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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

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

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

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

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

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...