Overview
Fulvio Corsi is a financial econometrician (University of Pisa; formerly University of Lugano and the Swiss Finance Institute) known for high-frequency volatility modeling and realized-volatility forecasting.
Key Contributions / Features
- HAR-RV model (Corsi 2009): the Heterogeneous Autoregressive model of Realized Volatility — a simple multi-horizon (daily/weekly/monthly) regression that reproduces apparent long memory and forecasts realized volatility exceptionally well. Journal of Financial Econometrics 7(2): 174–196.
- Realized correlations and high-frequency methods (e.g. Audrino–Corsi 2008 tick-by-tick realized correlations; efficient RV estimation with Zumbach–Corsi–Trapletti 2002).
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