Fulvio Corsi : Citation Profile

Università degli Studi di Pisa

14

H index

16

i10 index

2772

Citations

RESEARCH PRODUCTION:

27

Articles

25

Papers

RESEARCH ACTIVITY:

   24 years (2001 - 2025). See details.
   Cites by year: 115
   Journals where Fulvio Corsi has often published
   Relations with other researchers
   Recent citing documents: 395.    Total self citations: 15 (0.54 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pco762
   Updated: 2026-06-13    RAS profile: 2026-06-10    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Fulvio Corsi.

Is cited by:

GUPTA, RANGAN (96)

Zhang, Yaojie (58)

Pierdzioch, Christian (48)

Asai, Manabu (46)

Degiannakis, Stavros (39)

Caporin, Massimiliano (37)

Santucci de Magistris, Paolo (34)

Santucci de Magistris, Paolo (34)

Lyócsa, Štefan (34)

Medeiros, Marcelo (33)

Wang, Yudong (32)

Cites to:

Bollerslev, Tim (64)

Shephard, Neil (52)

Andersen, Torben (41)

Diebold, Francis (33)

Koopman, Siem Jan (28)

Lucas, Andre (24)

Hansen, Peter (23)

Lunde, Asger (22)

Engle, Robert (21)

Renò, Roberto (18)

Creal, Drew (18)

Main data

Where Fulvio Corsi has published?

Journals with more than one article published# docs
Journal of Financial Econometrics5
Journal of Business & Economic Statistics4
Quantitative Finance3
Journal of Econometrics3
Econometric Reviews2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org8
Swiss Finance Institute Research Paper Series / Swiss Finance Institute4
University of St. Gallen Department of Economics working paper series 2008 / Department of Economics, University of St. Gallen2
LEM Papers Series / Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy2

Recent works citing Fulvio Corsi (2025 and 2024)

YearTitle of citing document
2024The Economic Value of Intraday Data in Hedging Commodity Spot Prices. (2024). Serra, Teresa ; Wu, Shujie ; Huang, Joshua. In: 2024 Conference, April 22-23, 2024, St. Louis, Missouri. RePEc:ags:nccc24:379012.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

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2026Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2024). Zohren, Stefan ; Poon, Ser-Huang ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480.

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943.

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2024DeepVol: Volatility Forecasting from High-Frequency Data with Dilated Causal Convolutions. (2024). Zohren, Stefan ; Moreno-Pino, Fernando. In: Papers. RePEc:arx:papers:2210.04797.

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2024An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2024). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2024Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2024). Wilms, Ines ; Hecq, Alain ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

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2024High-Frequency Volatility Estimation with Fast Multiple Change Points Detection. (2024). Polak, Pawel ; Balabhadra, Greeshma ; Ainasse, El Mehdi. In: Papers. RePEc:arx:papers:2303.10550.

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2024Learning to Predict Short-Term Volatility with Order Flow Image Representation. (2024). Hao, Mingyu ; Lenskiy, Artem. In: Papers. RePEc:arx:papers:2304.02472.

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2024Inference in Predictive Quantile Regressions. (2024). Maynard, Alex ; Kuriyama, Nina ; Shimotsu, Katsumi. In: Papers. RePEc:arx:papers:2306.00296.

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2025The Dynamic Persistence of Economic Shocks. (2023). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2306.01511.

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2024Data-driven fixed-point tuning for truncated realized variations. (2024). Han, Yuchen ; Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B. In: Papers. RePEc:arx:papers:2311.00905.

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2024Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter. (2024). Tang, Siu Hin ; Rosenbaum, Mathieu ; Zhou, Chao. In: Papers. RePEc:arx:papers:2311.04727.

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2024Rough volatility: evidence from range volatility estimators. (2024). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426.

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2024Price predictability at ultra-high frequency: Entropy-based randomness test. (2024). Marmi, Stefano ; Shternshis, Andrey. In: Papers. RePEc:arx:papers:2312.16637.

