13
H index
15
i10 index
625
Citations
Antonio Mele : Citation Profile
Swiss Finance Institute | RESEARCH PRODUCTION: 17 Articles 41 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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29 years (1994 - 2023). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Antonio Mele. | Is cited by:
| Cites to:
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Main data
Where Antonio Mele has published?
| Journals with more than one article published | # docs |
|---|---|
| The Review of Financial Studies | 2 |
| Applied Financial Economics | 2 |
| Economics Letters | 2 |
| Journal of Financial Economics | 2 |
| The Review of Economic Studies | 2 |
Recent works citing Antonio Mele (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | Aggregate uncertainty, information acquisition, and analyst stock recommendations. (2024). Welagedara, Venura ; Singh, Harminder. In: International Review of Finance. RePEc:bla:irvfin:v:24:y:2024:i:4:p:604-640. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2024 | Pitfalls of Information Spillovers in Persuasion. (2024). Tenev, Anastas P ; Kerman, Toygar T. In: CERGE-EI Working Papers. RePEc:cer:papers:wp772. Full description at Econpapers || Download paper |
| 2024 | Return volatility and trading volume of GameFi. (2024). Shen, Dehua ; Goodell, John W ; Shi, Guiqiang. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:43:y:2024:i:c:s2214635024000704. Full description at Econpapers || Download paper |
| 2024 | Closed-form approximations of moments and densities of continuous–time Markov models. (2024). Mele, Antonio ; Lee, Young Jun ; Kristensen, Dennis. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:168:y:2024:i:c:s0165188924001404. Full description at Econpapers || Download paper |
| 2024 | Information sharing in a perfectly competitive market. (2024). Lou, Youcheng ; Yang, Yaqing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001389. Full description at Econpapers || Download paper |
| 2024 | The correlated trading and investment performance of individual investors. (2024). Zhao, Jing ; Lin, Tse-Chun ; Kuo, Wei-Yu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000574. Full description at Econpapers || Download paper |
| 2024 | Social media information diffusion and excess stock returns co-movement. (2024). Li, Sai-Ping ; Wu, Wang-Long ; Chen, Zhang-Hangjian ; Koedijk, Kees G ; Bao, Kun. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005525. Full description at Econpapers || Download paper |
| 2024 | Beyond active share: Boosting fund performance through common holdings with same-benchmark mutual funds. (2024). Wang, Danxia. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000279. Full description at Econpapers || Download paper |
| 2024 | Trading activity of VIX futures and options around FOMC announcements. (2024). Yang, Jimmy J ; Tsai, Wei-Che ; Huang, Hong-Gia. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002539. Full description at Econpapers || Download paper |
| 2024 | Forecasting U.S. Stock Returns Conditional on Geopolitical Risk and Business Cycles. (2024). Tammy, Minh Tam ; Karadas, Serkan ; Stivers, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006392. Full description at Econpapers || Download paper |
| 2024 | Option pricing under market makers inventory risk: A case study of China. (2024). Deng, Zhijian ; Yao, Yuhang. In: Finance Research Letters. RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324006469. Full description at Econpapers || Download paper |
| 2024 | Forecasting exchange rate volatility: An amalgamation approach. (2024). Souropanis, Ioannis ; Alexandridis, Antonios K ; Panopoulou, Ekaterini. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001331. Full description at Econpapers || Download paper |
| 2025 | Information sharing in financial markets. (2025). Xiong, Yan ; Goldstein, Itay ; Yang, Liyan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:163:y:2025:i:c:s0304405x24001909. Full description at Econpapers || Download paper |
| 2024 | Global mispricing matters. (2024). Yu, Jiasheng ; Liu, Hongkui ; Tang, Guohao ; Jiang, Fuwei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:147:y:2024:i:c:s0261560624001232. Full description at Econpapers || Download paper |
| 2024 | Dynamic spillovers in higher moments and jumps across ETFs and economic and financial uncertainty factors in the context of successive shocks. (2024). Selmi, Refk ; Mensi, Walid ; Alomari, Mohammed ; Kang, Sang Hoon ; Ko, Hee-Un. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:210-228. Full description at Econpapers || Download paper |
| 2024 | Information shock, market reaction, and stock message board information diffusion. (2024). Meng, Yongqiang ; Huang, Xiuqi. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:180-192. Full description at Econpapers || Download paper |
| 2025 | . Full description at Econpapers || Download paper |
| 2024 | Unveiling time-varying asymmetries in the stock market returns through energy prices, green innovation, and market risk factors: wavelet-based evidence from China. (2024). Hossain, Mohammad Razib ; Ramzan, Muhammad ; Alvarado, Rafael ; Adebayo, Tomiwa Sunday ; Abbasi, Kashif Raza. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:57:y:2024:i:3:d:10.1007_s10644-024-09684-z. Full description at Econpapers || Download paper |
| 2024 | Cryptocurrencies as a Speculative Asset: How Much Uncertainty is Included in Cryptocurrency Price?. (2024). Ahsan, Tayyaba ; Khan, Mubashir ; Zawadzki, Krystian. In: SAGE Open. RePEc:sae:sagope:v:14:y:2024:i:2:p:21582440241256263. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
Works by Antonio Mele:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2009 | Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 23 |
| 2011 | Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models.(2011) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | article | |
| 2023 | Closed-form approximations of moments and densities of continuous-time Markov models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 14 |
| 2001 | Recovering the probability density function of asset prices using garch as diffusion approximations.(2001) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
