Antonio Mele : Citation Profile


Are you Antonio Mele?

Swiss Finance Institute

11

H index

12

i10 index

391

Citations

RESEARCH PRODUCTION:

17

Articles

29

Papers

RESEARCH ACTIVITY:

   21 years (1994 - 2015). See details.
   Cites by year: 18
   Journals where Antonio Mele has often published
   Relations with other researchers
   Recent citing documents: 85.    Total self citations: 20 (4.87 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pme239
   Updated: 2019-10-15    RAS profile: 2019-06-19    
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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:

Fornari, Fabio (11)

Danielsson, Jon (8)

Yoldas, Emre (8)

Chauvet, Marcelle (8)

Senyuz, Zeynep (8)

Kristensen, Dennis (7)

Conrad, Christian (7)

Verona, Fabio (6)

McAleer, Michael (6)

Menkhoff, Lukas (6)

Swanson, Norman (5)

Cites to:

Bollerslev, Tim (15)

Ait-Sahalia, Yacine (13)

Engle, Robert (12)

Renault, Eric (11)

Fornari, Fabio (11)

Drost, Feike C. (8)

Campbell, John (7)

Ghysels, Eric (7)

Tauchen, George (6)

Chernov, Mikhail (6)

Duffie, Darrell (6)

Main data


Where Antonio Mele has published?


Journals with more than one article published# docs
Review of Economic Studies2
Economics Letters2
Review of Financial Studies2
Applied Financial Economics2
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
THEMA Working Papers / THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise4
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area2
Computing in Economics and Finance 1999 / Society for Computational Economics2

Recent works citing Antonio Mele (2018 and 2017)


YearTitle of citing document
2017SYSTEMATIC RISK FACTORS AND STOCK RETURN VOLATILITY. (2017). Ali, Syed Kamran ; Ahmed, Ishtiaq ; Hashmi, Shujahat Haider. In: APSTRACT: Applied Studies in Agribusiness and Commerce. RePEc:ags:apstra:265587.

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2018Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996.

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2018Closed-form approximations in derivatives pricing: The Kristensen-Mele approach. (2018). Kurz, Michael. In: Papers. RePEc:arx:papers:1804.08904.

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2018Some Nontrivial Properties of a Formula for Compound Interest. (2018). Sonin, Isaac M ; Whitmeyer, Mark. In: Papers. RePEc:arx:papers:1809.10566.

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2018‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios. (2018). Conrad, Christian ; Glas, Alexander. In: Working Papers. RePEc:awi:wpaper:0655.

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2017Volatility Risk Premia and Future Commodity Returns. (2017). ORNELAS, JOSE ; Mauad, Roberto ; Haas, Jose Renato . In: Working Papers Series. RePEc:bcb:wpaper:455.

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2018Improving equity premium forecasts by incorporating structural break uncertainty. (2018). Tian, Jing ; Zhou, Qing. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:619-656.

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2017Forecasting the equity risk premium with frequency-decomposed predictors. (2017). Verona, Fabio ; Faria, Gonçalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_001.

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2018Idea Sharing and the Performance of Mutual Funds. (2018). Cujean, Julien. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13111.

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2019Correlation Risk, Strings and Asset Prices. (2019). Vilkov, Grigory ; Mele, Antonio ; Distaso, Walter . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13873.

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2019The Term Structure of Government Debt Uncertainty. (2019). Yang, Shihao ; Obayashi, Yoshiki ; Mele, Antonio. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13874.

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2018To Create or to Redistribute? That is the Question. (2018). Papadopoulou, Niki ; Koursaros, Demetris ; Savva, Christos ; Michail, Nektarios. In: Working Papers. RePEc:cyb:wpaper:2018-5.

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2017Estimation of financial agent-based models with simulated maximum likelihood. (2017). Baruník, Jozef ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:21-45.

