Details about Angelo Melino

Access statistics for papers by Angelo Melino.

Last updated 2019-05-27. Update your information in the RePEc Author Service.

Short-id: pme69

Working Papers

2010

1. Canadian Monetary Policy: Lessons from the Crisis
   Professional Reports, Rimini Centre for Economic Analysis
2. Greater Transparency Needed
   e-briefs, C.D. Howe Institute View citations (9)

2006

3. Measuring the Cost of Economic Fluctuations with Preferences that Rationalize the Equity Premium
   Working Papers, University of Toronto, Department of Economics
   See also Journal Article in Canadian Journal of Economics (2010)

2003

4. State Dependent Preferences Can Explain the Equity Premium Puzzle
   Working Papers, University of Toronto, Department of Economics View citations (40)
   See also Journal Article in Review of Economic Dynamics (2003)

1999

5. Duration Dependence and Nonparametric Heterogeneity: A Monte Carlo Study
   Working Papers, University of Toronto, Department of Economics View citations (12)
   See also Journal Article in Journal of Econometrics (2000)

1993

6. A Revealed Preference Analysis of Asset Pricing Under Recursive Utility
   NBER Working Papers, National Bureau of Economic Research, Inc
   See also Journal Article in Review of Economic Studies (1995)

1987

7. The Response of Interest Rates to the Federal Reserve's Weekly Money Announcements: The "Puzzle" of Anticipated Money
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
   See also Journal Article in Journal of Monetary Economics (1987)

1986

8. The Term Structure of Interest Rates: Evidence and Theory
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
   See also Journal Article in Journal of Economic Surveys (1988)

1985

9. Estimating the Continuous Time Consumption Based Asset Pricing Model
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
   See also Journal Article in Journal of Business & Economic Statistics (1987)

1984

10. Cyclical Behavior of Prices and Quantities in the Automobile Market
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)

Journal Articles

2011

1. Moving Monetary Policy Forward: Why Small Steps - and a Lower Inflation Target - Make Sense for the Bank of Canada
   C.D. Howe Institute Commentary, 2011, (319) View citations (11)

2010

2. Measuring the cost of economic fluctuations with preferences that rationalize the equity premium
   Canadian Journal of Economics, 2010, 43, (2), 405-422 View citations (1)
   See also Working Paper (2006)

2008

3. High Frequency Export and Price Responses in the Ontario Electricity Market
   The Energy Journal, 2008, Volume 29, (Number 4), 35-52 View citations (1)

2007

4. Export Demand Response in the Ontario Electricity Market
   The Electricity Journal, 2007, 20, (9), 55-64

2003

5. State Dependent Preferences Can Explain the Equity Premium Puzzle
   Review of Economic Dynamics, 2003, 6, (4), 806-830 View citations (31)
   See also Working Paper (2003)

2001

6. Estimation of a rational expectations model of the term structure
   Journal of Empirical Finance, 2001, 8, (5), 639-668 View citations (5)

2000

7. Duration dependence and nonparametric heterogeneity: A Monte Carlo study
   Journal of Econometrics, 2000, 96, (2), 357-393 View citations (112)
   See also Working Paper (1999)

1995

8. A Revealed Preference Analysis of Asset Pricing Under Recursive Utility
   Review of Economic Studies, 1995, 62, (4), 597-618 View citations (7)
   See also Working Paper (1993)
9. Misspecification and the pricing and hedging of long-term foreign currency options
   Journal of International Money and Finance, 1995, 14, (3), 373-393 View citations (10)

1991

10. The Pricing of Foreign Currency Options
    Canadian Journal of Economics, 1991, 24, (2), 251-81 View citations (17)

1990

11. A simple approach to the identifiability of the proportional hazards model
    Economics Letters, 1990, 33, (1), 63-68 View citations (10)
12. Editors' introduction
    Journal of Econometrics, 1990, 45, (1-2), 1-5
13. Pricing foreign currency options with stochastic volatility
    Journal of Econometrics, 1990, 45, (1-2), 239-265 View citations (256)
14. The Effects of Public Policy on Strike Duration
    Journal of Labor Economics, 1990, 8, (3), 295-316 View citations (28)

1988

15. The Term Structure of Interest Rates: Evidence and Theory
    Journal of Economic Surveys, 1988, 2, (4), 335-66 View citations (31)
    See also Working Paper (1986)

1987

16. Estimating Strike Effects in a General Model of Prices and Quantities
    Journal of Labor Economics, 1987, 5, (1), 1-19 View citations (5)
17. Estimating the Continuous-Time Consumption-Based Asset-Pricing Model
    Journal of Business & Economic Statistics, 1987, 5, (3), 315-27 View citations (51)
    See also Working Paper (1985)
18. The response of interest rates to the Federal Reserve's weekly money announcements: The 'puzzle' of anticipated money
    Journal of Monetary Economics, 1987, 19, (3), 393-404 View citations (5)
    See also Working Paper (1987)

1986

19. The cyclical behavior of prices and quantities: The case of the automobile market
    Journal of Monetary Economics, 1986, 17, (3), 379-407 View citations (16)

1982

20. Testing for Sample Selection Bias
    Review of Economic Studies, 1982, 49, (1), 151-153 View citations (14)

1978

21. A Note on the Interpretation of Regression Coefficients within a Class of Truncated Distributions
    Econometrica, 1978, 46, (5), 1207-09 View citations (6)

Edited books

1990

1. Econometric Methods and Financial Time Series
   NBER Books, National Bureau of Economic Research, Inc