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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

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

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...