Access Statistics for Fabio Fornari

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
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 0 0 1 163 0 0 2 560
ARCH Models and Option Pricing: The Continuous Time Connection 0 0 0 1 0 1 1 229
ARCH Models and Option Pricing: The Continuous Time Connection 0 0 0 1 0 0 0 445
ARCH Models and Option Pricing: the Continuous-Time Connection 0 0 1 741 1 1 3 2,211
An Equilibrium Model of the Term Structure with Stochastic Volatility 0 0 0 134 0 0 0 352
Macroeconomic determinants of carry trade activity 0 0 4 159 0 5 13 397
Predicting recession probabilities with financial variables over multiple horizons 0 2 4 159 0 8 12 369
Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations 0 0 2 217 0 2 6 973
Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations 0 0 1 98 0 0 1 356
Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets 0 0 0 1 0 2 2 809
Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis 0 0 0 243 0 0 0 702
Stock Values and Fundamentals: Link or Irrationality? 0 0 0 0 0 0 0 1,382
Stock Values and Fundamentals; Link or Irrationality? 0 0 0 77 0 0 0 326
Stock market firm-level information and real economic activity 0 0 0 41 0 0 2 152
The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates 0 0 1 83 0 0 2 314
The Probability Density Function of Interest Rates Implied in the Price of Options 0 0 0 37 0 0 1 303
The Probability Density Function of Interest Rates Implied in the Price of Options 0 0 0 4 0 0 0 1,533
The role of financial variables in predicting economic activity 0 0 3 84 0 1 5 230
The size of the equity premium 0 0 0 95 1 2 2 450
What does a financial shock do? First international evidence 0 0 2 118 0 1 11 272
Total Working Papers 0 2 19 2,456 2 23 63 12,365

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A stochastic variance model for absolute returns 0 0 0 28 0 1 1 92
Approximating volatility diffusions with CEV-ARCH models 0 0 0 35 0 0 0 126
Assessing the compensation for volatility risk implicit in interest rate derivatives 0 0 1 19 1 1 3 80
Asymmetries and non-linearities in economic activity 0 0 0 8 1 1 1 63
Estimating variability in the Italian stock market: An ARCH approach 0 0 0 57 0 1 1 138
La localizzazione territoriale degli sportelli bancari e le determinanti delle aperture 0 0 1 18 0 0 1 41
Macroeconomic Determinants of Carry Trade Activity 0 0 5 52 1 3 14 186
Macroeconomic announcements and implied volatilities in swaption markets 0 0 0 50 0 0 2 233
Modeling the changing asymmetry of conditional variances 0 0 0 36 1 1 3 97
Recovering the probability density function of asset prices using garch as diffusion approximations 0 0 1 57 0 0 2 268
Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets 0 0 0 275 0 0 1 812
The Role of Financial Variables in predicting economic activity 0 0 0 0 0 0 1 126
The impact of news on the exchange rate of the lira and long-term interest rates 0 0 0 55 0 1 1 212
The rise and fall of US dollar interest rate volatility: evidence from swaptions 0 0 0 51 0 0 2 476
Volatility smiles and the information content of news 0 0 0 69 0 0 0 334
Weak convergence and distributional assumptions for a general class of nonliner arch models 0 0 0 26 2 2 4 86
What does a financial shock do? First international evidence 0 0 2 103 1 1 6 319
Total Journal Articles 0 0 10 939 7 12 43 3,689

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Statistics updated 2025-03-03