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Information about:
Antonio Mele

Personal Details | Affiliation | Works
This is information that was supplied by Antonio Mele in registering through RePEc. If you are Antonio Mele , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Antonio
Middle Name:
Last Name: Mele
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RePEc Short-ID: pme239

Email: [This author has chosen not to make the email address public]
Homepage: http://fmg.lse.ac.uk/~antonio/
Postal Address:
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Antonio Mele & Francesco Sangiorgi, 2009. "Ambiguity, Information Acquisition and Price Swings in Asset Markets," FMG Discussion Papers dp633, Financial Markets Group. [Downloadable!] (restricted)

  2. Dennis Kristensen & Antonio Mele, 2009. "Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models," CREATES Research Papers 2009-14, School of Economics and Management, University of Aarhus. [Downloadable!]

  3. Valentina Corradi & Antonio Mele & Walter Distaso, 2008. "Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia," FMG Discussion Papers dp616, Financial Markets Group. [Downloadable!] (restricted)

  4. Antonio Mele, 2008. "Information Linkages and Correlated Trading," FMG Discussion Papers dp620, Financial Markets Group. [Downloadable!] (restricted)

  5. Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," Econometric Society 2004 North American Summer Meetings 223, Econometric Society. [Downloadable!]
    Other versions:

  6. Antonio Mele & Filippo Altissimo, 2004. "Simulated Nonparametric Estimation of Continuous Time Models of Asset Prices and Returns," FMG Discussion Papers dp476, Financial Markets Group. [Downloadable!] (restricted)

  7. Antonio Mele, 2002. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Working Papers 460, Queen Mary, University of London, Department of Economics. [Downloadable!]
    Other versions:
    Published as:

  8. Fabio Fornari & Antonio Mele, 2001. "A Simple Approach to the Estimation of Continuous Time CEV Stochastic Volatility Models of the Short-Term Rate," Temi di discussione (Economic working papers) 397, Bank of Italy, Economic Research Department. [Downloadable!]

  9. Fabio Fornari & Antonio Mele, 2001. "Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations," Temi di discussione (Economic working papers) 396, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
    Published as:

  10. F. Fornari & A. Mele, 2000. "An Equilibrium Model of the Term Structure with Stochastic Volatility," THEMA Working Papers 2000-13, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]

  11. Antonio Mele & Fabio Fornari, 1999. "ARCH Models and Option Pricing: the Continuous-Time Connection," Computing in Economics and Finance 1999 113, Society for Computational Economics. [Downloadable!]
    Other versions:

  12. Antonio Mele & Fabio Fornari, 1999. "Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis," Computing in Economics and Finance 1999 912, Society for Computational Economics. [Downloadable!]

  13. Fornari, F. & Mele, A., 1995. "Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets," Papers 251, Banca Italia - Servizio di Studi.
    Published as:

Articles

  1. Filippo Altissimo & Antonio Mele, 2009. "Simulated Non-Parametric Estimation of Dynamic Models," Review of Economic Studies, Blackwell Publishing, vol. 76(2), pages 413-450, 04. [Downloadable!] (restricted)

  2. Mele, Antonio, 2007. "Asymmetric stock market volatility and the cyclical behavior of expected returns," Journal of Financial Economics, Elsevier, vol. 86(2), pages 446-478, November. [Downloadable!] (restricted)

  3. Fornari, Fabio & Mele, Antonio, 2006. "Approximating volatility diffusions with CEV-ARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 30(6), pages 931-966, June. [Downloadable!] (restricted)

  4. Antonio Mele, 2003. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 16(3), pages 679-716, July. [Downloadable!] (restricted)
    Other versions:

  5. Fornari, Fabio & Mele, Antonio, 2001. "Volatility Smiles and the Information Content of News," Applied Financial Economics, Taylor and Francis Journals, vol. 11(2), pages 179-86, April. [Downloadable!] (restricted)

  6. Fornari, Fabio & Mele, Antonio, 2001. "Recovering the probability density function of asset prices using garch as diffusion approximations," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 83-110, March. [Downloadable!] (restricted)
    Other versions:

  7. Fornari, Fabio & Mele, Antonio, 1997. "Asymmetries and Non-linearities in Economic Activity," Applied Financial Economics, Taylor and Francis Journals, vol. 7(2), pages 203-06, April. [Downloadable!] (restricted)

  8. Fabio Fornari & Antonio Mele, 1997. "Weak convergence and distributional assumptions for a general class of nonliner arch models," Econometric Reviews, Taylor and Francis Journals, vol. 16(2), pages 205-227. [Downloadable!] (restricted)

  9. Fornari, Fabio & Mele, Antonio, 1997. "Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(1), pages 49-65, Jan.-Feb.. [Downloadable!]
    Other versions:

  10. Fornari, Fabio & Mele, Antonio, 1996. "Modeling the changing asymmetry of conditional variances," Economics Letters, Elsevier, vol. 50(2), pages 197-203, February. [Downloadable!] (restricted)

  11. Fornari, Fabio & Mele, Antonio, 1994. "A stochastic variance model for absolute returns," Economics Letters, Elsevier, vol. 46(3), pages 211-214, November. [Downloadable!] (restricted)

NEP Fields

10 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ETS: Econometric Time Series (3) 1999-07-12 1999-07-12 2001-10-22 Author is listed
  2. NEP-FIN: Finance (4) 1999-07-12 1999-07-12 2002-07-04 2004-08-16 Author is listed
  3. NEP-FMK: Financial Markets (2) 2001-10-22 2002-07-04
  4. NEP-MAC: Macroeconomics (1) 2008-06-27
  5. NEP-MST: Market Microstructure (1) 2009-01-31
  6. NEP-UPT: Utility Models & Prospect Theory (2) 2008-06-27 2009-06-17
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This page was last updated on 2009-11-3.

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