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2018Directional predictability and time-varying spillovers between stock markets and economic cycles. (2018). Shahzad, Syed Jawad Hussain ; Bekiros, Stelios ; Ur, Mobeen ; Arreola-Hernandez, Jose ; Hussain, Syed Jawad. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:301-312.

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2017Comovement, financial reporting complexity, and information markets: Evidence from the effect of changes in 10-Q lengths on internet search volumes and peer correlations. (2017). Filzen, Joshua J ; Schutte, Maria Gabriela . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:19-37.

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2019Uncertainty and currency performance: A quantile-on-quantile approach. (2019). Yin, Libo ; Liu, Yang ; Han, Liyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:702-729.

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2019Improving the predictability of stock returns with Bitcoin prices. (2019). Salisu, Afees ; Isah, Kazeem ; Akanni, Lateef. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:857-867.

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2017Higher-order properties of approximate estimators. (2017). Salanié, Bernard ; Kristensen, Dennis ; Salanie, Bernard. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:189-208.

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2018Resolution of policy uncertainty and sudden declines in volatility. (2018). Amengual, Dante ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:297-315.

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2019A new delta expansion for multivariate diffusions via the Itô-Taylor expansion. (2019). Wan, Xiangwei ; Chen, Nan ; Yang, Nian. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:256-288.

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2018Forecasting stock market returns by summing the frequency-decomposed parts. (2018). Verona, Fabio ; Faria, Gonalo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:228-242.

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2018Oil and the short-term predictability of stock return volatility. (2018). Yin, Libo ; Wang, Yudong ; Wu, Chongfeng ; Wei, YU. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:90-104.

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2018Relief Rallies after FOMC Announcements as a Resolution of Uncertainty. (2018). Kurov, Alexander ; Wolfe, Marketa Halova ; Gu, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:1-18.

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2017Oil volatility risk and stock market volatility predictability: Evidence from G7 countries. (2017). Yin, Libo ; Feng, Jiabao ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:240-254.

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2018A Markov switching long memory model of crude oil price return volatility. (2018). Di Sanzo, Silvestro . In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:351-359.

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2018Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach. (2018). Ji, Qiang ; Uddin, Gazi Salah ; Nehler, Henrik ; Liu, Bing-Yue. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:115-126.

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2018Robust trading for ambiguity-averse insiders. (2018). Vitale, Paolo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:90:y:2018:i:c:p:113-130.

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2019Determinants of leadership in online social trading: A signaling theory perspective. (2019). Li, Matthew C ; Kromidha, Endrit. In: Journal of Business Research. RePEc:eee:jbrese:v:97:y:2019:i:c:p:184-197.

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2018The impact of institutional volatility on financial volatility in transition economies. (2018). Hartwell, Christopher. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:46:y:2018:i:2:p:598-615.

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2019Market efficiency, strategies and incomes of heterogeneously informed investors in a social network environment. (2019). Chen, Songsheng ; Wang, Zongrun . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:158:y:2019:i:c:p:15-32.

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2018Dynamic market participation and endogenous information aggregation. (2018). Yu, Edison. In: Journal of Economic Theory. RePEc:eee:jetheo:v:175:y:2018:i:c:p:491-517.

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2018Information acquisition, price informativeness, and welfare. (2018). Rahi, Rohit ; Zigrand, Jean-Pierre. In: Journal of Economic Theory. RePEc:eee:jetheo:v:177:y:2018:i:c:p:558-593.

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2017Endogenous intermediation in over-the-counter markets. (2017). Babus, Ana ; Hu, Tai-Wei. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:1:p:200-215.

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2018Network centrality and delegated investment performance. (2018). Tonks, Ian ; Blake, David ; Wermers, Russ ; Timmermann, Allan ; Rossi, Alberto G. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:1:p:183-206.

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2018Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity. (2018). Chen, Yong ; Paye, Bradley S ; Eaton, Gregory W. In: Journal of Financial Economics. RePEc:eee:jfinec:v:130:y:2018:i:1:p:48-73.

