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 0 0 1 164 1 1 3 563
A Theory of Debt Accumulation and Deficit Cycles 0 0 0 5 0 0 1 15
A Theory of Debt Accumulation and Deficit Cycles 0 0 1 25 0 0 9 32
ARCH Models and Option Pricing: The Continuous Time Connection 0 0 0 1 0 1 2 230
ARCH Models and Option Pricing: The Continuous Time Connection 0 0 0 1 1 1 2 447
ARCH Models and Option Pricing: the Continuous-Time Connection 0 0 0 741 0 0 1 2,211
Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models 0 0 1 193 0 0 3 559
Ambiguity, Information Acquisition and Price Swings in Asset Markets 0 0 0 43 0 0 3 155
Ambiguity, information acquisition and price swings in asset markets 0 0 0 5 0 0 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 1 2 5
Correlation Risk, Strings and Asset Prices 0 0 1 27 0 2 4 67
Credit Variance Swaps and Volatility Indexes 0 0 0 3 0 1 1 13
Credit Volatility Indexes 0 0 0 17 0 0 2 46
Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices 0 0 0 6 0 0 1 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 2 3 342
Financial volatility and economic activity 0 0 0 17 0 1 6 122
Fundamental Properties of Bond Prices in Models of the Short-Term Rate 0 0 0 62 0 0 0 402
Fundamental Properties of Bond Prices in Models of the Short-Term Rate 0 0 0 0 1 4 4 24
General Properties of Rational Stock-Market Fluctuations 0 0 0 78 0 0 0 561
General Properties of Rational Stock-Market Fluctuations 0 0 0 240 0 0 0 338
General Properties of Rational Stock-Market Fluctuations 0 0 0 24 1 1 2 179
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 2 198
Information linkages and correlated trading 0 0 0 6 0 0 1 68
Insider Trading Regulation and Market Quality Tradeoffs 0 0 0 3 0 0 0 9
Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia 0 1 1 300 0 1 8 943
Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums 0 1 2 78 0 1 2 84
Macroeconomic determinants of stock market returns, volatility and volatility risk-premia 0 0 0 8 0 0 1 60
Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations 0 0 1 217 0 0 5 973
Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations 0 0 0 98 0 1 1 357
Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets 0 0 0 1 0 1 4 811
Simulated Nonparametric Estimation of Continuous Time Models of Asset Prices and Returns 0 0 0 64 0 0 1 188
Simulated nonparametric estimation of continuous time models of asset prices and returns 0 0 0 2 0 0 2 36
Simulated nonparametric estimation of dynamic models with applications to finance 0 0 0 2 1 2 2 23
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 31
The Term Structure of Government Debt Uncertainty 0 0 0 12 0 0 2 41
Trading Disclosure Requirements and Market Quality Tradeoffs 1 1 1 8 1 1 1 16
Volatility Indexes and Contracts for Eurodollar and Related Deposits 0 0 0 4 0 0 2 28
Volatility Indexes and Contracts for Government Bonds and Time Deposits 0 0 0 1 0 0 1 10
Total Working Papers 1 3 10 3,090 6 23 88 11,350
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 1 2 93
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models 0 0 1 76 1 2 10 295
Approximating volatility diffusions with CEV-ARCH models 0 0 0 35 1 1 1 127
Asymmetric stock market volatility and the cyclical behavior of expected returns 0 0 3 114 0 0 6 334
Asymmetries and non-linearities in economic activity 0 0 0 8 0 0 1 63
Financial Volatility and Economic Activity 1 1 3 187 1 2 11 379
Fundamental Properties of Bond Prices in Models of the Short-Term Rate 0 0 0 26 0 0 1 293
Information Linkages and Correlated Trading 0 0 0 46 0 0 1 179
Macroeconomic determinants of stock volatility and volatility premiums 0 0 8 126 0 4 20 412
Modeling the changing asymmetry of conditional variances 0 0 0 36 2 3 6 100
Rate fears gauges and the dynamics of fixed income and equity volatilities 0 1 2 8 0 2 8 67
Recovering the probability density function of asset prices using garch as diffusion approximations 0 0 0 57 0 0 0 268
Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets 0 0 1 276 1 1 4 815
Simulated Non-Parametric Estimation of Dynamic Models 0 0 0 68 0 3 11 250
Uncertainty, Information Acquisition, and Price Swings in Asset Markets 1 1 2 12 2 5 8 142
Volatility smiles and the information content of news 0 0 0 69 0 3 3 337
Weak convergence and distributional assumptions for a general class of nonliner arch models 0 0 0 26 0 1 5 88
Total Journal Articles 2 3 20 1,198 8 28 98 4,242

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Statistics updated 2025-09-05