Details about Antonio Mele

Access statistics for papers by Antonio Mele.

Last updated 2024-06-07. Update your information in the RePEc Author Service.

Short-id: pme239

Working Papers

2023

1. Closed-form approximations of moments and densities of continuous-time Markov models
   Papers, arXiv.org

2021

2. A Theory of Debt Accumulation and Deficit Cycles
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2021)
3. Insider Trading Regulation and Market Quality Tradeoffs
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2020

4. Credit Volatility Indexes
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
5. Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
6. Trading Disclosure Requirements and Market Quality Tradeoffs
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2019

7. Correlation Risk, Strings and Asset Prices
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
8. The Term Structure of Government Debt Uncertainty
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2013

9. Credit Variance Swaps and Volatility Indexes
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)
10. Dynamics of Interest Rate Swap and Equity Volatilities
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
11. The Price of Government Bond Volatility
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (4)
12. Volatility Indexes and Contracts for Eurodollar and Related Deposits
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)
13. Volatility Indexes and Contracts for Government Bonds and Time Deposits
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)

2012

14. Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (8)

2009

15. Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    See also Journal Article Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models, Journal of Financial Economics, Elsevier (2011) View citations (24) (2011)
16. Ambiguity, Information Acquisition and Price Swings in Asset Markets
    FMG Discussion Papers, Financial Markets Group View citations (8)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2009) View citations (21)
17. Financial Volatility and Economic Activity
    FMG Discussion Papers, Financial Markets Group View citations (26)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2009) View citations (15)
    See also Journal Article Financial Volatility and Economic Activity, Journal of Financial Management, Markets and Institutions, Società editrice il Mulino (2013) View citations (16) (2013)

2008

18. Information Linkages and Correlated Trading
    FMG Discussion Papers, Financial Markets Group View citations (9)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2008) View citations (1)
    See also Journal Article Information Linkages and Correlated Trading, The Review of Financial Studies, Society for Financial Studies (2010) View citations (58) (2010)
19. Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia
    FMG Discussion Papers, Financial Markets Group View citations (2)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2008) View citations (1)

2005

20. Simulated nonparametric estimation of dynamic models with applications to finance
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)

2004

21. General Properties of Rational Stock-Market Fluctuations
    Economics Series, Institute for Advanced Studies
    Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004)
    FMG Discussion Papers, Financial Markets Group (2004)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004)
22. Simulated Nonparametric Estimation of Continuous Time Models of Asset Prices and Returns
    FMG Discussion Papers, Financial Markets Group View citations (3)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004)

2002

23. Fundamental Properties of Bond Prices in Models of the Short-Term Rate
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (5)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2000)
    See also Journal Article Fundamental Properties of Bond Prices in Models of the Short-Term Rate, The Review of Financial Studies, Society for Financial Studies (2003) View citations (13) (2003)

2001

24. 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)
25. 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

26. 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)

1999

27. ARCH Models and Option Pricing: the Continuous-Time Connection
    Computing in Economics and Finance 1999, Society for Computational Economics
    Also in Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. (1998) View citations (1)
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1998) View citations (2)
28. Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis
    Computing in Economics and Finance 1999, Society for Computational Economics

1995

29. 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

2015

1. Rate fears gauges and the dynamics of fixed income and equity volatilities
   Journal of Banking & Finance, 2015, 52, (C), 256-265 View citations (17)
2. Uncertainty, Information Acquisition, and Price Swings in Asset Markets
   The Review of Economic Studies, 2015, 82, (4), 1533-1567 View citations (59)

2013

3. Financial Volatility and Economic Activity
   Journal of Financial Management, Markets and Institutions, 2013, (2), 155-198 View citations (16)
   See also Working Paper Financial Volatility and Economic Activity, FMG Discussion Papers (2009) View citations (26) (2009)
4. Macroeconomic determinants of stock volatility and volatility premiums
   Journal of Monetary Economics, 2013, 60, (2), 203-220 View citations (73)

2011

5. Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models
   Journal of Financial Economics, 2011, 102, (2), 390-415 View citations (24)
   See also Working Paper Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models, CREATES Research Papers (2009) View citations (2) (2009)

2010

6. Information Linkages and Correlated Trading
   The Review of Financial Studies, 2010, 23, (1), 203-246 View citations (58)
   See also Working Paper Information Linkages and Correlated Trading, FMG Discussion Papers (2008) View citations (9) (2008)

2009

7. Simulated Non-Parametric Estimation of Dynamic Models
   The Review of Economic Studies, 2009, 76, (2), 413-450 View citations (23)

2007

8. Asymmetric stock market volatility and the cyclical behavior of expected returns
   Journal of Financial Economics, 2007, 86, (2), 446-478 View citations (139)

2006

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

2003

10. Fundamental Properties of Bond Prices in Models of the Short-Term Rate
    The Review of Financial Studies, 2003, 16, (3), 679-716 View citations (13)
    See also Working Paper Fundamental Properties of Bond Prices in Models of the Short-Term Rate, Working Papers (2002) View citations (5) (2002)

2001

11. 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)
12. Volatility smiles and the information content of news
    Applied Financial Economics, 2001, 11, (2), 179-186 View citations (11)

1997

13. Asymmetries and non-linearities in economic activity
    Applied Financial Economics, 1997, 7, (2), 203-206 View citations (8)
14. 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)
15. Weak convergence and distributional assumptions for a general class of nonliner arch models
    Econometric Reviews, 1997, 16, (2), 205-227 View citations (18)

1996

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

1994

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