Antonio Mele : Citation Profile

Swiss Finance Institute

13

H index

15

i10 index

644

Citations

RESEARCH PRODUCTION:

17

Articles

41

Papers

RESEARCH ACTIVITY:

   29 years (1994 - 2023). See details.
   Cites by year: 22
   Journals where Antonio Mele has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 24 (3.59 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pme239
   Updated: 2025-12-20    RAS profile: 2024-06-07    
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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:

Tallon, Jean-Marc (10)

Fornari, Fabio (9)

Senyuz, Zeynep (8)

Kristensen, Dennis (8)

Mukerji, Sujoy (8)

Yoldas, Emre (8)

Chauvet, Marcelle (8)

Conrad, Christian (8)

Menkhoff, Lukas (6)

Danielsson, Jon (6)

Yin, Libo (6)

Cites to:

Bollerslev, Tim (16)

Fornari, Fabio (16)

Campbell, John (12)

Renault, Eric (11)

Engle, Robert (11)

Ait-Sahalia, Yacine (9)

Schwert, G. (9)

Cochrane, John (8)

Ghysels, Eric (8)

Chapman, David (7)

Pearson, Neil (7)

Main data

Where Antonio Mele has published?

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

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute10
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
CEPR Discussion Papers / C.E.P.R. Discussion Papers2

Recent works citing Antonio Mele (2025 and 2024)

YearTitle of citing document
2025Short-Term Asymptotics of Volatility Skew and Curvature Based on Cumulants. (2025). Cheng, Xue. In: Papers. RePEc:arx:papers:2401.03776.

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2025Information Aggregation with Costly Information Acquisition. (2024). Mikhalishchev, Sergei ; Galanis, Spyros. In: Papers. RePEc:arx:papers:2406.07186.

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2025The continuous-time limit of quasi score-driven volatility models. (2024). He, Ping ; Wu, Yinhao. In: Papers. RePEc:arx:papers:2409.14734.

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2025Persuasion Gains and Losses from Peer Communication. (2025). Kerman, Toygar T ; Tenev, Anastas P ; Zabarnyi, Konstantin. In: Papers. RePEc:arx:papers:2509.09099.

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2025Equity Premium Prediction: Taking into Account the Role of Long, even Asymmetric, Swings in Stock Market Behavior. (2025). Ausloos, Marcel ; Un, Kuok Sin. In: Papers. RePEc:arx:papers:2509.10483.

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2025The disclosure of information about the range of asset value in market. (2025). Su, Jianhao ; Zhang, Yanliang. In: Papers. RePEc:arx:papers:2511.11405.

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2024Centralized vs Decentralized Markets: The Role of Connectivity. (2024). Iori, Giulia ; Alfarano, Simone ; Rahi, Rohit ; Camacho, Eva ; Kapar, Burcu ; Banal-Estaol, Albert. In: Working Papers. RePEc:bge:wpaper:1420.

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2024Aggregate 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.

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2024Statistical inference for GQARCHâ€Itôâ€jumps model based on the realized range volatility. (2024). Yu, Jin ; Liu, Guangying ; Hao, Hongxia ; Lin, Jin Guan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:613-638.

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2024Pitfalls of Information Spillovers in Persuasion. (2024). Tenev, Anastas ; Kerman, Toygar T. In: CERGE-EI Working Papers. RePEc:cer:papers:wp772.

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2024Return 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.

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2024Closed-form approximations of moments and densities of continuous–time Markov models. (2024). Kristensen, Dennis ; Mele, Antonio ; Lee, Young Jun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:168:y:2024:i:c:s0165188924001404.

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2024Information 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.

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2024Systemic risk monitoring model from the perspective of public information arrival. (2024). Wu, Yan ; Zhu, Xingting ; Yan, Han ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000664.

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2024Better the devil you know: Improved forecasts from imperfect models. (2024). Oh, Dong Hwan ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:1:s0304407624001131.

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2024Information acquisition and processing skills of institutions and retail investors around information shocks. (2024). Tsai, Shih-Chuan ; Fung, Scott ; Obaid, Khaled. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000306.

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2024The 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.

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2025The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model. (2025). Zamenjani, Azam Shamsi ; Maheu, John M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000428.

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2025Unlocking economic insights: ESG integration, market dynamics and sustainable transitions. (2025). Yarovaya, Larisa ; Ismail, Izlin ; Qureshi, Fiza. In: Energy Economics. RePEc:eee:eneeco:v:145:y:2025:i:c:s0140988325002312.

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2024Social media information diffusion and excess stock returns co-movement. (2024). Chen, Zhang-Hangjian ; Wu, Wang-Long ; Li, Sai-Ping ; Bao, Kun ; Koedijk, Kees G. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005525.

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2024Beyond 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.

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2024Trading activity of VIX futures and options around FOMC announcements. (2024). Tsai, Wei-Che ; Yang, Jimmy J ; Huang, Hong-Gia. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002539.

