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Smile from the past : a general option pricing framework with multiple volatility and leverage components
Majewski, Adam A.; Bormetti, Giacomo; Corsi, Fulvio - In: Journal of econometrics 187 (2015) 2, pp. 521-531
Persistent link: https://www.econbiz.de/10011499754
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Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, Fulvio; Pirino, Davide; Renò, Roberto - In: Journal of econometrics 159 (2010) 2, pp. 276-288
Persistent link: https://www.econbiz.de/10008840480
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The continuous-time limit of score-driven volatility models
Buccheri, Giuseppe; Corsi, Fulvio; Flandoli, Franco; … - In: Journal of econometrics 221 (2021) 2, pp. 655-675
Persistent link: https://www.econbiz.de/10012619254