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 1 164 0 1 4 564
ARCH Models and Option Pricing: The Continuous Time Connection 0 0 0 1 1 2 4 449
ARCH Models and Option Pricing: The Continuous Time Connection 0 0 0 1 0 0 2 230
ARCH Models and Option Pricing: the Continuous-Time Connection 0 0 0 741 3 4 5 2,215
An Equilibrium Model of the Term Structure with Stochastic Volatility 0 0 0 134 1 1 1 353
Macroeconomic determinants of carry trade activity 0 0 2 161 2 2 11 403
Predicting recession probabilities with financial variables over multiple horizons 0 0 2 159 0 2 12 373
Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations 0 0 0 217 0 1 3 974
Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations 0 0 0 98 0 1 2 358
Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets 0 0 0 1 0 0 4 811
Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis 0 0 0 243 0 1 1 703
Stock Values and Fundamentals: Link or Irrationality? 0 0 0 0 1 1 1 1,383
Stock Values and Fundamentals; Link or Irrationality? 0 0 0 77 0 0 1 327
Stock market firm-level information and real economic activity 0 0 0 41 0 2 3 155
The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates 0 0 0 83 3 3 6 320
The Probability Density Function of Interest Rates Implied in the Price of Options 0 0 0 37 0 0 1 304
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 1 2 86 1 3 7 236
The size of the equity premium 0 0 0 95 0 0 3 451
What does a financial shock do? First international evidence 0 0 0 118 1 3 5 276
Total Working Papers 0 1 7 2,461 13 27 76 12,418

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 3 94
Approximating volatility diffusions with CEV-ARCH models 0 0 0 35 0 0 1 127
Assessing the compensation for volatility risk implicit in interest rate derivatives 0 0 0 19 1 2 3 82
Asymmetries and non-linearities in economic activity 0 0 0 8 0 0 1 63
Estimating variability in the Italian stock market: An ARCH approach 0 0 1 58 0 1 3 140
La localizzazione territoriale degli sportelli bancari e le determinanti delle aperture 0 0 0 18 2 2 2 43
Macroeconomic Determinants of Carry Trade Activity 0 0 0 52 0 0 3 186
Macroeconomic announcements and implied volatilities in swaption markets 0 0 0 50 1 4 5 238
Modeling the changing asymmetry of conditional variances 0 0 0 36 0 1 5 101
Recovering the probability density function of asset prices using garch as diffusion approximations 0 0 0 57 1 1 1 269
Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets 0 0 1 276 1 1 4 816
The Role of Financial Variables in predicting economic activity 0 0 0 0 0 2 3 129
The impact of news on the exchange rate of the lira and long-term interest rates 0 0 0 55 1 1 3 214
The rise and fall of US dollar interest rate volatility: evidence from swaptions 0 0 0 51 1 1 3 479
Volatility smiles and the information content of news 0 0 0 69 3 3 6 340
Weak convergence and distributional assumptions for a general class of nonliner arch models 0 0 0 26 3 4 8 92
What does a financial shock do? First international evidence 0 0 0 103 2 2 4 322
Total Journal Articles 0 0 2 941 16 26 58 3,735

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Statistics updated 2025-12-06