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2025SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: Papers. RePEc:arx:papers:2401.06249.

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2026Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting. (2024). Takahashi, Makoto ; Yamauchi, Yuta ; Omori, Yasuhiro ; Watanabe, Toshiaki. In: Papers. RePEc:arx:papers:2401.13179.

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2024Predicting the volatility of major energy commodity prices: the dynamic persistence model. (2024). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2402.01354.

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2025Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector. (2024). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2403.02591.

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2026Composite likelihood estimation of stationary Gaussian processes with a view toward stochastic volatility. (2024). Christensen, Peter ; Bennedsen, Mikkel. In: Papers. RePEc:arx:papers:2403.12653.

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2024Convolution-t Distributions. (2024). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2404.00864.

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2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

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2024Degree of Irrationality: Sentiment and Implied Volatility Surface. (2024). Xie, Yan ; Weng, Jiahao. In: Papers. RePEc:arx:papers:2405.11730.

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2026Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2024HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning. (2024). Chassot, Jonathan ; Audrino, Francesco. In: Papers. RePEc:arx:papers:2406.08041.

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2024Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model. (2024). Gerlach, Richard ; Peiris, Rangika ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2408.13588.

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2024Evaluating Credit VIX (CDS IV) Prediction Methods with Incremental Batch Learning. (2024). Taylor, Robert. In: Papers. RePEc:arx:papers:2408.15404.

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2025The continuous-time limit of quasi score-driven volatility models. (2024). He, Ping ; Wu, Yinhao. In: Papers. RePEc:arx:papers:2409.14734.

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2025Global Stock Market Volatility Forecasting Incorporating Dynamic Graphs and All Trading Days. (2024). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2409.15320.

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2024Detecting Structural breakpoints in natural gas and electricity wholesale prices via Bayesian ensemble approach, in the era of energy prices turmoil of 2022 period: the cases of ten European markets. (2024). Gavalakis, George ; Evangelidis, George ; Papaioannou, George P. In: Papers. RePEc:arx:papers:2410.07224.

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2024Variance-Hawkes Process and its Application to Energy Markets. (2024). Swishchuk, Anatoliy ; McGillivray, Joshua. In: Papers. RePEc:arx:papers:2410.08420.

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2024GARCH option valuation with long-run and short-run volatility components: A novel framework ensuring positive variance. (2024). Ballestra, Luca Vincenzo ; Tezza, Christian ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2410.14513.

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2024A GARCH model with two volatility components and two driving factors. (2024). Ballestra, Luca Vincenzo ; Tezza, Christian ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2410.14585.

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2025Graph Signal Processing for Global Stock Market Realized Volatility Forecasting. (2025). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2410.22706.

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2025Moments by Integrating the Moment-Generating Function. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2410.23587.

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2026Probabilistic Predictions of Option Prices Using Multiple Sources of Data. (2024). Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2412.00658.

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2025Cubic-based Prediction Approach for Large Volatility Matrix using High-Frequency Financial Data. (2024). Choi, Sung Hoon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2412.04293.

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2024Systematic comparison of deep generative models applied to multivariate financial time series. (2024). Caulfield, Howard ; Gleeson, James P. In: Papers. RePEc:arx:papers:2412.06417.

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2024Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517.

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2024Forecasting realized covariances using HAR-type models. (2024). Tafakori, Laleh ; Quiroz, Matias ; Manner, Hans. In: Papers. RePEc:arx:papers:2412.10791.

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2025VAR models with an index structure: A survey with new results. (2024). Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2412.11278.

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2025Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555.

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2025Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data. (2025). Bormetti, Giacomo ; Serafini, Simone. In: Papers. RePEc:arx:papers:2501.17490.

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2025Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851.

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2025Liquidity-adjusted Return and Volatility, and Autoregressive Models. (2025). Deng, QI ; Zhou, Zhong-Guo. In: Papers. RePEc:arx:papers:2503.08693.

