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Antonio Mele

Not to be confused with: Antonio Mele

Personal Details

First Name:Antonio
Middle Name:
Last Name:Mele
Suffix:
RePEc Short-ID:pme239
[This author has chosen not to make the email address public]
https://antoniomele.org/
Antonio Mele Professor of Finance, Università della Svizzera Italiana & Senior Chair, Swiss Finance Institute Via Buffi 13 6900 Lugano Switzerland Switzerland
Twitter: @anmele
Terminal Degree:1995 EconomiX; Université Paris-Nanterre (Paris X) (from RePEc Genealogy)

Affiliation

Swiss Finance Institute

Genève/Zürich, Switzerland
http://www.swissfinanceinstitute.ch/
RePEc:edi:fameech (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Dennis Kristensen & Young Jun Lee & Antonio Mele, 2023. "Closed-form approximations of moments and densities of continuous-time Markov models," Papers 2308.09009, arXiv.org.
  2. Antonio Mele, 2021. "A Theory of Debt Accumulation and Deficit Cycles," Swiss Finance Institute Research Paper Series 21-38, Swiss Finance Institute.
  3. Mele, Antonio & Sangiorgi, Francesco, 2021. "Insider Trading Regulation and Market Quality Tradeoffs," CEPR Discussion Papers 16179, C.E.P.R. Discussion Papers.
  4. Antonio Mele & Francesco Sangiorgi, 2020. "Trading Disclosure Requirements and Market Quality Tradeoffs," Swiss Finance Institute Research Paper Series 20-118, Swiss Finance Institute.
  5. Walter Distaso & Antonio Mele & Grigory Vilkov, 2020. "Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices," Swiss Finance Institute Research Paper Series 20-119, Swiss Finance Institute.
  6. Antonio Mele & Yoshiki Obayashi, 2020. "Credit Volatility Indexes," Swiss Finance Institute Research Paper Series 20-88, Swiss Finance Institute.
  7. Mele, Antonio & Distaso, Walter & Vilkov, Grigory, 2019. "Correlation Risk, Strings and Asset Prices," CEPR Discussion Papers 13873, C.E.P.R. Discussion Papers.
  8. Mele, Antonio & Obayashi, Yoshiki & Yang, Shihao, 2019. "The Term Structure of Government Debt Uncertainty," CEPR Discussion Papers 13874, C.E.P.R. Discussion Papers.
  9. Antonio Mele & Yoshiki Obayashi, 2013. "Volatility Indexes and Contracts for Government Bonds and Time Deposits," Swiss Finance Institute Research Paper Series 13-26, Swiss Finance Institute.
  10. Antonio Mele & Yoshiki Obayashi & Catherine Shalen, 2013. "Dynamics of Interest Rate Swap and Equity Volatilities," Swiss Finance Institute Research Paper Series 13-23, Swiss Finance Institute.
  11. Antonio Mele & Yoshiki Obayashi, 2013. "Credit Variance Swaps and Volatility Indexes," Swiss Finance Institute Research Paper Series 13-24, Swiss Finance Institute.
  12. Antonio Mele & Yoshiki Obayashi, 2013. "The Price of Government Bond Volatility," Swiss Finance Institute Research Paper Series 13-27, Swiss Finance Institute.
  13. Antonio Mele & Yoshiki Obayashi, 2013. "Volatility Indexes and Contracts for Eurodollar and Related Deposits," Swiss Finance Institute Research Paper Series 13-25, Swiss Finance Institute.
  14. Valentina Corradi & Walter Distaso & Antonio Mele, 2012. "Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums," Swiss Finance Institute Research Paper Series 12-18, Swiss Finance Institute.
  15. Fornari, Fabio & Mele, Antonio, 2009. "Financial volatility and economic activity," LSE Research Online Documents on Economics 29309, London School of Economics and Political Science, LSE Library.
  16. 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, Department of Economics and Business Economics, Aarhus University.
  17. Mele, Antonio & Sangiorgi, Francesco, 2009. "Ambiguity, information acquisition and price swings in asset markets," LSE Research Online Documents on Economics 24424, London School of Economics and Political Science, LSE Library.
  18. Corradi, Valentina & Distaso, Walter & Mele, Antonio, 2008. "Macroeconomic determinants of stock market returns, volatility and volatility risk-premia," LSE Research Online Documents on Economics 24436, London School of Economics and Political Science, LSE Library.
  19. Colla, Paolo & Mele, Antonio, 2008. "Information linkages and correlated trading," LSE Research Online Documents on Economics 24439, London School of Economics and Political Science, LSE Library.
  20. Altissimo, Filippo & Mele, Antonio, 2005. "Simulated nonparametric estimation of dynamic models with applications to finance," LSE Research Online Documents on Economics 24658, London School of Economics and Political Science, LSE Library.
  21. Altissimo, Filippo & Mele, Antonio, 2004. "Simulated nonparametric estimation of continuous time models of asset prices and returns," LSE Research Online Documents on Economics 24674, London School of Economics and Political Science, LSE Library.
  22. Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," Econometric Society 2004 North American Summer Meetings 223, Econometric Society.
  23. 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 and International Relations Area.
  24. 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 and International Relations Area.
  25. 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.
  26. A. Mele, 2000. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," THEMA Working Papers 2000-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  27. 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.
  28. F. Fornari & A. Mele, 1998. "ARCH Models and Option Pricing : The Continuous Time Connection," THEMA Working Papers 98-30, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  29. 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.

