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Citations of
Fabio Fornari

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles | Access and download statistics

Working papers

  1. Fabio Fornari, 2002. "The size of the equity premium," Temi di discussione (Economic working papers) 447, Bank of Italy, Economic Research Department. [Downloadable!]

    Cited by:

    1. Paolo Angelini, 2002. "Liquidity and Announcement Effects in the Euro Area," Temi di discussione (Economic working papers) 451, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:
    2. Silvia Magri, 2002. "Italian households' debt: determinants of demand and supply," Temi di discussione (Economic working papers) 454, Bank of Italy, Economic Research Department. [Downloadable!]

  2. Fabio Fornari & Antonio Mele, 2001. "A Simple Approach to the Estimation of Continuous Time CEV Stochastic Volatility Models of the Short-Term Rate," Temi di discussione (Economic working papers) 397, Bank of Italy, Economic Research Department. [Downloadable!]

    Cited by:

    1. Luca Dedola & Eugenio Gaiotti & Luca Silipo, 2001. "Money demand in the euro area: do national differences matter?," Temi di discussione (Economic working papers) 405, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:
    2. Emilia Bonaccorsi di Patti & Giorgio Gobbi, 2001. "The Effects of Bank Consolidation and Market Entry on Small Business Lending," Temi di discussione (Economic working papers) 404, Bank of Italy, Economic Research Department. [Downloadable!]
    3. Monica Paiella, 2001. "Limited Financial Market Participation: A Transaction Cost-Based Explanation," Temi di discussione (Economic working papers) 415, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:

  3. F. Fornari & A. Mele, 2000. "Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations," THEMA Working Papers 2000-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Menelaos Karanasosa & Stefanie Schurer, 2007. "Is the Relationship Between Inflation and its Uncertainty Linear?," Ruhr Economic Papers 0018, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen. [Downloadable!]
    2. Christian Conrad & Menelaos Karanasos & Ning Zeng, 2008. "Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study," Working Papers 0472, University of Heidelberg, Department of Economics, revised Jul 2008. [Downloadable!]
    3. Luca Dedola & Eugenio Gaiotti & Luca Silipo, 2001. "Money demand in the euro area: do national differences matter?," Temi di discussione (Economic working papers) 405, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:
    4. Emilia Bonaccorsi di Patti & Giorgio Gobbi, 2001. "The Effects of Bank Consolidation and Market Entry on Small Business Lending," Temi di discussione (Economic working papers) 404, Bank of Italy, Economic Research Department. [Downloadable!]
    5. Fabio Fornari, 2002. "The size of the equity premium," Temi di discussione (Economic working papers) 447, Bank of Italy, Economic Research Department. [Downloadable!]
    6. Monica Paiella, 2001. "Limited Financial Market Participation: A Transaction Cost-Based Explanation," Temi di discussione (Economic working papers) 415, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:
    7. A. Mele, 2000. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," THEMA Working Papers 2000-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
      Other versions:
    8. Fabio Fornari, 2008. "Assessing the compensation for volatility risk implicit in interest rate derivatives," Working Paper Series 859, European Central Bank. [Downloadable!]

  4. Fornari, F. & Pericoli, M., 2000. "Stock Values and Fundamentals: Link or Irrationality?," Papers 378, Banca Italia - Servizio di Studi.
    Other versions:

    Cited by:

    1. Guido de Blasio & Federico Mini, 2001. "Seasonality and Capacity: an Application to Italy," Temi di discussione (Economic working papers) 403, Bank of Italy, Economic Research Department. [Downloadable!]

  5. Fabio Fornari & Carlo Monticelli & Marcello Pericoli & Massimo Tivegna, 1999. "The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates," Temi di discussione (Economic working papers) 358, Bank of Italy, Economic Research Department. [Downloadable!]
    Published as:

    Cited by:

    1. Dario Focarelli & Fabio Panetta & Carmelo Salleo, 1999. "Why Do Banks Merge?," Temi di discussione (Economic working papers) 361, Bank of Italy, Economic Research Department. [Downloadable!]
    2. Ferhan Salman, 2005. "Information, Capital Gains Taxes & New York Stock Exchange," Working Papers 0513, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
    3. Marcel Fratzscher & Livio Stracca, 2009. "Does it pay to have the euro? Italy’s politics and financial markets under the lira and the euro," Working Paper Series 1064, European Central Bank. [Downloadable!]
    4. Olcay Yucel Culha & Fatih Ozatay & Gulbin Sahinbeyoglu, 2006. "The Determinants of Sovereign Spreads in Emerging Markets," Working Papers 0604, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
    5. Giuseppe Ferraguto & Patrizio Pagano, 2000. "Endogenous Growth with Intertemporally Dependent Preferences," Temi di discussione (Economic working papers) 382, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:

  6. F. Fornari & A. Mele, 1998. "ARCH Models and Option Pricing : The Continuous Time Connection," THEMA Working Papers 98-30, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    Other versions:

    Cited by:

    1. Antonio Mele & Fabio Fornari, 1999. "Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis," Computing in Economics and Finance 1999 912, Society for Computational Economics. [Downloadable!]

