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 0 164 0 0 3 565
ARCH Models and Option Pricing: The Continuous Time Connection 0 0 0 1 1 3 6 235
ARCH Models and Option Pricing: The Continuous Time Connection 0 0 0 1 2 5 10 455
ARCH Models and Option Pricing: the Continuous-Time Connection 0 0 0 741 2 6 17 2,228
An Equilibrium Model of the Term Structure with Stochastic Volatility 0 0 0 134 4 5 7 359
Macroeconomic determinants of carry trade activity 1 1 2 162 4 5 16 414
Predicting recession probabilities with financial variables over multiple horizons 0 0 0 159 3 5 14 384
Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations 0 0 0 217 3 3 7 980
Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations 0 0 0 98 0 2 7 363
Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets 0 0 0 1 2 4 11 820
Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis 0 0 0 243 1 7 10 712
Stock Values and Fundamentals: Link or Irrationality? 0 0 0 0 1 2 7 1,389
Stock Values and Fundamentals; Link or Irrationality? 0 0 0 77 1 1 7 334
Stock market firm-level information and real economic activity 0 0 0 41 2 3 9 161
The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates 0 0 0 83 1 3 11 325
The Probability Density Function of Interest Rates Implied in the Price of Options 0 0 0 37 1 1 6 310
The Probability Density Function of Interest Rates Implied in the Price of Options 0 0 0 4 0 4 11 1,544
The role of financial variables in predicting economic activity 0 0 1 86 2 2 7 238
The size of the equity premium 0 0 0 95 0 0 4 454
What does a financial shock do? First international evidence 0 0 0 118 2 6 12 284
Total Working Papers 1 1 3 2,462 32 67 182 12,554

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 2 2 5 97
Approximating volatility diffusions with CEV-ARCH models 0 0 0 35 2 2 6 132
Assessing the compensation for volatility risk implicit in interest rate derivatives 0 0 0 19 4 5 14 94
Asymmetries and non-linearities in economic activity 0 0 0 8 2 4 7 70
Estimating variability in the Italian stock market: An ARCH approach 0 0 0 58 2 2 9 148
La localizzazione territoriale degli sportelli bancari e le determinanti delle aperture 0 0 0 18 5 7 9 50
Macroeconomic Determinants of Carry Trade Activity 0 0 0 52 2 4 11 197
Macroeconomic announcements and implied volatilities in swaption markets 0 0 0 50 5 6 18 251
Modeling the changing asymmetry of conditional variances 0 1 2 38 0 1 12 109
Recovering the probability density function of asset prices using garch as diffusion approximations 0 0 0 57 1 3 8 276
Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets 0 0 1 276 2 3 7 820
The Role of Financial Variables in predicting economic activity 0 0 0 0 2 3 10 136
The impact of news on the exchange rate of the lira and long-term interest rates 0 0 0 55 1 3 11 223
The rise and fall of US dollar interest rate volatility: evidence from swaptions 0 0 0 51 2 2 13 490
Volatility smiles and the information content of news 0 0 0 69 1 3 10 344
Weak convergence and distributional assumptions for a general class of nonliner arch models 0 0 0 26 0 0 11 98
What does a financial shock do? First international evidence 0 0 0 103 1 3 14 333
Total Journal Articles 0 1 3 943 34 53 175 3,868

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Statistics updated 2026-05-06