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 1 2 5 565
ARCH Models and Option Pricing: The Continuous Time Connection 0 0 0 1 0 2 4 449
ARCH Models and Option Pricing: The Continuous Time Connection 0 0 0 1 1 1 2 231
ARCH Models and Option Pricing: the Continuous-Time Connection 0 0 0 741 3 7 8 2,218
An Equilibrium Model of the Term Structure with Stochastic Volatility 0 0 0 134 1 2 2 354
Macroeconomic determinants of carry trade activity 0 0 2 161 5 7 14 408
Predicting recession probabilities with financial variables over multiple horizons 0 0 2 159 4 6 15 377
Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations 0 0 0 217 1 2 4 975
Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations 0 0 0 98 0 0 2 358
Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets 0 0 0 1 3 3 6 814
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 2 2 1,384
Stock Values and Fundamentals; Link or Irrationality? 0 0 0 77 6 6 7 333
Stock market firm-level information and real economic activity 0 0 0 41 2 4 5 157
The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates 0 0 0 83 0 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 1 1 1 1,534
The role of financial variables in predicting economic activity 0 1 2 86 0 2 6 236
The size of the equity premium 0 0 0 95 0 0 2 451
What does a financial shock do? First international evidence 0 0 0 118 0 2 5 276
Total Working Papers 0 1 7 2,461 29 53 98 12,447

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 1 2 3 95
Approximating volatility diffusions with CEV-ARCH models 0 0 0 35 2 2 3 129
Assessing the compensation for volatility risk implicit in interest rate derivatives 0 0 0 19 2 4 5 84
Asymmetries and non-linearities in economic activity 0 0 0 8 1 1 2 64
Estimating variability in the Italian stock market: An ARCH approach 0 0 1 58 2 3 4 142
La localizzazione territoriale degli sportelli bancari e le determinanti delle aperture 0 0 0 18 0 2 2 43
Macroeconomic Determinants of Carry Trade Activity 0 0 0 52 3 3 5 189
Macroeconomic announcements and implied volatilities in swaption markets 0 0 0 50 5 7 10 243
Modeling the changing asymmetry of conditional variances 1 1 1 37 3 4 8 104
Recovering the probability density function of asset prices using garch as diffusion approximations 0 0 0 57 0 1 1 269
Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets 0 0 1 276 0 1 4 816
The Role of Financial Variables in predicting economic activity 0 0 0 0 1 3 4 130
The impact of news on the exchange rate of the lira and long-term interest rates 0 0 0 55 0 1 3 214
The rise and fall of US dollar interest rate volatility: evidence from swaptions 0 0 0 51 0 1 3 479
Volatility smiles and the information content of news 0 0 0 69 1 4 7 341
Weak convergence and distributional assumptions for a general class of nonliner arch models 0 0 0 26 1 5 9 93
What does a financial shock do? First international evidence 0 0 0 103 0 2 4 322
Total Journal Articles 1 1 3 942 22 46 77 3,757

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Statistics updated 2026-01-08