← All authors Antonio Mele Swiss Finance Institute (from arXiv:2308.09009, 2023) · ORCID · OpenAlex
27 papers in scope · 27 published · 1 on the econ.EM arXiv · 1,249 citations · h-index 16 (over the papers listed here)
Papers (1 of 27)
published 2024 · Journal of Economic Dynamics and Control · 1 citations · first circulated 2023
Cross-section without factors: a string model for expected returns
published 2024 · Quantitative Finance
with Walter Distaso, Grigory Vilkov
On the perils of stabilizing prices when agents are learning
published 2019 · Journal of Monetary Economics · 31 citations · first circulated 2014
with Krisztina Molnár, Sergio Santoro
Velocity in the long run: Money and structural transformation
published 2018 · Review of Economic Dynamics · 3 citations
with Radoslaw Stefanski
Uncertainty, Information Acquisition, and Price Swings in Asset Markets
published 2015 · The Review of Economic Studies · 111 citations · first circulated 2011
with Francesco Sangiorgi
Rate fears gauges and the dynamics of fixed income and equity volatilities
published 2014 · Journal of Banking & Finance · 31 citations
with Yoshiki Obayashi, Catherine Shalen
Repeated moral hazard and recursive Lagrangeans
published 2014 · Journal of Economic Dynamics and Control · 1 citations
The Price of Government Bond Volatility
published 2013 · Swiss Finance Institute Research Paper Series · 11 citations
with Yoshiki Obayashi
Volatility Indexes and Contracts for Government Bonds and Time Deposits
published 2013 · Swiss Finance Institute Research Paper Series · 6 citations
with Yoshiki Obayashi
Volatility Indexes and Contracts for Eurodollar and Related Deposits
published 2013 · Swiss Finance Institute Research Paper Series · 6 citations
with Yoshiki Obayashi
Credit Variance Swaps and Volatility Indexes
published 2013 · Swiss Finance Institute Research Paper Series · 3 citations
with Yoshiki Obayashi
Macroeconomic determinants of stock volatility and volatility premiums
published 2012 · Journal of Monetary Economics · 145 citations
with Valentina Corradi, Walter Distaso
Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums
published 2012 · Swiss Finance Institute Research Paper Series · 39 citations
with Valentina Corradi, Walter Distaso
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models
published 2011 · Journal of Financial Economics · 20 citations · first circulated 2009
Information Linkages and Correlated Trading
published 2009 · Review of Financial Studies · 178 citations · first circulated 2007
with Paolo Colla
Simulated Non-Parametric Estimation of Dynamic Models
published 2009 · The Review of Economic Studies · 39 citations
with Filippo Altissimo
Asymmetric stock market volatility and the cyclical behavior of expected returns
published 2007 · Journal of Financial Economics · 237 citations
Approximating volatility diffusions with CEV-ARCH models
published 2005 · Journal of Economic Dynamics and Control · 19 citations · first circulated 2004
with Fabio Fornari
Fundamental Properties of Bond Prices in Models of the Short-Term Rate
published 2003 · Review of Financial Studies · 17 citations · first circulated 2001
Volatility smiles and the information content of news
published 2001 · Applied Financial Economics · 19 citations
with Fabio Fornari
Recovering the probability density function of asset prices using garch as diffusion approximations
published 2001 · Journal of Empirical Finance · 101 citations
with Fabio Fornari
ARCH Models and Option Pricing: the Continuous-Time Connection
published 1999 · Computing in Economics and Finance · first circulated 1998
with Fabio Fornari
no link
Asymmetries and non-linearities in economic activity
published 1997 · Applied Financial Economics · 11 citations
with Fabio Fornari
SIGN-AND VOLATILITY-SWITCHING ARCH MODELS: THEORY AND APPLICATIONS TO INTERNATIONAL STOCK MARKETS
published 1997 · Journal of Applied Econometrics · 136 citations · first circulated 1995
with Fabio Fornari
Weak convergence and distributional assumptions for a general class of nonliner arch models
published 1997 · Econometric Reviews · 27 citations
with Fabio Fornari
Modeling the changing asymmetry of conditional variances
published 1996 · Economics Letters · 50 citations
with Fabio Fornari
A stochastic variance model for absolute returns
published 1994 · Economics Letters · 7 citations
with Fabio Fornari
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