  7. Fornari, F. & Violi, R., 1998. "The Probability Density Function of Interest Rates Implied in the Price of Options," Papers 339, Banca Italia - Servizio di Studi.

    Cited by:

    1. Marcello Pericoli, 2005. "Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area," Temi di discussione (Economic working papers) 545, Bank of Italy, Economic Research Department. [Downloadable!]
    2. Dario Focarelli & Fabio Panetta & Carmelo Salleo, 1999. "Why Do Banks Merge?," Temi di discussione (Economic working papers) 361, Bank of Italy, Economic Research Department. [Downloadable!]
    3. Leonardo Gambacorta, 1999. "What is the Optimal Institutional Arrangement for a Monetary Union?," Temi di discussione (Economic working papers) 356, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:
    4. Martin Mandler, 2002. "Extracting Market Expectations from Option Prices: Two Case Studies in Market Perceptions of the ECB's Monetary Policy 1999/2000," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(II), pages 165-189, June. [Downloadable!]
    5. Stefano Siviero & Daniele Terlizzese & Ignazio Visco, 1999. "Are model-based inflation forecasts used in monetary policymaking? A case study," Temi di discussione (Economic working papers) 357, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:

  8. Fornari, F. & Mele, A., 1995. "Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets," Papers 251, Banca Italia - Servizio di Studi.
    Published as:

    Cited by:

    1. Kulp-Tåg, Sofie, 2007. "Short-Horizon Asymmetric Mean-Reversion and Overreactions: Evidence from the Nordic Stock Markets," Working Papers 524, Hanken School of Economics. [Downloadable!]
    2. Ana Filipa Carvalho & José Sá da Costa & José Assis Lopes, 2006. "A systematic modelling strategy for futures markets volatility," Applied Financial Economics, Taylor and Francis Journals, vol. 16(11), pages 819-833, July. [Downloadable!] (restricted)
    3. Antonio Mele & Fabio Fornari, 1999. "ARCH Models and Option Pricing: the Continuous-Time Connection," Computing in Economics and Finance 1999 113, Society for Computational Economics. [Downloadable!]
      Other versions:
    4. He, Changli & Teräsvirta, Timo, 1997. "Properties of Moments of a Family of GARCH Processes," Working Paper Series in Economics and Finance 198, Stockholm School of Economics.
      Other versions:
    5. Kian Teng Kwek & Kuan Nee Koay, 2006. "Exchange rate volatility and volatility asymmetries: an application to finding a natural dollar currency," Applied Economics, Taylor and Francis Journals, vol. 38(3), pages 307-323, February. [Downloadable!] (restricted)
    6. Qingfeng Liu & Kimio Morimune, 2005. "A Modified GARCH Model with Spells of Shocks," Asia-Pacific Financial Markets, Springer, vol. 12(1), pages 29-44, March. [Downloadable!] (restricted)
    7. Nikiforos T. Laopodis, 2001. "Time-Varying Behavior And Asymmetry In Ems Exchange Rates," International Economic Journal, Korean International Economic Association, vol. 15(4), pages 81-94, December. [Downloadable!] (restricted)

Articles

  1. Fabio Fornari, 2005. "The rise and fall of US dollar interest rate volatility: evidence from swaptions," BIS Quarterly Review, Bank for International Settlements, September. [Downloadable!]

    Cited by:

    1. Mandler, Martin, 2007. "The Taylor rule and interest rate uncertainty in the U.S. 1970-2006," MPRA Paper 2340, University Library of Munich, Germany, revised May 2009. [Downloadable!]
      Other versions:

  2. Fabio Fornari, 2004. "Macroeconomic announcements and implied volatilities in swaption markets," BIS Quarterly Review, Bank for International Settlements, September. [Downloadable!]

    Cited by:

    1. Claudio Loderer & Marc-André Mittermayer, 2006. "America and the Swiss Stock Exchange: An Intraday Analysis," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 142(I), pages 79-114, March. [Downloadable!]

