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 1 2 164 2 2 4 562
A Theory of Debt Accumulation and Deficit Cycles 0 0 1 5 0 0 3 15
A Theory of Debt Accumulation and Deficit Cycles 1 1 1 25 2 4 6 29
ARCH Models and Option Pricing: The Continuous Time Connection 0 0 0 1 0 0 0 445
ARCH Models and Option Pricing: The Continuous Time Connection 0 0 0 1 0 0 1 229
ARCH Models and Option Pricing: the Continuous-Time Connection 0 0 1 741 0 1 2 2,211
Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models 0 0 2 193 0 1 7 559
Ambiguity, Information Acquisition and Price Swings in Asset Markets 0 0 0 43 0 2 4 155
Ambiguity, information acquisition and price swings in asset markets 0 0 0 5 0 1 2 40
An Equilibrium Model of the Term Structure with Stochastic Volatility 0 0 0 134 0 0 0 352
Closed-form approximations of moments and densities of continuous-time Markov models 0 0 0 1 0 0 2 4
Correlation Risk, Strings and Asset Prices 0 0 1 27 0 0 2 65
Credit Variance Swaps and Volatility Indexes 0 0 0 3 0 0 0 12
Credit Volatility Indexes 0 0 1 17 0 1 3 46
Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices 0 0 1 6 0 1 3 22
Dynamics of Interest Rate Swap and Equity Volatilities 0 0 0 3 0 0 0 25
Financial Volatility and Economic Activity 0 0 1 202 0 0 1 340
Financial volatility and economic activity 0 0 0 17 0 0 11 121
Fundamental Properties of Bond Prices in Models of the Short-Term Rate 0 0 0 0 0 0 0 20
Fundamental Properties of Bond Prices in Models of the Short-Term Rate 0 0 0 62 0 0 0 402
General Properties of Rational Stock-Market Fluctuations 0 0 0 24 0 0 1 178
General Properties of Rational Stock-Market Fluctuations 0 0 0 78 0 0 1 561
General Properties of Rational Stock-Market Fluctuations 0 0 0 240 0 0 1 338
General properties of rational stock-market fluctuations 0 0 0 0 0 0 0 22
Information Linkages and Correlated Trading 0 0 0 48 0 1 1 197
Information linkages and correlated trading 0 0 0 6 0 1 1 68
Insider Trading Regulation and Market Quality Tradeoffs 0 0 0 3 0 0 1 9
Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia 0 0 0 299 1 2 10 942
Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums 0 0 1 77 0 0 2 83
Macroeconomic determinants of stock market returns, volatility and volatility risk-premia 0 0 0 8 0 0 3 60
Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations 0 0 2 217 0 0 6 973
Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations 0 0 1 98 0 0 1 356
Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets 0 0 0 1 0 0 2 809
Simulated Nonparametric Estimation of Continuous Time Models of Asset Prices and Returns 0 0 0 64 0 1 1 188
Simulated nonparametric estimation of continuous time models of asset prices and returns 0 0 0 2 0 1 2 36
Simulated nonparametric estimation of dynamic models with applications to finance 0 0 0 2 0 0 0 21
Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis 0 0 0 243 0 0 0 702
The Price of Government Bond Volatility 0 0 0 3 0 0 2 30
The Term Structure of Government Debt Uncertainty 0 0 0 12 0 0 2 41
Trading Disclosure Requirements and Market Quality Tradeoffs 0 0 1 7 0 0 1 15
Volatility Indexes and Contracts for Eurodollar and Related Deposits 0 0 0 4 0 1 2 28
Volatility Indexes and Contracts for Government Bonds and Time Deposits 0 0 1 1 0 1 3 10
Total Working Papers 2 2 17 3,087 5 21 94 11,321
1 registered items for which data could not be found

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 0 0 28 0 0 1 92
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models 0 1 2 76 0 4 12 293
Approximating volatility diffusions with CEV-ARCH models 0 0 0 35 0 0 0 126
Asymmetric stock market volatility and the cyclical behavior of expected returns 0 2 4 114 0 2 8 334
Asymmetries and non-linearities in economic activity 0 0 0 8 0 1 1 63
Financial Volatility and Economic Activity 0 1 3 186 1 2 10 376
Fundamental Properties of Bond Prices in Models of the Short-Term Rate 0 0 0 26 0 1 2 293
Information Linkages and Correlated Trading 0 0 0 46 1 1 2 179
Macroeconomic determinants of stock volatility and volatility premiums 2 7 9 125 3 10 19 407
Modeling the changing asymmetry of conditional variances 0 0 0 36 0 1 3 97
Rate fears gauges and the dynamics of fixed income and equity volatilities 0 1 1 7 0 2 7 65
Recovering the probability density function of asset prices using garch as diffusion approximations 0 0 1 57 0 0 1 268
Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets 0 0 0 275 1 1 2 813
Simulated Non-Parametric Estimation of Dynamic Models 0 0 1 68 3 4 9 247
Uncertainty, Information Acquisition, and Price Swings in Asset Markets 0 0 1 11 1 1 3 137
Volatility smiles and the information content of news 0 0 0 69 0 0 0 334
Weak convergence and distributional assumptions for a general class of nonliner arch models 0 0 0 26 1 3 5 87
Total Journal Articles 2 12 22 1,193 11 33 85 4,211

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Statistics updated 2025-05-12