| 2000 | Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations.(2000) In: THEMA Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2001 | A Simple Approach to the Estimation of Continuous Time CEV Stochastic Volatility Models of the Short-Term Rate In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 1 |
| 2012 | Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 2013 | Dynamics of Interest Rate Swap and Equity Volatilities In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Credit Variance Swaps and Volatility Indexes In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Volatility Indexes and Contracts for Eurodollar and Related Deposits In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Volatility Indexes and Contracts for Government Bonds and Time Deposits In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2013 | The Price of Government Bond Volatility In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 2020 | Trading Disclosure Requirements and Market Quality Tradeoffs In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Credit Volatility Indexes In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2021 | A Theory of Debt Accumulation and Deficit Cycles In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Correlation Risk, Strings and Asset Prices In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | The Term Structure of Government Debt Uncertainty In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2004 | General Properties of Rational Stock-Market Fluctuations In: Econometric Society 2004 North American Summer Meetings. [Full Text][Citation analysis] | paper | 0 |
| 2004 | General properties of rational stock-market fluctuations.(2004) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | ||
| 2004 | General Properties of Rational Stock-Market Fluctuations.(2004) In: Economics Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2006 | Approximating volatility diffusions with CEV-ARCH models In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 10 |
| 1994 | A stochastic variance model for absolute returns In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
| 1996 | Modeling the changing asymmetry of conditional variances In: Economics Letters. [Full Text][Citation analysis] | article | 21 |
| 2015 | Rate fears gauges and the dynamics of fixed income and equity volatilities In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 17 |
| 2007 | Asymmetric stock market volatility and the cyclical behavior of expected returns In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 134 |
| 2013 | Macroeconomic determinants of stock volatility and volatility premiums In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 71 |
| 2009 | Ambiguity, information acquisition and price swings in asset markets In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 23 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | ||
| 2008 | Macroeconomic determinants of stock market returns, volatility and volatility risk-premia In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 3 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | ||
| 2008 | Information linkages and correlated trading In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 64 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 64 | paper | ||
| 2010 | Information Linkages and Correlated Trading.(2010) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 64 | article | |
| 2005 | Simulated nonparametric estimation of dynamic models with applications to finance In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 2 |
| 2004 | Simulated nonparametric estimation of continuous time models of asset prices and returns In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 3 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | ||
| 2009 | Financial volatility and economic activity In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 41 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | paper | ||
| 2013 | Financial Volatility and Economic Activity.(2013) In: Journal of Financial Management, Markets and Institutions. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | article | |
| 2000 | An Equilibrium Model of the Term Structure with Stochastic Volatility In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Fundamental Properties of Bond Prices in Models of the Short-Term Rate In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2003 | Fundamental Properties of Bond Prices in Models of the Short-Term Rate.(2003) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2002 | Fundamental Properties of Bond Prices in Models of the Short-Term Rate.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 1998 | ARCH Models and Option Pricing : The Continuous Time Connection In: THEMA Working Papers. [Citation analysis] | paper | 0 |
| 1998 | ARCH Models and Option Pricing: The Continuous Time Connection..(1998) In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1999 | ARCH Models and Option Pricing: the Continuous-Time Connection.(1999) In: Computing in Economics and Finance 1999. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1995 | Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets. In: Banca Italia - Servizio di Studi. [Citation analysis] | paper | 61 |
| 1997 | Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets..(1997) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 61 | article | |
| 2009 | Simulated Non-Parametric Estimation of Dynamic Models In: The Review of Economic Studies. [Full Text][Citation analysis] | article | 22 |
| 2015 | Uncertainty, Information Acquisition, and Price Swings in Asset Markets In: The Review of Economic Studies. [Full Text][Citation analysis] | article | 59 |
| 2002 | Fundamental Properties of Bond Prices in Models of the Short-Term Rate In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 1999 | Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis In: Computing in Economics and Finance 1999. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Volatility smiles and the information content of news In: Applied Financial Economics. [Full Text][Citation analysis] | article | 11 |
| 1997 | Asymmetries and non-linearities in economic activity In: Applied Financial Economics. [Full Text][Citation analysis] | article | 8 |
| 1997 | Weak convergence and distributional assumptions for a general class of nonliner arch models In: Econometric Reviews. [Full Text][Citation analysis] | article | 13 |
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