytical option pricing framework is developed for this class of models. In addition, we provide analytical filtering and smoothing recursions for the basic…
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling
We first propose a reduced-form model in discrete time for S&P 500 volatility showing that the forecasting performance can be significantly improved by introducing a persistent leverage effect with a long-range dependence similar to that of volatility itself. We also find a strongly significant positive impact of lagged jumps on volatility, which however is absorbed more quickly. We then estimate continuous-time stochastic volatility models that …
No prominent works on this page.
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling
We first propose a reduced-form model in discrete time for S&P 500 volatility showing that the forecasting performance can be significantly improved by introducing a persistent leverage effect with a long-range dependence similar to that of volatility itself. We also find a strongly significant positive impact of lagged jumps on volatility, which however is absorbed more quickly. We then estimate continuous-time stochastic volatility models that …
A Stochastic Volatility Model With Realized Measures for Option Pricing
Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized measures to the latent conditional variance. A semi-analytical option pricing framework is developed for this class of models. In addition, we provide analytical filtering and smoothing recursions for the basic…
High-Frequency Lead-Lag Effects and Cross-Asset Linkages
Motivated by the empirical evidence of high-frequency lead-lag effects and cross-asset linkages, we introduce a multi-asset price formation model which generalizes standard univariate microstructure models of lagged price adjustment. Econometric inference on such model provides: (i) a unified statistical test for the presence of lead-lag correlations in the latent price process and for the existence of a multi-asset price formation mechanism; (ii…
Econometrics (3 works) · Economics (3 works) · Complex Systems and Time Series Analysis (2 works) · Computer Science (2 works) · Financial Risk and Volatility Modeling (2 works) · Mathematics (2 works) · Statistics (2 works) · Stochastic processes and financial applications (2 works) · Art (1 work) · Autoregressive conditional heteroskedasticity (1 work)