Details about Fabio Fornari

Access statistics for papers by Fabio Fornari.

Last updated 2013-10-23. Update your information in the RePEc Author Service.

Short-id: pfo6

Working Papers

2013

1. What does a financial shock do? First international evidence
   Working Paper Series, European Central Bank View citations (23)

2011

2. Macroeconomic determinants of carry trade activity
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (2)
   See also Journal Article Macroeconomic Determinants of Carry Trade Activity, Review of International Economics, Wiley Blackwell (2012) View citations (13) (2012)
3. Stock market firm-level information and real economic activity
   Working Paper Series, European Central Bank View citations (6)

2010

4. Predicting recession probabilities with financial variables over multiple horizons
   Working Paper Series, European Central Bank View citations (19)

2009

5. The role of financial variables in predicting economic activity
   Working Paper Series, European Central Bank View citations (16)
   See also Journal Article The Role of Financial Variables in predicting economic activity, Journal of Forecasting, John Wiley & Sons, Ltd. (2012) View citations (41) (2012)

2002

6. The size of the equity premium
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (1)

2001

7. A Simple Approach to the Estimation of Continuous Time CEV Stochastic Volatility Models of the Short-Term Rate
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (1)
8. Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (16)
   Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2000) View citations (2)
   See also Journal Article Recovering the probability density function of asset prices using garch as diffusion approximations, Journal of Empirical Finance, Elsevier (2001) View citations (16) (2001)

2000

9. An Equilibrium Model of the Term Structure with Stochastic Volatility
   THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (2)
10. Stock Values and Fundamentals: Link or Irrationality?
    Working Papers, Banca Italia - Servizio di Studi
    Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2000) View citations (1)

1999

11. ARCH Models and Option Pricing: the Continuous-Time Connection
    Computing in Economics and Finance 1999, Society for Computational Economics
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1998) View citations (2)
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. (1998) View citations (1)
12. Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis
    Computing in Economics and Finance 1999, Society for Computational Economics
13. The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (2)
    See also Journal Article The impact of news on the exchange rate of the lira and long-term interest rates, Economic Modelling, Elsevier (2002) View citations (25) (2002)

1998

14. The Probability Density Function of Interest Rates Implied in the Price of Options
    Working Papers, Banca Italia - Servizio di Studi View citations (2)
    Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (1998) View citations (2)

1995

15. Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets
    Working Papers, Banca Italia - Servizio di Studi View citations (14)
    See also Journal Article Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1997) View citations (54) (1997)

Journal Articles

2012

1. Macroeconomic Determinants of Carry Trade Activity
   Review of International Economics, 2012, 20, (3), 468-488 View citations (13)
   See also Working Paper Macroeconomic determinants of carry trade activity, Temi di discussione (Economic working papers) (2011) View citations (2) (2011)
2. The Role of Financial Variables in predicting economic activity
   Journal of Forecasting, 2012, 31, (1), 15-46 View citations (41)
   See also Working Paper The role of financial variables in predicting economic activity, Working Paper Series (2009) View citations (16) (2009)

2010

3. Assessing the compensation for volatility risk implicit in interest rate derivatives
   Journal of Empirical Finance, 2010, 17, (4), 722-743 View citations (6)

2006

4. Approximating volatility diffusions with CEV-ARCH models
   Journal of Economic Dynamics and Control, 2006, 30, (6), 931-966 View citations (11)

2005

5. The rise and fall of US dollar interest rate volatility: evidence from swaptions
   BIS Quarterly Review, 2005 View citations (8)

2004

6. Macroeconomic announcements and implied volatilities in swaption markets
   BIS Quarterly Review, 2004 View citations (4)

2002

7. The impact of news on the exchange rate of the lira and long-term interest rates
   Economic Modelling, 2002, 19, (4), 611-639 View citations (25)
   See also Working Paper The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates, Temi di discussione (Economic working papers) (1999) View citations (2) (1999)

2001

8. Recovering the probability density function of asset prices using garch as diffusion approximations
   Journal of Empirical Finance, 2001, 8, (1), 83-110 View citations (16)
   See also Working Paper Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations, Temi di discussione (Economic working papers) (2001) View citations (16) (2001)
9. Volatility smiles and the information content of news
   Applied Financial Economics, 2001, 11, (2), 179-186 View citations (11)

1998

10. La localizzazione territoriale degli sportelli bancari e le determinanti delle aperture
    Rivista economica del Mezzogiorno, 1998, (1), 69-104 View citations (4)

1997

11. Asymmetries and non-linearities in economic activity
    Applied Financial Economics, 1997, 7, (2), 203-206 View citations (8)
12. Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets
    Journal of Applied Econometrics, 1997, 12, (1), 49-65 View citations (54)
    See also Working Paper Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets, Working Papers (1995) View citations (14) (1995)
13. Weak convergence and distributional assumptions for a general class of nonliner arch models
    Econometric Reviews, 1997, 16, (2), 205-227 View citations (18)

1996

14. Modeling the changing asymmetry of conditional variances
    Economics Letters, 1996, 50, (2), 197-203 View citations (22)

1994

15. A stochastic variance model for absolute returns
    Economics Letters, 1994, 46, (3), 211-214 View citations (3)

1993

16. Estimating variability in the Italian stock market: An ARCH approach
    Open Economies Review, 1993, 4, (4), 403-423 View citations (1)