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2025Realized Volatility Forecasting for New Issues and Spin-Offs using Multi-Source Transfer Learning. (2025). Teller, Andreas ; Pigorsch, Christian. In: Papers. RePEc:arx:papers:2503.12648.

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2025Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2504.15985.

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2025Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?. (2025). Pollok, Austin. In: Papers. RePEc:arx:papers:2506.07928.

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2025NGAT: A Node-level Graph Attention Network for Long-term Stock Prediction. (2025). Potì, Valerio ; Dong, Ruihai ; Zhao, Mingchuan ; Niu, Yingjie. In: Papers. RePEc:arx:papers:2507.02018.

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2025Equity Markets Volatility, Regime Dependence and Economic Uncertainty: The Case of Pacific Basin. (2025). Raffiee, Kambiz ; Adrangi, Bahram ; Chatrath, Arjun ; Hatamerad, Saman. In: Papers. RePEc:arx:papers:2507.05552.

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2025Time Series Foundation Models for Multivariate Financial Time Series Forecasting. (2025). Marconi, Ben A. In: Papers. RePEc:arx:papers:2507.07296.

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2025Low-Rank Structured Nonparametric Prediction of Instantaneous Volatility. (2025). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2507.22173.

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2025A Predictive Framework Integrating Multi-Scale Volatility Components and Time-Varying Quantile Spillovers: Evidence from the Cryptocurrency Market. (2025). Fu, Sicheng ; Zhu, Fangfang ; Liu, Xiangdong. In: Papers. RePEc:arx:papers:2507.22409.

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2025Time-Varying Factor-Augmented Models for Volatility Forecasting. (2025). Chen, Elynn ; Mo, Junyi ; Li, Jiayu ; Zhang, Duo. In: Papers. RePEc:arx:papers:2508.01880.

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2025Mapping Microscopic and Systemic Risks in TradFi and DeFi: a literature review. (2025). Vivo, Pierpaolo ; Caccioli, Fabio ; Bartolucci, Silvia ; Aufiero, Sabrina. In: Papers. RePEc:arx:papers:2508.12007.

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2025Long memory score-driven models as approximations for rough Ornstein-Uhlenbeck processes. (2025). Wu, Yinhao ; He, Ping. In: Papers. RePEc:arx:papers:2509.09105.

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2025Forecasting Liquidity Withdraw with Machine Learning Models. (2025). , Wang. In: Papers. RePEc:arx:papers:2509.22985.

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2025Improving S&P 500 Volatility Forecasting through Regime-Switching Methods. (2025). Jakkula, Anurag R ; Blake, Ava C ; Gandhi, Nivika A. In: Papers. RePEc:arx:papers:2510.03236.

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2025A high-frequency approach to Realized Risk Measures. (2025). Mazzarisi, Piero ; Lillo, Fabrizio ; Gatta, Federico. In: Papers. RePEc:arx:papers:2510.16526.

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2025A Multi-Layer Machine Learning and Econometric Pipeline for Forecasting Market Risk: Evidence from Cryptoasset Liquidity Spillovers. (2025). Qiu, Yimeng ; Fang, Feihuang. In: Papers. RePEc:arx:papers:2510.20066.

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2025Fusing Narrative Semantics for Financial Volatility Forecasting. (2025). Zohren, Stefan ; Vryonides, Chris ; Kaiser, Marcus ; Hwang, Yoontae ; Kong, Yaxuan ; Oomen, Roel. In: Papers. RePEc:arx:papers:2510.20699.

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2025Forecast-to-Fill: Benchmark-Neutral Alpha and Billion-Dollar Capacity in Gold Futures (2015-2025). (2025). Singha, Mainak ; Aguilera-Toste, Jose ; Lahiri, Vinayak. In: Papers. RePEc:arx:papers:2511.08571.

