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 1 162 1 1 15 554
ARCH Models and Option Pricing: The Continuous Time Connection 0 0 0 1 1 1 10 223
ARCH Models and Option Pricing: The Continuous Time Connection 0 0 0 1 1 1 6 444
ARCH Models and Option Pricing: the Continuous-Time Connection 0 0 0 739 0 2 7 2,205
An Equilibrium Model of the Term Structure with Stochastic Volatility 0 0 0 134 0 2 2 351
Macroeconomic determinants of carry trade activity 0 0 2 152 0 0 9 370
Predicting recession probabilities with financial variables over multiple horizons 1 1 3 147 3 3 9 329
Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations 0 0 1 212 0 2 23 946
Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations 0 0 0 97 0 2 5 354
Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets 0 0 0 1 0 0 4 791
Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis 0 0 0 243 0 1 1 701
Stock Values and Fundamentals: Link or Irrationality? 0 0 0 0 0 1 6 1,376
Stock Values and Fundamentals; Link or Irrationality? 0 0 0 73 0 2 5 313
Stock market firm-level information and real economic activity 0 0 1 39 0 1 9 142
The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates 0 1 1 77 0 2 6 299
The Probability Density Function of Interest Rates Implied in the Price of Options 0 0 3 33 1 11 31 258
The Probability Density Function of Interest Rates Implied in the Price of Options 0 0 0 4 0 0 3 1,530
The Role of Financial Variables in Predicting Economic Activity in the Euro Area 0 0 0 69 1 5 15 193
The role of financial variables in predicting economic activity 0 0 1 76 1 2 10 194
The size of the equity premium 0 0 0 92 0 1 4 437
What does a financial shock do? First international evidence 0 0 5 109 1 3 19 186
Total Working Papers 1 2 18 2,461 10 43 199 12,196


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 0 0 88
Approximating volatility diffusions with CEV-ARCH models 0 0 0 35 0 0 3 122
Assessing the compensation for volatility risk implicit in interest rate derivatives 0 0 0 13 0 0 2 67
Asymmetries and non-linearities in economic activity 0 0 0 8 0 0 1 61
Estimating variability in the Italian stock market: An ARCH approach 0 0 1 56 0 1 3 129
La localizzazione territoriale degli sportelli bancari e le determinanti delle aperture 0 1 2 17 0 2 6 38
Macroeconomic Determinants of Carry Trade Activity 0 0 2 37 0 5 23 142
Macroeconomic announcements and implied volatilities in swaption markets 0 0 0 49 1 2 5 225
Modeling the changing asymmetry of conditional variances 0 0 0 36 0 0 1 90
Recovering the probability density function of asset prices using garch as diffusion approximations 0 0 1 56 0 0 5 260
Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets 0 0 2 274 0 3 11 798
The Role of Financial Variables in predicting economic activity 0 0 0 0 0 0 6 114
The impact of news on the exchange rate of the lira and long-term interest rates 0 0 0 54 0 1 4 197
The rise and fall of US dollar interest rate volatility: evidence from swaptions 1 1 1 50 1 2 8 463
Volatility smiles and the information content of news 0 0 1 68 0 0 7 327
Weak convergence and distributional assumptions for a general class of nonliner arch models 0 0 1 24 0 0 3 72
What does a financial shock do? First international evidence 0 0 3 90 2 3 20 280
Total Journal Articles 1 2 14 895 4 19 108 3,473


Statistics updated 2021-01-03