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2024Forecasting 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.

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2024Option 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.

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2025Forecasting the aggregate market volatility by boosted neural networks. (2025). Ciner, Cetin. In: Finance Research Letters. RePEc:eee:finlet:v:72:y:2025:i:c:s1544612324015344.

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2025Climate risk and predictability of global stock market volatility. (2025). Ma, Yong ; Zhou, Mingtao. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:101:y:2025:i:c:s1042443125000253.

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2024Forecasting 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.

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2025Predicting the equity premium around the globe: Comprehensive evidence from a large sample. (2025). Tharann, Bjrn ; Simen, Chardin Wese ; Hollstein, Fabian ; Prokopczuk, Marcel. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:208-228.

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2024Calibration and validation of macroeconomic simulation models by statistical causal search. (2024). Pallante, Gianluca ; Moneta, Alessio ; Martinoli, Mario. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:228:y:2024:i:c:s0167268124004001.

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2024Ambiguity and private investors’ behavior after forced fund liquidations. (2024). Meyer, Steffen ; Uhr, Charline. In: Journal of Financial Economics. RePEc:eee:jfinec:v:156:y:2024:i:c:s0304405x24000722.

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2025Information 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.

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2024Global 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.

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2024Mapping fear in financial markets: Insights from dynamic networks and centrality measures. (2024). Mohnot, Rajesh ; Arfaoui, Nadia ; Naeem, Muhammad Abubakr ; Senthilkumar, Arunachalam. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:85:y:2024:i:c:s0927538x24001197.

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2024Dynamic 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 ; Kang, Sang Hoon ; Alomari, Mohammed ; Ko, Hee-Un. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:210-228.

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2024Information 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.

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2024Deciphering asymmetric spillovers in US industries: Insights from higher-order moments. (2024). Shafiullah, Muhammad ; lucey, brian ; Naeem, Muhammad Abubakr ; Senthilkumar, Arunachalam. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001065.

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2025Volatility forecasting and volatility-timing strategies: A machine learning approach. (2025). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005166.

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2025Out-of-Sample Predictability of the Equity Risk Premium. (2025). Hotta, Luiz ; Fuertes, Ana-Maria ; de Almeida, Daniel. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:2:p:257-:d:1566698.

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2025Forecasting the Volatility of CSI 300 Index with a Hybrid Model of LSTM and Multiple GARCH Models. (2025). Tian, BU ; Yin, Hong ; Yan, Tianyu. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10785-0.

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2024Unveiling 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 ; Alvarado, Rafael ; Adebayo, Tomiwa Sunday ; Ramzan, Muhammad ; Abbasi, Kashif Raza. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:57:y:2024:i:3:d:10.1007_s10644-024-09684-z.

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2024Herding the crowds: how sentiment affects crowdsourced earnings estimates. (2024). Garcia, John. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:38:y:2024:i:3:d:10.1007_s11408-024-00447-4.

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2024Freedom of choice impact on country-specific liquidity commonality. (2024). Spahr, Ronald W ; Jain, Pawan ; Mekhaimer, Mohamed ; Sunderman, Mark A. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:63:y:2024:i:1:d:10.1007_s11156-024-01257-5.

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2024Cryptocurrencies 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.

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2024Sum-of-the-Parts Revised: Economic Regimes and Flexible Probabilities. (2024). Haase, Felix. In: Research Papers in Economics. RePEc:trr:wpaper:202410.

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2024Centralized vs decentralized markets: The role of connectivity. (2024). Iori, Giulia ; Alfarano, Simone ; Camacho, Eva ; Kapar, Burcu ; Banal-Estaol, Albert ; Rahi, Rohit. In: Economics Working Papers. RePEc:upf:upfgen:1877.

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2025Centralized vs Decentralized Markets: The Role of Connectivity. (2025). Alfarano, Simone ; Banal-Estaaol, Albert ; Camacho, Eva ; Rahi, Rohit ; Kapar, Burcu ; Iori, Giulia. In: Working Papers. RePEc:ven:wpaper:2025:13.

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2024Macroâ€financial linkages in the highâ€frequency domain: Economic fundamentals and the Covidâ€induced uncertainty channel in US and UK financial markets. (2024). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1581-1608.

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2025The term structure of interest rates as predictor of stock market volatility. (2025). Megaritis, Anastasios ; Triantafyllou, Athanasios ; Vlastakis, Nikolaos ; Kontonikas, Alexandros. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:3212-3229.

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2024Forecasting stock returns with industry volatility concentration. (2024). Zhang, Yaojie ; He, Mengxi. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:7:p:2705-2730.

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2025USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras. (2025). Sakemoto, Ryuta ; Obata, Takahiro ; Yamaguchi, Kohei ; Shirokawa, Hiroaki. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:3:p:208-223.

