Access Statistics for Antonio Mele

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Simple Approach to the Estimation of Continuous Time CEV Stochastic Volatility Models of the Short-Term Rate 1 9 26 94 6 23 89 302
ARCH Models and Option Pricing: The Continuous Time Connection 0 0 0 1 0 1 16 377
ARCH Models and Option Pricing: The Continuous Time Connection 0 0 0 1 0 3 29 135
ARCH Models and Option Pricing: the Continuous-Time Connection 5 8 49 671 23 79 255 1,908
Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models 9 21 51 51 18 52 129 129
Ambiguity, Information Acquisition and Price Swings in Asset Markets 3 7 10 10 5 14 18 18
An Equilibrium Model of the Term Structure with Stochastic Volatility 0 0 1 124 1 1 5 329
Fundamental Properties of Bond Prices in Models of the Short-Term Rate 0 0 3 50 2 2 16 351
Fundamental Properties of Bond Prices in Models of the Short-Term Rate 1 12 26 211 6 24 71 682
General Properties of Rational Stock-Market Fluctuations 0 0 6 68 6 15 53 416
General Properties of Rational Stock-Market Fluctuations 2 2 5 21 4 4 11 120
General Properties of Rational Stock-Market Fluctuations 0 0 1 236 0 3 11 282
Information Linkages and Correlated Trading 0 1 16 16 1 5 20 20
Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia 5 12 71 112 14 30 129 194
Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations 1 5 32 145 7 30 140 586
Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations 0 0 7 86 0 1 22 289
Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets 0 0 0 1 5 6 24 687
Simulated Nonparametric Estimation of Continuous Time Models of Asset Prices and Returns 0 0 6 53 1 2 15 147
Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis 1 1 7 239 4 6 25 662
Total Working Papers 28 78 317 2,190 103 301 1,078 7,634

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A stochastic variance model for absolute returns 0 1 6 25 0 1 11 70
Approximating volatility diffusions with CEV-ARCH models 0 0 1 14 1 1 5 50
Asymmetric stock market volatility and the cyclical behavior of expected returns 0 0 10 24 0 3 27 69
Asymmetries and Non-linearities in Economic Activity 0 0 1 6 0 0 2 31
Fundamental Properties of Bond Prices in Models of the Short-Term Rate 0 0 2 20 2 4 16 238
Modeling the changing asymmetry of conditional variances 0 0 4 20 0 2 11 40
Recovering the probability density function of asset prices using garch as diffusion approximations 0 1 5 43 1 2 22 196
Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets 2 2 9 225 3 6 25 617
Simulated Non-Parametric Estimation of Dynamic Models 6 8 18 18 7 12 46 46
Volatility Smiles and the Information Content of News 0 0 3 57 0 0 6 283
Weak convergence and distributional assumptions for a general class of nonliner arch models 0 0 3 8 0 0 10 22
Total Journal Articles 8 12 62 460 14 31 181 1,662

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Statistics updated 2009-11-04