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portrait of Dr Fulvio Corsi

Dr Fulvio Corsi

Reader in Financial Economics

School of Arts and Social Sciences, Department of Economics

Contact Information


Visit Fulvio Corsi

D338, Rhind Building

Postal Address

City, University of London
Northampton Square
United Kingdom



After joining the Olsen and Associates Company, who pioneered the study on high-frequency data in finance, he earned his PhD in finance at University of Lugano under the supervision of Prof. Barone-Adesi and Prof. Tim Bollerslev. He is an expert of in modelling and forecasting volatility dynamics: he devised the HAR-RV model (winning the Engle Prize 2010 for best paper published in 2007, 2008 and 2009 volumes of Journal of Financial Econometrics) which is nowadays a standard benchmark in analyzing financial volatility dynamics. He also contributed in the field of volatility measuring in the presence of microstructure noise, jump detection, correlation measuring and modelling, derivative pricing and nonlinear dynamic modelling of asset price bubble and crashes. He published on international journals as Journal of Financial Economics, Journal of Econometrics, Journal of Applied Econometrics, Journal of Business and Economic Statistics, PNAS.


  1. PhD Finance, University of Lugano, Switzerland, 2005
  2. MSc in Economics and Finance, Venice International University, Italy, 1999
  3. Diploma in Economics and Business (Hons), University of Pisa, Italy, 1998


  1. Assistant Professor, Ca Foscari University of Venice, 2013 – present
  2. Reader, City, University of London, 2013 – present
  3. Postdoctoral Research Fellow, Scuola Normale Superiore di Pisa, 2012 – 2013
  4. Postdoctoral Research Fellow, University of St. Gallen and Swiss Finance Institute, 2009 – 2011
  5. Postdoctoral Research Fellow, University of Siena, 2007 – 2009
  6. Postdoctoral Research Fellow, University of Lugano, 2005 – 2007
  7. Visiting Scholar, Duke University, 2004


Financial Econometrics and Empirical Finance: volatility, jumps, and correlation measures with high frequency data, (pseudo) long memory models induced by heterogeneous agents, multivariate models of realized volatility, derivative pricing, models for financial bubbles and systemic risk.



  1. Corsi, F., Audrino, F. and Renò, R. (2012). HAR Modeling for Realized Volatility Forecasting. Handbook of Volatility Models and Their Applications (pp. 363–382).

Journal articles (28)

