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 1 1 164 0 2 3 562
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 1 1 25 0 5 9 32
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 0 1 0 1 1 446
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 4 155
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 1 1 2 5
Correlation Risk, Strings and Asset Prices 0 0 1 27 1 1 3 66
Credit Variance Swaps and Volatility Indexes 0 0 0 3 0 0 0 12
Credit Volatility Indexes 0 0 1 17 0 0 3 46
Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices 0 0 0 6 0 0 2 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 1 1 11 122
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 0 240 0 0 0 338
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 0 0 0 0 22
Information Linkages and Correlated Trading 0 0 0 48 1 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 1 9
Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia 1 1 1 300 1 2 8 943
Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums 1 1 2 78 1 1 2 84
Macroeconomic determinants of stock market returns, volatility and volatility risk-premia 0 0 0 8 0 0 2 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 0 0 356
Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets 0 0 0 1 0 1 3 810
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 1 1 22
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 1 2 31
The Term Structure of Government Debt Uncertainty 0 0 0 12 0 0 2 41
Trading Disclosure Requirements and Market Quality Tradeoffs 0 0 0 7 0 0 0 15
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 1 1 0 0 3 10
Total Working Papers 2 4 11 3,089 7 18 86 11,334
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 0 1 76 0 0 10 293
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 0 4 114 0 0 7 334
Asymmetries and non-linearities in economic activity 0 0 0 8 0 0 1 63
Financial Volatility and Economic Activity 0 0 2 186 0 2 9 377
Fundamental Properties of Bond Prices in Models of the Short-Term Rate 0 0 0 26 0 0 2 293
Information Linkages and Correlated Trading 0 0 0 46 0 1 1 179
Macroeconomic determinants of stock volatility and volatility premiums 0 3 8 126 4 8 21 412
Modeling the changing asymmetry of conditional variances 0 0 0 36 1 1 4 98
Rate fears gauges and the dynamics of fixed income and equity volatilities 1 1 2 8 1 1 7 66
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 1 1 276 0 2 3 814
Simulated Non-Parametric Estimation of Dynamic Models 0 0 0 68 0 3 8 247
Uncertainty, Information Acquisition, and Price Swings in Asset Markets 0 0 1 11 0 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 0 1 5 87
Total Journal Articles 1 5 19 1,196 6 20 82 4,220


Statistics updated 2025-07-04