3 citations · 8 across the 8 of their papers we have counts for
10 papers
Filtering and Smoothing with Score-Driven Models
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi +1
Score-driven models are, by construction, purely predictive filters. When such models are read as filters for an underlying latent process, rather than as data generating processes…
From rotational to scalar invariance: Enhancing identifiability in score-driven factor models
Giuseppe Buccheri, Fulvio Corsi, Emilija Dzuverovic
We show that, for a certain class of scaling matrices including the commonly used inverse square-root of the conditional Fisher Information, score-driven factor models are identifi…
A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters
Giacomo Bormetti, Fulvio Corsi
We propose an observation-driven time-varying SVAR model where, in agreement with the Lucas Critique, structural shocks drive both the evolution of the macro variables and the dyna…
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi +1
The analysis of the intraday dynamics of correlations among high-frequency returns is challenging due to the presence of asynchronous trading and market microstructure noise. Both…
Robust filtering and smoothing via perturbation methods
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi +1
Using a perturbation technique, we derive a new approximate filtering and smoothing methodology generalizing along different directions several existing approaches to robust filter…
Entropy and efficiency of the ETF market
Lucio Maria Calcagnile, Fulvio Corsi, Stefano Marmi
We investigate the relative information efficiency of financial markets by measuring the entropy of the time series of high frequency data. Our tool to measure efficiency is the Sh…