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2025Emergence of Randomness in Temporally Aggregated Financial Tick Sequences. (2025). Shternshis, Andrey ; Onofri, Silvia ; Marmi, Stefano. In: Papers. RePEc:arx:papers:2511.17479.

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2025Portfolio Optimization via Transfer Learning. (2025). Wang, Kexin ; Zhang, Xiaomeng. In: Papers. RePEc:arx:papers:2511.21221.

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2026Volatility time series modeling by single-qubit quantum circuit learning. (2025). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2512.10584.

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2026Two-Step Regularized HARX to Measure Volatility Spillovers in Multi-Dimensional Systems. (2026). Mallory, Mindy L. In: Papers. RePEc:arx:papers:2601.03146.

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2026Warp speed price moves: Jumps after earnings announcements. (2026). Veliyev, Bezirgen ; Christensen, Kim ; Timmermann, Allan. In: Papers. RePEc:arx:papers:2601.08962.

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2026Realised quantile-based estimation of the integrated variance. (2026). Oomen, Roel ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.13006.

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2026A machine learning approach to volatility forecasting. (2026). Veliyev, Bezirgen ; Siggaard, Mathias ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.13014.

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2026Spectral Dynamics and Regularization for High-Dimensional Copulas. (2026). Gubbels, Koos B ; Lucas, Andre. In: Papers. RePEc:arx:papers:2601.13281.

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2026Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment. (2026). Hounyo, Ulrich ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.16613.

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2026Inference from high-frequency data: A subsampling approach. (2026). Veliyev, Bezirgen ; Thamrongrat, Nopporn ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.16668.

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2026Fact or friction: Jumps at ultra high frequency. (2026). Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2602.10925.

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2026Asymptotic theory of range-based multipower variation. (2026). Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2602.19287.

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2026Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. (2026). Podolskij, Mark ; Kinnebrock, Silja ; Christensen, Kim. In: Papers. RePEc:arx:papers:2602.19645.

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2026VOLatility Archive for Realized Estimates (VOLARE). (2026). Spagnolo, Fabio ; Otranto, Edoardo ; Gallo, Giampiero ; Insana, Alessandra ; Cruciani, Giulia ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2602.19732.

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2026Same Error, Different Function: The Optimizer as an Implicit Prior in Financial Time Series. (2026). Beneventano, Pierfrancesco ; Poggio, Tomaso ; Crippa, Giulia ; Iannone, Giuseppe ; Cortesi, Federico Vittorio. In: Papers. RePEc:arx:papers:2603.02620.

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2026Statistical Inference for Score Decompositions. (2026). Puke, Marius ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2603.04275.

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2026Do Prediction Markets Forecast Cryptocurrency Volatility? Evidence from Kalshi Macro Contracts. (2026). Krishnamachari, Bhaskar ; Mohanty, Hardhik. In: Papers. RePEc:arx:papers:2604.01431.

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2026Hedging market risk and uncertainty via a robust portfolio approach. (2026). Mazzarisi, Piero ; Flori, Andrea ; Chiappari, Mattia ; Ravagnani, Adele ; Patacca, Marco. In: Papers. RePEc:arx:papers:2604.02126.

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2026On options-driven realized volatility forecasting: Information gains via rough volatility model. (2026). Ye, Yifan ; Wang, Meng Melody ; Fan, Zheqi. In: Papers. RePEc:arx:papers:2604.02743.

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2026Regime-Aware Specialist Routing for Volatility Forecasting. (2026). Zhong, Tenghan. In: Papers. RePEc:arx:papers:2604.10402.

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2026Latent community paths in VAR-type models via dynamic directed spectral co-clustering. (2026). Baek, Changryong ; Kim, Younghoon. In: Papers. RePEc:arx:papers:2604.12563.

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2026Do Better Volatility Forecasts Lead to Better Portfolios? Evidence from Graph Neural Networks. (2026). Wade, Rylan. In: Papers. RePEc:arx:papers:2605.19278.