    repec:qmw:qmwecw:wp460 is not listed on IDEAS

Articles

  1. Mele, Antonio & Obayashi, Yoshiki & Shalen, Catherine, 2015. "Rate fears gauges and the dynamics of fixed income and equity volatilities," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 256-265.
  2. Antonio Mele & Francesco Sangiorgi, 2015. "Uncertainty, Information Acquisition, and Price Swings in Asset Markets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(4), pages 1533-1567.
  3. Fabio Fornari & Antonio Mele, 2013. "Financial Volatility and Economic Activity," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 2, pages 155-198, December.
  4. Corradi, Valentina & Distaso, Walter & Mele, Antonio, 2013. "Macroeconomic determinants of stock volatility and volatility premiums," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 203-220.
  5. Kristensen, Dennis & Mele, Antonio, 2011. "Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models," Journal of Financial Economics, Elsevier, vol. 102(2), pages 390-415.
  6. Paolo Colla & Antonio Mele, 2010. "Information Linkages and Correlated Trading," The Review of Financial Studies, Society for Financial Studies, vol. 23(1), pages 203-246, January.
  7. Filippo Altissimo & Antonio Mele, 2009. "Simulated Non-Parametric Estimation of Dynamic Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 76(2), pages 413-450.
  8. 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.
  9. 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.
  10. Antonio Mele, 2003. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 679-716, July.
  11. Fabio Fornari & Antonio Mele, 2001. "Volatility smiles and the information content of news," Applied Financial Economics, Taylor & Francis Journals, vol. 11(2), pages 179-186.
  12. 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.
  13. Fabio Fornari & Antonio Mele, 1997. "Asymmetries and non-linearities in economic activity," Applied Financial Economics, Taylor & Francis Journals, vol. 7(2), pages 203-206.
  14. Fabio Fornari & Antonio Mele, 1997. "Weak convergence and distributional assumptions for a general class of nonliner arch models," Econometric Reviews, Taylor & Francis Journals, vol. 16(2), pages 205-227.
  15. 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..
  16. Fornari, Fabio & Mele, Antonio, 1996. "Modeling the changing asymmetry of conditional variances," Economics Letters, Elsevier, vol. 50(2), pages 197-203, February.
  17. Fornari, Fabio & Mele, Antonio, 1994. "A stochastic variance model for absolute returns," Economics Letters, Elsevier, vol. 46(3), pages 211-214, November.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages, Weighted by Simple Impact Factor
  2. Number of Journal Pages, Weighted by Recursive Impact Factor
  3. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  4. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 16 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (6) 2001-10-22 2002-07-04 2010-01-23 2017-02-05 2019-08-26 2020-11-02. Author is listed
  2. NEP-MAC: Macroeconomics (5) 2008-06-27 2010-01-23 2017-02-05 2019-08-26 2021-07-12. Author is listed
  3. NEP-FIN: Finance (4) 1999-07-12 1999-07-12 2002-07-04 2004-08-16
  4. NEP-RMG: Risk Management (4) 2017-02-05 2019-08-26 2019-08-26 2021-01-11
  5. NEP-ETS: Econometric Time Series (3) 1999-07-12 1999-07-12 2001-10-22
  6. NEP-MST: Market Microstructure (2) 2009-01-31 2021-01-11
  7. NEP-ORE: Operations Research (2) 2021-01-11 2021-07-12
  8. NEP-UPT: Utility Models and Prospect Theory (2) 2008-06-27 2009-06-17
  9. NEP-BEC: Business Economics (1) 2010-01-23
  10. NEP-CWA: Central and Western Asia (1) 2021-07-12
  11. NEP-DGE: Dynamic General Equilibrium (1) 2021-07-12
  12. NEP-FDG: Financial Development and Growth (1) 2010-01-23
  13. NEP-MIC: Microeconomics (1) 2021-01-11
  14. NEP-REG: Regulation (1) 2021-01-11

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