Narrow search
Showing 1 - 7 of 7
Cover Image
PROCEEDINGS OF THE INTERNATIONAL CONFERENCE 'MANAGING CREDIT AND MARKET RISK. NEW TECHNIQUES FOR NEW SOURCES OF RISK' - Consistent High-precision Volatility from High-frequency Data
Corsi, Fulvio; Zumbach, Gilles; Müller, Ulrich A.; … - In: Economic notes : economic review of Banca Monte dei … 30 (2001) 2, pp. 183-204
Persistent link: https://www.econbiz.de/10006038518
Cover Image
The Volatility of Realized Volatility
Corsi, Fulvio; Mittnik, Stefan; Pigorsch, Christian; … - In: Econometric reviews 27 (2008) 1-3, pp. 46-78
Persistent link: https://www.econbiz.de/10007993920
Cover Image
Realizing smiles: Options pricing with realized volatility
Corsi, Fulvio; Fusari, Nicola; La Vecchia, Davide - In: Journal of financial economics 107 (2013) 2, pp. 284-304
Persistent link: https://www.econbiz.de/10010071652
Cover Image
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling
Corsi, Fulvio; Ren, Roberto - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 3, pp. 368-381
Persistent link: https://www.econbiz.de/10009995979
Cover Image
Correlation, hierarchies, and networks in financial markets
Tumminello, Michele; Lillo, Fabrizio; Mantegna, Rosario N. - In: Journal of economic behavior & organization : JEBO 75 (2010) 1, pp. 40-59
Persistent link: https://www.econbiz.de/10008422861
Cover Image
Cluster analysis for portfolio optimization
Tola, Vincenzo; Lillo, Fabrizio; Gallegati, Mauro; … - In: Journal of economic dynamics & control 32 (2008) 1, pp. 235-258
Persistent link: https://www.econbiz.de/10007896297
Cover Image
The long memory of the efficient market
Lillo, Fabrizio; Farmer, J. Doyne - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 8 (2004) 3
Persistent link: https://www.econbiz.de/10009949822