[null, {"document_url": "https://www.city.ac.uk/people/academics/fulvio-corsi", "unformatted_src": "https://www.city.ac.uk/__data/assets/image/0004/206473/SBBK113.jpg", "src": "https://www.city.ac.uk/__data/assets/image/0004/206473/SBBK113.jpg", "formatted_filename": "SBBK", "alt_text": "portrait of Dr Fulvio Corsi"}, null]
Dr Fulvio Corsi

Reader in Financial Economics

School of Arts and Social Sciences, Department of Economics



Visit Fulvio Corsi

D621, Rhind Building





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.




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.




Working paper