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2019Volatility and the cross-section of corporate bond returns. (2019). Wu, Chunchi ; Wang, Junbo ; Chung, Kee H. In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:2:p:397-417.

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2019The relationship between international trade and capital flow: A network perspective. (2019). Ding, Haoyuan ; Xie, Wenjing ; Liu, Ziyuan ; Jin, Yuying. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:91:y:2019:i:c:p:1-11.

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2019The determinants of the model-free positive and negative volatilities. (2019). Tunaru, Radu ; Morelli, David ; Bevilacqua, Mattia. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:92:y:2019:i:c:p:1-24.

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2017Do regional and global uncertainty factors affect differently the conventional bonds and sukuk? New evidence. (2017). Naifar, Nader ; Bahloul, Slah ; Mroua, Mourad . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:41:y:2017:i:c:p:65-74.

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2018Investor network: Implications for information diffusion and asset prices. (2018). Chung, San-Lin ; Tseng, Kevin ; Liu, Wen-Rang . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:48:y:2018:i:c:p:186-209.

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2018A new government bond volatility index predictor for the U.S. equity premium. (2018). Pan, Zheyao ; Chan, Kam Fong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:50:y:2018:i:c:p:200-215.

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2018Information networks in the stock market based on the distance of the multi-attribute dimensions between listed companies. (2018). Liu, Qian ; Jiang, Meihui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:496:y:2018:i:c:p:505-513.

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2019Simulation of asset pricing in information networks. (2019). Wang, Wentao ; Zhang, Yanglin ; Zhao, Shangmei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:513:y:2019:i:c:p:620-634.

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2019Structural properties of statistically validated empirical information networks. (2019). Stanley, Eugene H ; Zhou, Wei-Xing ; Chen, Wei ; Li, Ming-Xia ; Han, Rui-Qi . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:747-756.

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2019Testing the alternative two-state options pricing models: An empirical analysis on TXO. (2019). Su, EnDer ; Wong, Kai Wen . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:72:y:2019:i:c:p:101-116.

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2017Macroeconomic factors and equity premium predictability. (2017). Buncic, Daniel ; Tischhauser, Martin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:621-644.

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2018Regime shifts and stock return predictability. (2018). Hammerschmid, Regina ; Lohre, Harald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:138-160.

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2019Its not that important: The negligible effect of oil market uncertainty. (2019). Wang, Yudong ; Liu, LI ; Feng, Jiabao ; Yin, Libo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:62-84.

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2017Close communications: hedge funds, brokers and the emergence of herding. (2017). Kellard, Neil ; Engel, Ofer ; Simon, Jan ; Millo, Yuval. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:64766.

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2018Trading and information diffusion in OTC markets. (2018). Babus, Ana ; Kondor, Peter. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:88050.

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2018Information acquisition, price informativeness, and welfare. (2018). Rahi, Rohit ; Zigrand, Jean-Pierre. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:89385.

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2017Information Inertia (Working Paper). (2017). Ganguli, Jayant ; Condie, Scott ; Illeditsch, Philipp Karl . In: Economics Discussion Papers. RePEc:esx:essedp:15615.

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2017Do Macro-Economic and Technical Indicators Matter?- a Principal Component Analysis Approach for Equity Risk Premium Prediction. (2017). Ul, Naveed ; Mushtaq, Maryam ; Aziz, Bilal . In: European Journal of Economics and Business Studies Articles. RePEc:eur:ejesjr:184.

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2017Regime Switching Vine Copula Models for Global Equity and Volatility Indices. (2017). Fink, Holger ; Stober, Jakob ; Czado, Claudia ; Klimova, Yulia . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:3-:d:86821.

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2018Forecasting Volatility: Evidence from the Saudi Stock Market. (2018). al Rahahleh, Naseem ; Kao, Robert. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:84-:d:186076.

