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

Fornari, Fabio; Mele, Antonio - 2000

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

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

Fornari, Fabio - In: Journal of applied econometrics 12 (1997) 1, pp. 49-65

Persistent link: https://www.econbiz.de/10001215437

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

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

Asymmetrics and nonlinearities in economic activity

Fornari, Fabio - 1994

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

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

Fornari, Fabio - 1995

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

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

Estimating variability in the Italian stock market : an ARCH approach

Fornari, Fabio - In: Open economies review 4 (1993) 4, pp. 403-423

Persistent link: https://www.econbiz.de/10001158482

The conditional capital asset pricing model : an application of the Italian financial market

Fornari, Fabio - In: Journal of foreign exchange and international finance : … 8 (1995) 4, pp. 418-436

Persistent link: https://www.econbiz.de/10001231600