Fulvio Corsi

Associate Professor

University of Pisa

Italy

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Dr. Fulvio Corsi is an Associate Professor at the University of Pisa, Italy. His research focuses on advanced modeling techniques in finance, particularly in realized covariance and high-frequency data dynamics. His recent publications include work on score-driven volatility models and their applications in option pricing and market efficiency.

Articles (9)

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2021

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2021

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2021

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2021

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2021

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2020

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2020

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2020

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2020

Collaborators (3)

Giuseppe Buccheri

Assistant Professor

University of Verona

ITALY

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Giacomo Bormetti

Associate Professor

University of Bologna

ITALY

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Stefano PELUSO

Associate Professor in Statistics

University of Milano-Bicocca

ITALY

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Fulvio Corsi

Research Interests

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Articles (9)

High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model

A DCC-type approach for realized covariance modeling with score-driven dynamics

Comment on: Price Discovery in High Resolution

HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies

The continuous-time limit of score-driven volatility models

A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics

A Stochastic Volatility Model With Realized Measures for Option Pricing

A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing

Entropy and Efficiency of the ETF Market

Collaborators (3)

Giuseppe Buccheri

Giacomo Bormetti

Stefano PELUSO

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