Narrow search
Showing 1 - 7 of 7
Cover Image
Discrete-time volatility forecasting with persistent leverage effect and the link with continuous-time volatility modeling
Corsi, Fulvio; Renò, Roberto - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 3, pp. 368-380
Persistent link: https://www.econbiz.de/10009657273
Cover Image
Follow the money : the monetary roots of bubbles and crashes
Corsi, Fulvio; Sornette, Didier - 2011
We propose a reduced form model for the Minskian dynamics of liquidity and of asset prices in terms of the so-called financial accelerator mechanism. In a nutshell, credit creation is driven by the market value of the financial assets employed as collateral in the bank loans. This leads to a...
Persistent link: https://www.econbiz.de/10009561751
Cover Image
Follow the money : the monetary roots of bubbles and crashes
Corsi, Fulvio; Sornette, Didier - In: International review of financial analysis 32 (2014), pp. 47-59
Persistent link: https://www.econbiz.de/10010461341
Cover Image
The volatility of realized volatility
Corsi, Fulvio; Kretschmer, Uta; Mittnik, Stefan; … - 2005
Persistent link: https://www.econbiz.de/10003351594
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/10003761214
Cover Image
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Cover Image
A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo; Buccheri, Giuseppe; Corsi, Fulvio - In: International journal of forecasting 37 (2021) 2, pp. 569-586
Persistent link: https://www.econbiz.de/10012792854