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2025Asymmetric Commodity Tails and Index Futures Returns. (2025). Wang, Yuanzhi ; Wei, Xinbei ; Zhang, Qunzi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:3:p:247-265.

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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.
[Full Text][Citation analysis]		paper23
2011Adding 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
2023Closed-form approximations of moments and densities of continuous-time Markov models In: Papers.
[Full Text][Citation analysis]		paper0
2001Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper14
2001Recovering the probability density function of asset prices using garch as diffusion approximations.(2001) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 14		article
2000Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations.(2000) In: THEMA Working Papers.
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This paper has nother version. Agregated cites: 14		paper
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).
[Full Text][Citation analysis]		paper1
2012Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper7
2013Dynamics of Interest Rate Swap and Equity Volatilities In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2013Credit Variance Swaps and Volatility Indexes In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2013Volatility Indexes and Contracts for Eurodollar and Related Deposits In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2013Volatility Indexes and Contracts for Government Bonds and Time Deposits In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2013The Price of Government Bond Volatility In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper4
2020Trading Disclosure Requirements and Market Quality Tradeoffs In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2020Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2020Credit Volatility Indexes In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2021A Theory of Debt Accumulation and Deficit Cycles In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2019Correlation Risk, Strings and Asset Prices In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2019The Term Structure of Government Debt Uncertainty In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2004General Properties of Rational Stock-Market Fluctuations In: Econometric Society 2004 North American Summer Meetings.
[Full Text][Citation analysis]		paper0
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: Economics Series.
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2006Approximating volatility diffusions with CEV-ARCH models In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article10
1994A stochastic variance model for absolute returns In: Economics Letters.
[Full Text][Citation analysis]		article3
1996Modeling the changing asymmetry of conditional variances In: Economics Letters.
[Full Text][Citation analysis]		article21
2015Rate fears gauges and the dynamics of fixed income and equity volatilities In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article19
2007Asymmetric stock market volatility and the cyclical behavior of expected returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article144
2013Macroeconomic determinants of stock volatility and volatility premiums In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article73
2009Ambiguity, information acquisition and price swings in asset markets In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper23
.() In: .
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2008Macroeconomic determinants of stock market returns, volatility and volatility risk-premia In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper3
.() In: .
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2008Information linkages and correlated trading In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper66
.() In: .
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2010Information Linkages and Correlated Trading.(2010) In: The Review of Financial Studies.
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2005Simulated nonparametric estimation of dynamic models with applications to finance In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper2
2004Simulated nonparametric estimation of continuous time models of asset prices and returns In: LSE Research Online Documents on Economics.
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.() In: .
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2009Financial volatility and economic activity In: LSE Research Online Documents on Economics.
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.() In: .
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2013Financial Volatility and Economic Activity.(2013) In: Journal of Financial Management, Markets and Institutions.
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This paper has nother version. Agregated cites: 41		article
2000An Equilibrium Model of the Term Structure with Stochastic Volatility In: THEMA Working Papers.
[Full Text][Citation analysis]		paper0
2000Fundamental Properties of Bond Prices in Models of the Short-Term Rate In: THEMA Working Papers.
[Full Text][Citation analysis]		paper6
2003Fundamental Properties of Bond Prices in Models of the Short-Term Rate.(2003) In: The Review of Financial Studies.
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2002Fundamental Properties of Bond Prices in Models of the Short-Term Rate.(2002) In: Working Papers.
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1998ARCH Models and Option Pricing : The Continuous Time Connection In: THEMA Working Papers.
[Citation analysis]		paper0
1998ARCH Models and Option Pricing: The Continuous Time Connection..(1998) In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
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1999ARCH Models and Option Pricing: the Continuous-Time Connection.(1999) In: Computing in Economics and Finance 1999.
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1995Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets. In: Banca Italia - Servizio di Studi.
[Citation analysis]		paper62
1997Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets..(1997) In: Journal of Applied Econometrics.
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2009Simulated Non-Parametric Estimation of Dynamic Models In: The Review of Economic Studies.
[Full Text][Citation analysis]		article23
2015Uncertainty, Information Acquisition, and Price Swings in Asset Markets In: The Review of Economic Studies.
[Full Text][Citation analysis]		article60
2002Fundamental Properties of Bond Prices in Models of the Short-Term Rate In: Working Papers.
[Full Text][Citation analysis]		paper1
1999Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis In: Computing in Economics and Finance 1999.
[Full Text][Citation analysis]		paper0
2001Volatility smiles and the information content of news In: Applied Financial Economics.
[Full Text][Citation analysis]		article11
1997Asymmetries and non-linearities in economic activity In: Applied Financial Economics.
[Full Text][Citation analysis]		article8
1997Weak convergence and distributional assumptions for a general class of nonliner arch models In: Econometric Reviews.
[Full Text][Citation analysis]		article13

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