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Details about Antonio Mele

Homepage:https://antoniomele.org/
Postal address:Antonio Mele Professor of Finance, Università della Svizzera Italiana & Senior Chair, Swiss Finance Institute Via Buffi 13 6900 Lugano Switzerland Switzerland
Workplace:Swiss Finance Institute, (more information at EDIRC)

Access statistics for papers by Antonio Mele.

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

Short-id: pme239


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Working Papers

2023

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

2021

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

2020

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

2019

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

2013

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

2012

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

2009

  1. 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 Downloads 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) Downloads View citations (21) (2011)
  2. Ambiguity, Information Acquisition and Price Swings in Asset Markets
    FMG Discussion Papers, Financial Markets Group Downloads View citations (8)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2009) Downloads View citations (21)
  3. Financial Volatility and Economic Activity
    FMG Discussion Papers, Financial Markets Group Downloads View citations (26)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2009) Downloads View citations (15)

    See also Journal Article Financial Volatility and Economic Activity, Journal of Financial Management, Markets and Institutions, Società editrice il Mulino (2013) Downloads View citations (16) (2013)

2008

  1. Information Linkages and Correlated Trading
    FMG Discussion Papers, Financial Markets Group Downloads View citations (9)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2008) Downloads View citations (1)

    See also Journal Article Information Linkages and Correlated Trading, The Review of Financial Studies, Society for Financial Studies (2010) Downloads View citations (53) (2010)
  2. Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia
    FMG Discussion Papers, Financial Markets Group Downloads View citations (2)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2008) Downloads View citations (1)

2005

  1. 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 Downloads View citations (2)

2004

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

2002

  1. Fundamental Properties of Bond Prices in Models of the Short-Term Rate
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (5)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2000) Downloads

    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) Downloads View citations (14) (2003)

2001

  1. 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 Downloads View citations (1)
  2. 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 Downloads View citations (17)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2000) Downloads 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) Downloads View citations (17) (2001)

2000

  1. An Equilibrium Model of the Term Structure with Stochastic Volatility
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads View citations (2)

1999

  1. ARCH Models and Option Pricing: the Continuous-Time Connection
    Computing in Economics and Finance 1999, Society for Computational Economics Downloads
    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)
  2. Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis
    Computing in Economics and Finance 1999, Society for Computational Economics Downloads

1995

  1. 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) Downloads View citations (53) (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 Downloads View citations (15)
  2. Uncertainty, Information Acquisition, and Price Swings in Asset Markets
    The Review of Economic Studies, 2015, 82, (4), 1533-1567 Downloads View citations (55)

2013

  1. Financial Volatility and Economic Activity
    Journal of Financial Management, Markets and Institutions, 2013, (2), 155-198 Downloads View citations (16)
    See also Working Paper Financial Volatility and Economic Activity, FMG Discussion Papers (2009) Downloads View citations (26) (2009)
  2. Macroeconomic determinants of stock volatility and volatility premiums
    Journal of Monetary Economics, 2013, 60, (2), 203-220 Downloads View citations (68)

2011

  1. 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 Downloads View citations (21)
    See also Working Paper Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models, CREATES Research Papers (2009) Downloads View citations (2) (2009)

2010

  1. Information Linkages and Correlated Trading
    The Review of Financial Studies, 2010, 23, (1), 203-246 Downloads View citations (53)
    See also Working Paper Information Linkages and Correlated Trading, FMG Discussion Papers (2008) Downloads View citations (9) (2008)

2009

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

2007

  1. Asymmetric stock market volatility and the cyclical behavior of expected returns
    Journal of Financial Economics, 2007, 86, (2), 446-478 Downloads View citations (133)

2006

  1. Approximating volatility diffusions with CEV-ARCH models
    Journal of Economic Dynamics and Control, 2006, 30, (6), 931-966 Downloads View citations (10)

2003

  1. Fundamental Properties of Bond Prices in Models of the Short-Term Rate
    The Review of Financial Studies, 2003, 16, (3), 679-716 Downloads View citations (14)
    See also Working Paper Fundamental Properties of Bond Prices in Models of the Short-Term Rate, Working Papers (2002) Downloads View citations (5) (2002)

2001

  1. Recovering the probability density function of asset prices using garch as diffusion approximations
    Journal of Empirical Finance, 2001, 8, (1), 83-110 Downloads View citations (17)
    See also Working Paper Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations, Temi di discussione (Economic working papers) (2001) Downloads View citations (17) (2001)
  2. Volatility smiles and the information content of news
    Applied Financial Economics, 2001, 11, (2), 179-186 Downloads View citations (10)

1997

  1. Asymmetries and non-linearities in economic activity
    Applied Financial Economics, 1997, 7, (2), 203-206 Downloads View citations (8)
  2. Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets
    Journal of Applied Econometrics, 1997, 12, (1), 49-65 Downloads View citations (53)
    See also Working Paper Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets, Working Papers (1995) View citations (14) (1995)
  3. Weak convergence and distributional assumptions for a general class of nonliner arch models
    Econometric Reviews, 1997, 16, (2), 205-227 Downloads View citations (18)

1996

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

1994

  1. A stochastic variance model for absolute returns
    Economics Letters, 1994, 46, (3), 211-214 Downloads View citations (3)
 
Page updated 2024-07-23