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Information about:
Fabio Fornari

Personal Details | Affiliation | Works
This is information that was supplied by Fabio Fornari in registering through RePEc. If you are Fabio Fornari , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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First Name: Fabio
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Last Name: Fornari
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RePEc Short-ID: pfo6

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Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Fabio Fornari, 2008. "Assessing the compensation for volatility risk implicit in interest rate derivatives," Working Paper Series 859, European Central Bank. [Downloadable!]

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

  3. 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!]

  4. F. Fornari & A. Mele, 2000. "An Equilibrium Model of the Term Structure with Stochastic Volatility," THEMA Working Papers 2000-13, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]

  5. 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!]
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  6. Fornari, F. & Pericoli, M., 2000. "Stock Values and Fundamentals: Link or Irrationality?," Papers 378, Banca Italia - Servizio di Studi.
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  7. 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!]

  8. 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:

  9. 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.
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  10. 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.

  11. 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:

Articles

  1. Fornari, Fabio & Mele, Antonio, 2006. "Approximating volatility diffusions with CEV-ARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 30(6), pages 931-966, June. [Downloadable!] (restricted)

  2. 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!]

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

  4. 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)
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  5. Fornari, Fabio & Mele, Antonio, 2001. "Volatility Smiles and the Information Content of News," Applied Financial Economics, Taylor and Francis Journals, vol. 11(2), pages 179-86, April. [Downloadable!] (restricted)

  6. 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)
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  7. 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)

  8. 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)

  9. 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!]
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  10. Fornari, Fabio & Mele, Antonio, 1996. "Modeling the changing asymmetry of conditional variances," Economics Letters, Elsevier, vol. 50(2), pages 197-203, February. [Downloadable!] (restricted)

  11. Fornari, Fabio & Mele, Antonio, 1994. "A stochastic variance model for absolute returns," Economics Letters, Elsevier, vol. 46(3), pages 211-214, November. [Downloadable!] (restricted)

  12. Fabio Fornari, 1993. "Estimating variability in the Italian stock market: An ARCH approach," Open Economies Review, Springer, vol. 4(4), pages 403-423, December. [Downloadable!] (restricted)

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ETS: Econometric Time Series (3) 1999-07-12 1999-07-12 2001-10-22 Author is listed
  2. NEP-FIN: Finance (2) 1999-07-12 1999-07-12 Author is listed
  3. NEP-FMK: Financial Markets (2) 2001-10-22 2008-02-09 Author is listed
  4. NEP-UPT: Utility Models & Prospect Theory (1) 2008-02-09
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This page was last updated on 2009-12-1.

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