Similar Search Results - EconBiz

The impact of news on the exchange rate of the lira and long-term interest rates

Fornari, Fabio; Monticelli, Carlo; Pericoli, Marcello; … - In: Economic modelling 19 (2002) 4, pp. 611-639

Persistent link: https://www.econbiz.de/10001676459

The impact of news on the exchange rate of the Lira and long-term interest rates

Fornari, Fabio; Monticelli, Carlo; Pericoli, Marcello; … - 1999

Persistent link: https://www.econbiz.de/10013439190

Assessing the compensation for volatility risk implicit in interest rate derivatives

Fornari, Fabio (contributor) - 2008

Volatilities implied from interest rate swaptions are used to assess the size and the sign of the compensation for volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of the volatility risk premium rests on a simple model...

Persistent link: https://www.econbiz.de/10003636292

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

Assessing the compensation for volatility risk implicit in interest rate derivatives

Fornari, Fabio - In: Journal of empirical finance 17 (2010) 4, pp. 722-743

Persistent link: https://www.econbiz.de/10009267247

Anstieg und Rückgang der Volatilität der US-Dollar-Zinssätze : was Swaptions aussagen

Fornari, Fabio - In: BIZ-Quartalsbericht (2005), pp. 101-113

Persistent link: https://www.econbiz.de/10003201459

Veröffentlichung gesamtwirtschaftlicher Indikatoren und implizite Volatilität an den Swaption-Märkten

Fornari, Fabio - In: BIZ-Quartalsbericht (2004), pp. 87-96

Persistent link: https://www.econbiz.de/10002437576

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

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

A service of the