CORSI, Fulvio
CORSI, Fulvio
Scuola Normale Superiore
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Modelling systemic price cojumps with Hawkes factor models
2015-01-01 Bormetti, Giacomo; Calcagnile, LUCIO MARIA; Treccani, Michele; Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio
Smile from the past: A general option pricing framework with multiple volatility and leverage components
2015-01-01 Majewski, ADAM ALEKSANDER; Bormetti, Giacomo; Corsi, Fulvio
The continuous-time limit of score-driven volatility models
2021-01-01 Buccheri, Giuseppe; Corsi, Fulvio; Flandoli, Franco; Livieri, Giulia
Threshold bipower variation and the impact of jumps on volatility forecasting
2010-01-01 Corsi, Fulvio; Pirino, DAVIDE ERMINIO; Reno', Roberto
Titolo | Data di pubblicazione | Autori | Tipo | File |
---|---|---|---|---|
Modelling systemic price cojumps with Hawkes factor models | 1-gen-2015 | BORMETTI, GIACOMOCALCAGNILE, LUCIO MARIACORSI, FulvioMARMI, StefanoLILLO, FABRIZIO + | 1.1 Articolo in rivista | |
Smile from the past: A general option pricing framework with multiple volatility and leverage components | 1-gen-2015 | MAJEWSKI, ADAM ALEKSANDERBORMETTI, GIACOMOCORSI, Fulvio | 1.1 Articolo in rivista | |
The continuous-time limit of score-driven volatility models | 1-gen-2021 | Giuseppe BuccheriFulvio CorsiFranco FlandoliGiulia Livieri | 1.1 Articolo in rivista | |
Threshold bipower variation and the impact of jumps on volatility forecasting | 1-gen-2010 | CORSI, FulvioPIRINO, DAVIDE ERMINIORENO', Roberto | 1.1 Articolo in rivista |