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2019Market Allocations under Ambiguity: A Survey. (2019). Tallon, Jean-Marc ; Mukerji, Sujoy ; Billot, Antoine. In: PSE Working Papers. RePEc:hal:psewpa:halshs-02173491.

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2017Predictive models for disaggregate stock market volatility. (2017). CHONG, Terence Tai Leung ; Lin, Shiyu . In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:3:d:10.1007_s11408-017-0291-2.

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2017Home bias in portfolio choices: social learning among partially informed agents. (2017). Gau, Yin-Feng ; Wu, Wen-Lin . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:2:d:10.1007_s11156-016-0560-6.

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2017Dealer Networks in the World of Art. (2017). De Silva, Dakshina ; Pownall, Rachel ; Kosmopoulou, Georgia ; Gertsberg, Marina . In: Working Papers. RePEc:lan:wpaper:198144199.

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2018Information aggregation and learning in a dynamic asset pricing model. (2018). Berardi, Michele. In: Centre for Growth and Business Cycle Research Discussion Paper Series. RePEc:man:cgbcrp:241.

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2018Does financial market volatility influence the real economy?. (2018). de Backer, B. In: Economic Review. RePEc:nbb:ecrart:y:2018:m:december:i:iv:p:107-124.

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2017The Relevance of Broker Networks for Information Diffusion in the Stock Market. (2017). Di Maggio, Marco ; Sommavilla, Carlo ; Kermani, Amir ; Franzoni, Francesco ; Dimaggio, Marco . In: NBER Working Papers. RePEc:nbr:nberwo:23522.

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2017Model Uncertainty, Ambiguity Aversion, and Market Participation. (2017). Teoh, Siew Hong ; Hirshleifer, David ; Huang, Chong. In: NBER Working Papers. RePEc:nbr:nberwo:24143.

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2018Welfare Implications of Mitigating Investment Uncertainty. (2018). Ogawa, Takayuki ; Sakamoto, Jun. In: Discussion Papers in Economics and Business. RePEc:osk:wpaper:1833r.

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2017Forecasting stock market returns by summing the frequency-decomposed parts. (2017). Verona, Fabio ; Faria, Gonalo. In: CEF.UP Working Papers. RePEc:por:cetedp:1702.

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2017Sentiment indicators and macroeconomic data as drivers for low-frequency stock market volatility. (2017). Lindblad, Annika . In: MPRA Paper. RePEc:pra:mprapa:80266.

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2017Costly Information Acquisition, Social Networks and Asset Prices: Experimental Evidence. (2017). Riyanto, Yohanes ; Halim, Edward ; Roy, Nilanjan . In: MPRA Paper. RePEc:pra:mprapa:80658.

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2018Investors’ Uncertainty and Stock Market Risk. (2018). Escobari, Diego ; Jafarinejad, Mohammad. In: MPRA Paper. RePEc:pra:mprapa:86975.

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2019Cholesky-ANN models for predicting multivariate realized volatility. (2019). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:95137.

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2019Realized Volatility Forecasting with Neural Networks. (2019). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:95443.

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2019.

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2017SOME ASPECTS REGARDING THE FORECASTING INFORMATION SYSTEM ACTIVITY. (2017). Carp, Ana ; Burea, Doina ; Avram, Doina ; Manole, Alexandru . In: Romanian Statistical Review Supplement. RePEc:rsr:supplm:v:65:y:2017:i:4:p:9-14.

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2018Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles). (2018). Feldman, David ; Xu, Xin. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-1972-8.

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2018Timing the market: the economic value of price extremes. (2018). Xie, Haibin ; Wang, Shouyang. In: Financial Innovation. RePEc:spr:fininn:v:4:y:2018:i:1:d:10.1186_s40854-018-0110-4.

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2017How does inflation determine inflation uncertainty? A Chinese perspective. (2017). Su, Chi-Wei ; Li, Xiao-Lin ; Chang, Hsu-Ling ; Yu, Hui. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:51:y:2017:i:3:d:10.1007_s11135-016-0341-2.