  1. Bormetti, G., Casarin, R., Corsi, F. and Livieri, G. (2020). A Stochastic Volatility Model With Realized Measures for Option Pricing. Journal of Business and Economic Statistics, 38(4), pp. 856–871. doi:10.1080/07350015.2019.1604371.
  2. Buccheri, G., Corsi, F., Flandoli, F. and Livieri, G. (2020). The continuous-time limit of score-driven volatility models. Journal of Econometrics. doi:10.1016/j.jeconom.2020.07.042.
  3. Vassallo, D., Buccheri, G. and Corsi, F. (2020). A DCC-type approach for realized covariance modeling with score-driven dynamics. International Journal of Forecasting. doi:10.1016/j.ijforecast.2020.07.006.
  4. Buccheri, G., Bormetti, G., Corsi, F. and Lillo, F. (2020). A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics. Journal of Business & Economic Statistics. doi:10.1080/07350015.2020.1739530.
  5. Buccheri, G., Corsi, F. and Peluso, S. (2020). High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model. Journal of Business & Economic Statistics pp. 1–22. doi:10.1080/07350015.2019.1697699.
  6. Calcagnile, L.M., Corsi, F. and Marmi, S. (2020). Entropy and Efficiency of the ETF Market. Computational Economics, 55(1), pp. 143–184. doi:10.1007/s10614-019-09885-z.
  7. Alitab, D., Bormetti, G., Corsi, F. and Majewski, A.A. (2020). A jump and smile ride: Jump and variance risk premia in option pricing. Journal of Financial Econometrics, 18(1), pp. 121–157. doi:10.1093/jjfinec/nbz001.
  8. Buccheri, G. and Corsi, F. (2019). HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies*. Journal of Financial Econometrics. doi:10.1093/jjfinec/nbz025.
  9. Buccheri, G., Bormetti, G., Corsi, F. and Lillo, F. (2019). Comment on: Price Discovery in High Resolution. Journal of Financial Econometrics. doi:10.1093/jjfinec/nbz008.
  10. Corsi, F., Lillo, F., Pirino, D. and Trapin, L. (2018). Measuring the propagation of financial distress with Granger-causality tail risk networks. Journal of Financial Stability, 38, pp. 18–36. doi:10.1016/j.jfs.2018.06.003.
  11. Audrino, F., Corsi, F. and Filipova, K. (2016). Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators. Econometric Reviews, 35(2), pp. 232–256. doi:10.1080/07474938.2013.833809.
  12. Corsi, F., Marmi, S. and Lillo, F. (2016). When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification. OPERATIONS RESEARCH, 64(5), pp. 1073–1088. doi:10.1287/opre.2015.1464.
  13. Majewski, A.A., Bormetti, G. and Corsi, F. (2015). Smile from the past: A general option pricing framework with multiple volatility and leverage components. Journal of Econometrics, 187(2), pp. 521–531. doi:10.1016/j.jeconom.2015.02.036.
  14. Peluso, S., Corsi, F. and Mira, A. (2015). A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns. Journal of Financial Econometrics, 13(3), pp. 665–697. doi:10.1093/jjfinec/nbu017.
  15. Corsi, F., Peluso, F. and Audrino, F. (2015). Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation. Journal of Applied Econometrics. doi:10.1002/jae.2378.
  16. Bormetti, G., Calcagnile, L.M., Treccani, M., Corsi, F., Marmi, S. and Lillo, F. (2015). Modelling systemic price cojumps with Hawkes factor models. Quantitative Finance, 15(7), pp. 1137–1156. doi:10.1080/14697688.2014.996586.
  17. Corsi, F. and Sornette, D. (2014). Follow the money: The monetary roots of bubbles and crashes. International Review of Financial Analysis, 32, pp. 47–59. doi:10.1016/j.irfa.2014.01.007.
  18. Corsi, F., Fusari, N. and La Vecchia, D. (2013). Realizing smiles: Options pricing with realized volatility. Journal of Financial Economics, 107(2), pp. 284–304. doi:10.1016/j.jfineco.2012.08.015.
  19. Saichev, A., Sornette, D., Filimonov, V. and Corsi, F. (2013). Bridge homogeneous volatility estimators. Quantitative Finance, 14(1), pp. 87–99. doi:10.1080/14697688.2013.819985.
  20. Corsi, F. and Audrino, F. (2012). Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects. Journal of Financial Econometrics, 10(4), pp. 591–616.
  21. Corsi, F. and Renò, R. (2012). Discrete-time volatility forecasting with persistent leverage effect and the link with continuous-time volatility modeling. Journal of Business and Economic Statistics, 30(3), pp. 368–380.
  22. Curci, G. and Corsi, F. (2012). Discrete sine transform for multi-scale realized volatility measures. Quantitative Finance, 12(2), pp. 263–279.
  23. Audrino, F. and Corsi, F. (2010). Modeling tick-by-tick realized correlations. Computational Statistics and Data Analysis, 54(11), pp. 2372–2382. doi:10.1016/j.csda.2009.09.033.
  24. Corsi, F., Pirino, D. and Renò, R. (2010). Threshold bipower variation and the impact of jumps on volatility forecasting. Journal of Econometrics, 159(2), pp. 276–288. doi:10.1016/j.jeconom.2010.07.008.
  25. Bianco, S., Corsi, F. and Renò, R. (2009). Intraday LeBaron effects. Proc.Natl.Acad.Sci.U.S.A., 106(28), pp. 11439–11443.
  26. Corsi, F. (2009). A simple approximate long-memory model of realized volatility. Journal of Financial Econometrics, 7(2), pp. 174–196.
  27. Corsi, F., Mittnik, S., Pigorsch, C. and Pigorsch, U. (2008). The volatility of realized volatility. Econometric Reviews, 27(1-3), pp. 46–78.
  28. Corsi, F., Zumbach, G., Muller, U.A. and Dacorogna, M.M. (2001). Consistent high-precision volatility from high-frequency data. Economic Notes, 30(2), pp. 183–204.

Working paper

  1. Majewski, A.A., Bormetti, G. and Corsi, F. (2013). Smile from the Past: A general option pricing framework with multiple volatility and leverage components. London: Department of Economics, City University London.