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 0 2 11 457
ARCH Models and Option Pricing: The Continuous Time Connection 0 0 0 1 0 0 5 235
ARCH Models and Option Pricing: the Continuous-Time Connection 0 0 0 741 0 2 19 2,230
An Equilibrium Model of the Term Structure with Stochastic Volatility 0 0 0 134 0 1 8 360
Macroeconomic determinants of carry trade activity 1 1 2 163 1 3 17 417
Predicting recession probabilities with financial variables over multiple horizons 0 0 0 159 1 2 15 386
Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations 0 0 0 217 0 0 7 980
Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations 0 0 0 98 0 1 7 364
Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets 0 0 0 1 0 0 9 820
Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis 0 0 0 243 0 0 10 712
Stock Values and Fundamentals: Link or Irrationality? 0 0 0 0 0 2 9 1,391
Stock Values and Fundamentals; Link or Irrationality? 0 0 0 77 0 0 7 334
Stock market firm-level information and real economic activity 0 0 0 41 0 2 11 163
The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates 0 0 0 83 0 2 10 327
The Probability Density Function of Interest Rates Implied in the Price of Options 0 0 0 4 0 3 14 1,547
The Probability Density Function of Interest Rates Implied in the Price of Options 0 0 0 37 0 2 8 312
The role of financial variables in predicting economic activity 0 1 2 87 0 2 7 240
The size of the equity premium 0 0 0 95 0 0 4 454
What does a financial shock do? First international evidence 1 1 1 119 1 1 13 285
Total Working Papers 2 3 5 2,465 3 25 194 12,579

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 6 99
Approximating volatility diffusions with CEV-ARCH models 0 0 0 35 1 2 8 134
Assessing the compensation for volatility risk implicit in interest rate derivatives 0 0 0 19 1 1 15 95
Asymmetries and non-linearities in economic activity 0 0 0 8 0 0 7 70
Estimating variability in the Italian stock market: An ARCH approach 0 0 0 58 0 0 9 148
La localizzazione territoriale degli sportelli bancari e le determinanti delle aperture 0 0 0 18 0 1 10 51
Macroeconomic Determinants of Carry Trade Activity 0 0 0 52 2 2 13 199
Macroeconomic announcements and implied volatilities in swaption markets 1 2 2 52 1 3 21 254
Modeling the changing asymmetry of conditional variances 0 0 2 38 0 0 11 109
Recovering the probability density function of asset prices using garch as diffusion approximations 0 0 0 57 0 1 9 277
Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets 0 0 0 276 0 0 6 820
The Role of Financial Variables in predicting economic activity 0 0 0 0 3 5 15 141
The impact of news on the exchange rate of the lira and long-term interest rates 0 0 0 55 0 0 10 223
The rise and fall of US dollar interest rate volatility: evidence from swaptions 0 0 0 51 1 1 14 491
Volatility smiles and the information content of news 0 0 0 69 0 1 8 345
Weak convergence and distributional assumptions for a general class of nonliner arch models 0 0 0 26 3 3 13 101
What does a financial shock do? First international evidence 0 0 0 103 1 1 15 334
Total Journal Articles 1 2 4 945 14 23 190 3,891

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Statistics updated 2026-08-07