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2018Estimating and Forecasting West Africa Stock Market Volatility Using Asymmetric GARCH Models. (2018). Grald, Djahou Mangbl. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:8:y:2018:i:6:f:8_6_4.

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2017Pre-Trade Transparency and Return Co-movements in Commercial Real Estate Markets. (2017). Ruf, Daniel ; Füss, Roland. In: Working Papers on Finance. RePEc:usg:sfwpfi:2015:20.

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2019Financial Markets with Multidimensional Uncertainty. (2019). Aliyev, Nihad . In: PhD Thesis. RePEc:uts:finphd:2-2019.

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2018INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL. (2018). Han, Xixuan ; Yang, Hailiang ; Wei, Boyu. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s0219024918500140.

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2017China’s Macroeconomic Fundamentals on Stock Market Volatility: Evidence from Shanghai and Hong Kong. (2017). Wing, Andy Wui ; Han, Iris Wing. In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). RePEc:wsi:rpbfmp:v:20:y:2017:i:02:n:s021909151750014x.

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2018On the estimation of behavioral macroeconomic models via simulated maximum likelihood. (2018). Kukacka, Jiri ; Sacht, Stephen ; Jang, Tae-Seok . In: Economics Working Papers. RePEc:zbw:cauewp:201811.

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2017Stock price related financial fragility and growth patterns. (2017). Assmuth, Pascal. In: Economics Discussion Papers. RePEc:zbw:ifwedp:2017108.

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Works by Antonio Mele:


YearTitleTypeCited
2009Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models In: CREATES Research Papers.
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2011Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models.(2011) In: Journal of Financial Economics.
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2001Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations In: Temi di discussione (Economic working papers).
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2001Recovering the probability density function of asset prices using garch as diffusion approximations.(2001) In: Journal of Empirical Finance.
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2000Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations.(2000) In: THEMA Working Papers.
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2001A Simple Approach to the Estimation of Continuous Time CEV Stochastic Volatility Models of the Short-Term Rate In: Temi di discussione (Economic working papers).
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2012Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums In: Swiss Finance Institute Research Paper Series.
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2004General Properties of Rational Stock-Market Fluctuations In: Econometric Society 2004 North American Summer Meetings.
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2004General properties of rational stock-market fluctuations.(2004) In: LSE Research Online Documents on Economics.
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2004General Properties of Rational Stock-Market Fluctuations.(2004) In: FMG Discussion Papers.
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2004General Properties of Rational Stock-Market Fluctuations.(2004) In: Economics Series.
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2006Approximating volatility diffusions with CEV-ARCH models In: Journal of Economic Dynamics and Control.
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1994A stochastic variance model for absolute returns In: Economics Letters.
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1996Modeling the changing asymmetry of conditional variances In: Economics Letters.
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2015Rate fears gauges and the dynamics of fixed income and equity volatilities In: Journal of Banking & Finance.
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2007Asymmetric stock market volatility and the cyclical behavior of expected returns In: Journal of Financial Economics.
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2013Macroeconomic determinants of stock volatility and volatility premiums In: Journal of Monetary Economics.
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2009Ambiguity, information acquisition and price swings in asset markets In: LSE Research Online Documents on Economics.
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2009Ambiguity, Information Acquisition and Price Swings in Asset Markets.(2009) In: FMG Discussion Papers.
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2008Macroeconomic determinants of stock market returns, volatility and volatility risk-premia In: LSE Research Online Documents on Economics.
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2008Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia.(2008) In: FMG Discussion Papers.
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2008Information linkages and correlated trading In: LSE Research Online Documents on Economics.
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2008Information Linkages and Correlated Trading.(2008) In: FMG Discussion Papers.
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2010Information Linkages and Correlated Trading.(2010) In: Review of Financial Studies.
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