  3. Fornari, Fabio & Monticelli, Carlo & Pericoli, Marcello & Tivegna, Massimo, 2002. "The impact of news on the exchange rate of the lira and long-term interest rates," Economic Modelling, Elsevier, vol. 19(4), pages 611-639, August. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  4. Fornari, Fabio & Mele, Antonio, 2001. "Recovering the probability density function of asset prices using garch as diffusion approximations," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 83-110, March. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  5. Fornari, Fabio & Mele, Antonio, 1997. "Asymmetries and Non-linearities in Economic Activity," Applied Financial Economics, Taylor and Francis Journals, vol. 7(2), pages 203-06, April. [Downloadable!] (restricted)

    Cited by:

    1. Eun S. Ahn & Jin Man Lee, 2006. "Volatility relationship between stock performance and real output," Applied Financial Economics, Taylor and Francis Journals, vol. 16(11), pages 777-784, July. [Downloadable!] (restricted)
    2. Christos S. Savva & Kyriakos C. Neanidis & Denise R. Osborn, 2007. "Business Cycle Synchronization of the Euro Area with the New and Negotiating Member Countries," Centre for Growth and Business Cycle Research Discussion Paper Series 91, Economics, The Univeristy of Manchester. [Downloadable!]
      Other versions:

  6. Fabio Fornari & Antonio Mele, 1997. "Weak convergence and distributional assumptions for a general class of nonliner arch models," Econometric Reviews, Taylor and Francis Journals, vol. 16(2), pages 205-227. [Downloadable!] (restricted)

    Cited by:

    1. Menelaos Karanasosa & Stefanie Schurer, 2007. "Is the Relationship Between Inflation and its Uncertainty Linear?," Ruhr Economic Papers 0018, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen. [Downloadable!]
    2. Christian Conrad & Menelaos Karanasos & Ning Zeng, 2008. "Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study," Working Papers 0472, University of Heidelberg, Department of Economics, revised Jul 2008. [Downloadable!]
    3. Antonio Mele & Fabio Fornari, 1999. "Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis," Computing in Economics and Finance 1999 912, Society for Computational Economics. [Downloadable!]
    4. Fabio Fornari & Antonio Mele, 2001. "Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations," Temi di discussione (Economic working papers) 396, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:
    5. Fabio Fornari, 2002. "The size of the equity premium," Temi di discussione (Economic working papers) 447, Bank of Italy, Economic Research Department. [Downloadable!]
    6. Antonio Mele & Fabio Fornari, 1999. "ARCH Models and Option Pricing: the Continuous-Time Connection," Computing in Economics and Finance 1999 113, Society for Computational Economics. [Downloadable!]
      Other versions:
    7. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Outliers And Conditional Autoregressive Heteroscedasticity In Time Series," Statistics and Econometrics Working Papers ws010704, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    8. Fabio Fornari, 2008. "Assessing the compensation for volatility risk implicit in interest rate derivatives," Working Paper Series 859, European Central Bank. [Downloadable!]

  7. Fornari, Fabio & Mele, Antonio, 1997. "Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(1), pages 49-65, Jan.-Feb.. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  8. Fornari, Fabio & Mele, Antonio, 1996. "Modeling the changing asymmetry of conditional variances," Economics Letters, Elsevier, vol. 50(2), pages 197-203, February. [Downloadable!] (restricted)

    Cited by:

    1. Balázs Égert & Yosra Koubaa, 2004. "Modelling Stock Returns in the G-7 and in Selected CEE Economies: A Non-linear GARCH Approach," William Davidson Institute Working Papers Series 2004-663, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    2. Antonio Mele & Fabio Fornari, 1999. "ARCH Models and Option Pricing: the Continuous-Time Connection," Computing in Economics and Finance 1999 113, Society for Computational Economics. [Downloadable!]
      Other versions:
    3. He, Changli & Teräsvirta, Timo, 1997. "Properties of Moments of a Family of GARCH Processes," Working Paper Series in Economics and Finance 198, Stockholm School of Economics.
      Other versions:
    4. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, School of Economics and Management, University of Aarhus. [Downloadable!]
    5. Qingfeng Liu & Kimio Morimune, 2005. "A Modified GARCH Model with Spells of Shocks," Asia-Pacific Financial Markets, Springer, vol. 12(1), pages 29-44, March. [Downloadable!] (restricted)

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This page was last updated on 2009-12-20.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.