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A stochastic variance model for absolute returns

Fornari, Fabio - In: Economics letters 46 (1994) 3, pp. 211-214

Persistent link: https://www.econbiz.de/10001172371

Modeling the changing asymmetry of traditional variances

Fornari, Fabio - In: Economics letters 50 (1996) 2, pp. 197-203

Persistent link: https://www.econbiz.de/10001194690

Continuous time conditionally heteroskedastic models : theory with applications to the term structure of interest rates

Fornari, Fabio - In: Economic notes : economic review of Banca Monte dei … 24 (1995) 2, pp. 327-352

Persistent link: https://www.econbiz.de/10001196572

Weak convergence and distributional assumptions for a general class of nonlinear ARCH models

Fornari, Fabio - In: Econometric reviews 16 (1997) 2, pp. 205-227

Persistent link: https://www.econbiz.de/10001220185

Recovering the probability density function of asset prices using garch as diffusion approximations

Fornari, Fabio; Mele, Antonio - In: Journal of empirical finance 8 (2001) 1, pp. 83-110

Persistent link: https://www.econbiz.de/10001568294

A simple approach to the estimation of continuous time CEV stochastic volatility models of the short-term rate

Fornari, Fabio; Mele, Antonio - 2001

Persistent link: https://www.econbiz.de/10001581711

Stochastic volatility in financial markets : crossing the bridge to continuous time

Fornari, Fabio; Mele, Antonio - 2000

Persistent link: https://www.econbiz.de/10001464294

Asymmetrics and nonlinearities in economic activity

Fornari, Fabio - 1994

Persistent link: https://www.econbiz.de/10013452402

Recovering the probability density function of asset prices using GARCH as diffusion approximations

Fornari, Fabio - 2001

Persistent link: https://www.econbiz.de/10013439253

Stochastic Volatility in Financial Markets : Crossing the Bridge to Continuous Time

Fornari, Fabio - 2000

Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of...

Persistent link: https://www.econbiz.de/10013519244