Access Statistics for Fabio Fornari

Author contact details at EconPapers.

Working Paper	File Downloads				Abstract Views
Working Paper	Last month	3 months	12 months	Total	Last month	3 months	12 months	Total
A Simple Approach to the Estimation of Continuous Time CEV Stochastic Volatility Models of the Short-Term Rate	1	9	26	94	6	23	89	302
ARCH Models and Option Pricing: The Continuous Time Connection	0	0	0	1	0	1	16	377
ARCH Models and Option Pricing: The Continuous Time Connection	0	0	0	1	0	3	29	135
ARCH Models and Option Pricing: the Continuous-Time Connection	5	8	49	671	23	79	255	1,908
An Equilibrium Model of the Term Structure with Stochastic Volatility	0	0	1	124	1	1	5	329
Assessing the compensation for volatility risk implicit in interest rate derivatives	5	12	24	55	9	22	88	158
Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations	1	5	32	145	7	30	140	586
Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations	0	0	7	86	0	1	22	289
Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets	0	0	0	1	5	6	24	687
Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis	1	1	7	239	4	6	25	662
Stock Values and Fundamentals: Link or Irrationality?	0	0	0	0	4	13	46	1,296
Stock Values and Fundamentals; Link or Irrationality?	1	1	6	40	3	8	25	131
The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates	3	7	16	16	6	16	46	46
The Probability Density Function of Interest Rates Implied in the Price of Options	0	0	0	4	6	11	80	1,412
The size of the equity premium	3	5	16	53	8	15	57	215
Total Working Papers	20	48	184	1,530	82	235	947	8,533

Journal Article	File Downloads				Abstract Views
Journal Article	Last month	3 months	12 months	Total	Last month	3 months	12 months	Total
A stochastic variance model for absolute returns	0	1	6	25	0	1	11	70
Approximating volatility diffusions with CEV-ARCH models	0	0	1	14	1	1	5	50
Asymmetries and Non-linearities in Economic Activity	0	0	1	6	0	0	2	31
Estimating variability in the Italian stock market: An ARCH approach	0	2	6	20	0	4	18	52
Macroeconomic announcements and implied volatilities in swaption markets	2	3	9	20	3	10	41	81
Modeling the changing asymmetry of conditional variances	0	0	4	20	0	2	11	40
Recovering the probability density function of asset prices using garch as diffusion approximations	0	1	5	43	1	2	22	196
Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets	2	2	9	225	3	6	25	617
The impact of news on the exchange rate of the lira and long-term interest rates	2	2	4	41	4	8	18	117
The rise and fall of US dollar interest rate volatility: evidence from swaptions	0	2	13	27	21	44	136	249
Volatility Smiles and the Information Content of News	0	0	3	57	0	0	6	283
Weak convergence and distributional assumptions for a general class of nonliner arch models	0	0	3	8	0	0	10	22
Total Journal Articles	6	13	64	506	33	78	305	1,808

Authors with papers registered in the RePEc Author Service.

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Statistics updated 2009-11-04