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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

Approximating volatility diffusions with CEV-ARCH models

Fornari, Fabio; Mele, Antonio - In: Journal of economic dynamics & control 30 (2006) 6, pp. 931-966

Persistent link: https://www.econbiz.de/10003327657

Sign- and volatility-switching ARCH models : theory and applications to international stock markets

Fornari, Fabio - 1995

Persistent link: https://www.econbiz.de/10013452468

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

The size of the equity premium

Fornari, Fabio - 2002

Persistent link: https://www.econbiz.de/10013439300