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2026Memory, Roughness, and Information Persistence in Financial Markets: A Structural Approach to Volatility Forecasting. (2026). Rachev, Svetlozar T ; Appiah, Nicholas ; Deep, Akash. In: Papers. RePEc:arx:papers:2605.24285.

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2024COVID‐19, Mobility Restriction Policies and Stock Market Volatility: A Cross‐Country Empirical Study. (2024). Vespignani, Joaquin ; Ahadzie, Richard Mawulawoe ; Kangogo, Moses ; Khan, Faisal ; Daugaard, Dan. In: Economic Papers. RePEc:bla:econpa:v:43:y:2024:i:2:p:184-203.

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2024Exploring the impact of oil security attention on oil volatility: A new perspective. (2024). Li, Shan ; Wang, LU ; Liang, Chao. In: International Finance. RePEc:bla:intfin:v:27:y:2024:i:1:p:61-80.

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2024Future directions in nowcasting economic activity: A systematic literature review. (2024). Pekarskiene, Irena ; Lukauskas, Mantas ; Grybauskas, Andrius ; Bruneckiene, Jurgita ; Pilinkiene, Vaida ; Stundziene, Alina. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:4:p:1199-1233.

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2024Testing for jumps with robust spot volatility estimators. (2024). Sun, Yucheng. In: Statistica Neerlandica. RePEc:bla:stanee:v:78:y:2024:i:1:p:79-104.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Working Papers. RePEc:boa:wpaper:202528.

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2025Heterogeneity, Jumps and Co-Movements in Transmission of Volatility Spillovers Among Cryptocurrencies. (2025). Maria, Tantoula ; Manolis, Tzagarakis ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:29:y:2025:i:5:p:621-649:n:1002.

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2025Event-Driven Changes in Volatility Connectedness in Global Forex Markets. (2025). Kočenda, Evžen ; Albrecht, Peter ; Koenda, Even. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11606.

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2024A Vector Multiplicative Error Model with Spillover Effects and Co-movements. (2024). Otranto, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:202404.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2024024.

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2024A stochastic volatility model for volatility asymmetry and propagation. (2024). Lopes, Maria Helena ; Marin, Juan Miguel ; Romero, Eva. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:43887.

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2025Beyond GARCH: Bayesian Neural Stochastic Volatility. (2025). Marn, Juan Miguel ; Guo, Hongfei ; Veiga, Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:47944.

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2024Does oil future increase the network systemic risk of financial institutions in China?. (2024). Sun, Chuanwang ; Lin, Yuting ; Zhou, Lichao ; Chen, Chuanglian. In: Applied Energy. RePEc:eee:appene:v:364:y:2024:i:c:s0306261924005592.

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2025Bitcoin price volatility: Effects of retail traders, illegal users, and sentiment. (2025). Li, Jingrui ; John, Kose. In: Journal of Corporate Finance. RePEc:eee:corfin:v:94:y:2025:i:c:s0929119925001051.

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2024Nonnegative GARCH-type models with conditional Gamma distributions and their applications. (2024). Hwang, Eunju ; Jeon, Chanhyeok. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:198:y:2024:i:c:s0167947324000902.

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2025Judgment can spur long memory. (2025). Zanetti Chini, Emilio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:170:y:2025:i:c:s0165188924001970.

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Works by Fulvio Corsi:

YearTitleTypeCited
2008Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect In: Papers.
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2009Homogeneous Volatility Bridge Estimators In: Papers.
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2009Homogeneous Volatility Bridge Estimators.(2009) In: Swiss Finance Institute Research Paper Series.
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2013Modelling systemic price cojumps with Hawkes factor models In: Papers.
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2015Modelling systemic price cojumps with Hawkes factor models.(2015) In: Quantitative Finance.
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2014Smile from the Past: A general option pricing framework with multiple volatility and leverage components In: Papers.
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2013Smile from the Past: A general option pricing framework with multiple volatility and leverage components.(2013) In: Working Papers.
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2015Smile from the past: A general option pricing framework with multiple volatility and leverage components.(2015) In: Journal of Econometrics.
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2016Entropy and efficiency of the ETF market In: Papers.
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2020Entropy and Efficiency of the ETF Market.(2020) In: Computational Economics.
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2019A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics In: Papers.
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2021A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics.(2021) In: Journal of Business & Economic Statistics.
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2022A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters In: Papers.
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2024From rotational to scalar invariance: Enhancing identifiability in score-driven factor models In: Papers.
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2001Consistent High-precision Volatility from High-frequency Data In: Economic Notes.
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2004Consistent high-precision volatility from high-frequency data.(2004) In: Finance.
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2010Realizing Smiles: Pricing Options with Realized Volatility In: Swiss Finance Institute Research Paper Series.
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2011Follow the money: The monetary roots of bubbles and crashes In: Swiss Finance Institute Research Paper Series.
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2011Follow the money: The monetary roots of bubbles and crashes.(2011) In: Swiss Finance Institute Research Paper Series.
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2010Modeling tick-by-tick realized correlations In: Computational Statistics & Data Analysis.
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2008Modeling Tick-by-Tick Realized Correlations.(2008) In: University of St. Gallen Department of Economics working paper series 2008.
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2025SVAR identification with nowcasted macroeconomic data In: Journal of Economic Dynamics and Control.
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2010Threshold bipower variation and the impact of jumps on volatility forecasting In: Journal of Econometrics.
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2010Threshold bipower variation and the impact of jumps on volatility forecasting.(2010) In: Post-Print.
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2010Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting.(2010) In: LEM Papers Series.
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2021The continuous-time limit of score-driven volatility models In: Journal of Econometrics.
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2018Measuring the propagation of financial distress with Granger-causality tail risk networks In: Journal of Financial Stability.
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2021A DCC-type approach for realized covariance modeling with score-driven dynamics In: International Journal of Forecasting.
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2013Realizing smiles: Options pricing with realized volatility In: Journal of Financial Economics.
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2009Volatility Forecasting: The Jumps Do Matter In: Global COE Hi-Stat Discussion Paper Series.
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2008Volatility forecasting: the jumps do matter.(2008) In: Department of Economics University of Siena.
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2016When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification In: Operations Research.
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2012Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects In: Journal of Financial Econometrics.
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2008Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects.(2008) In: University of St. Gallen Department of Economics working paper series 2008.
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2015A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns In: Journal of Financial Econometrics.
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2021Comment on: Price Discovery in High Resolution In: Journal of Financial Econometrics.
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2021HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies* In: Journal of Financial Econometrics.
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2009A Simple Approximate Long-Memory Model of Realized Volatility In: Journal of Financial Econometrics.
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2019A realized volatility approach to option pricing with continuous and jump variance components In: Decisions in Economics and Finance.
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2024Generalized Optimization Algorithms for Complex Objective Functions In: LEM Papers Series.
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2008The Volatility of Realized Volatility In: Econometric Reviews.
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2005The volatility of realized volatility.(2005) In: CFS Working Paper Series.
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2016Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators In: Econometric Reviews.
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2010Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators.(2010) In: University of St. Gallen Department of Economics working paper series 2010.
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2012Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling In: Journal of Business & Economic Statistics.
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2020A Stochastic Volatility Model With Realized Measures for Option Pricing In: Journal of Business & Economic Statistics.
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2021High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model In: Journal of Business & Economic Statistics.
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2012Discrete sine transform for multi-scale realized volatility measures§ In: Quantitative Finance.
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2014Bridge homogeneous volatility estimators In: Quantitative Finance.
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2007Realized Correlation Tick-by-Tick In: University of St. Gallen Department of Economics working paper series 2007.
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2012Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation In: Economics Working Paper Series.
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2015Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation.(2015) In: Journal of Applied Econometrics.
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