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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
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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
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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
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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
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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
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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
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Asymmetrics and nonlinearities in economic activity
Fornari, Fabio - 1994
Persistent link: https://www.econbiz.de/10013452402
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Recovering the probability density function of asset prices using GARCH as diffusion approximations
Fornari, Fabio - 2001
Persistent link: https://www.econbiz.de/10013439253