Will Melick : Citation Profile


Are you Will Melick?

Kenyon College
Federal Reserve Bank of Cleveland

9

H index

9

i10 index

414

Citations

RESEARCH PRODUCTION:

12

Articles

15

Papers

RESEARCH ACTIVITY:

   26 years (1988 - 2014). See details.
   Cites by year: 15
   Journals where Will Melick has often published
   Relations with other researchers
   Recent citing documents: 36.    Total self citations: 5 (1.19 %)

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   Permalink: http://citec.repec.org/pme261
   Updated: 2020-07-04    RAS profile: 2015-06-11    
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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 Will Melick.

Is cited by:

Beine, Michel (11)

MacDonald, Ronald (10)

Nagayasu, Jun (8)

Engel, Charles (7)

Fatum, Rasmus (6)

Campa, Jose (6)

Vähämaa, Sami (6)

Chinn, Menzie (6)

Ariff, Mohamed (6)

Gnabo, Jean-Yves (5)

Sarno, Lucio (5)

Cites to:

Dominguez, Kathryn (10)

Obstfeld, Maurice (6)

Taylor, Mark (6)

Humpage, Owen (6)

Edison, Hali (5)

Swanson, Eric (5)

Eijffinger, Sylvester (5)

Frankel, Jeffrey (5)

Fatum, Rasmus (4)

Rose, Andrew (4)

Nelson, Edward (4)

Main data


Where Will Melick has published?


Journals with more than one article published# docs
Economic Commentary3
Journal of International Money and Finance2
International Journal of Finance & Economics2

Working Papers Series with more than one paper published# docs
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)7
BIS Working Papers / Bank for International Settlements3
Working Papers / Kenyon College, Department of Economics2
Working Papers (Old Series) / Federal Reserve Bank of Cleveland2

Recent works citing Will Melick (2018 and 2017)


YearTitle of citing document
2018Asset Pricing with Random Volatility. (2018). Liu, Xin. In: Papers. RePEc:arx:papers:1610.01450.

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2018Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2018). Crisóstomo, Ricardo ; Couso, Lorena. In: Papers. RePEc:arx:papers:1801.08007.

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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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2019A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps. (2019). Yang, Jie ; Wang, Fangfang ; Li, Keren ; Zhou, Shuang ; Jiang, Liyuan. In: Papers. RePEc:arx:papers:1808.05289.

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2020Convex Optimization Over Risk-Neutral Probabilities. (2020). Boyd, Stephen ; Tuck, Jonathan ; Barratt, Shane. In: Papers. RePEc:arx:papers:2003.02878.

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2017Which Model to Forecast the Target Rate?. (2017). van Oordt, Maarten. In: Staff Working Papers. RePEc:bca:bocawp:17-60.

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2018Monetary policy uncertainty, positions of traders and changes in commodity futures prices. (2018). Gospodinov, Nikolay ; Jamali, Ibrahim. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:239-260.

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2018Realized Volatility as an Instrument to Official Intervention. (2018). Ribeiro, Joo Barata. In: Investigación Conjunta-Joint Research. RePEc:cml:incocp:5en-8.

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2017Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2017). Crisóstomo, Ricardo ; Couso, Lorena ; Crisostomo, Ricardo . In: CNMV Working Papers. RePEc:cnv:wpaper:dt_67en.

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2017Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: Documentos de Trabajo CIEF. RePEc:col:000122:015923.

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2018Crash risk and risk neutral densities. (2018). Chen, Ren-Raw ; Huang, Jeffrey ; Hsieh, Pei-Lin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:162-189.

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2017Generating options-implied probability densities to understand oil market events. (2017). Datta, Deepa Dhume ; Ross, Landon J ; Londono, Juan M. In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:440-457.

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2019The importance of oil assets for portfolio optimization: The analysis of firm level stocks. (2019). Tiwari, Aviral ; Shahbaz, Muhammad ; Anwar, Awais ; Sarwar, Suleman. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:217-234.

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2019Option prices and implied volatility in the crude oil market. (2019). Lorentzen, Sindre ; Soini, Vesa. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:515-539.

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2018Option-implied objective measures of market risk. (2018). Leiss, Matthias ; Nax, Heinrich H. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:241-249.

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2018Self-selection and treatment effects: Revisiting the effectiveness of foreign exchange intervention. (2018). Pontines, Victor. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:57:y:2018:i:c:p:299-316.

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2018The meta-Phillips Curve: Modelling U.S. inflation in the presence of regime change. (2018). Aristidou, Chrystalleni . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:57:y:2018:i:c:p:367-379.

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2018State-controlled companies and political risk: Evidence from the 2014 Brazilian election. (2018). guimaraes, bernardo ; Carvalho, Augusto. In: Journal of Public Economics. RePEc:eee:pubeco:v:159:y:2018:i:c:p:66-78.

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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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2019Foreign exchange interventions in Brazil and their impact on volatility: A quantile regression approach. (2019). Viola, Alessandra Pasqualina ; da Silveira, Claudio Henrique ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:251-263.

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2017Determination of China’s foreign exchange intervention: evidence from the Yuan/Dollar market. (2017). Zhang, Zhuang ; Yu, Zhixiang ; Li, HE. In: Studies in Economics and Finance. RePEc:eme:sefpps:sef-10-2015-0249.

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2018An Improvement of Gain-Loss Price Bounds on Options Based on Binomial Tree and Market-Implied Risk-Neutral Distribution. (2018). Jiang, Shi-Jie ; Chung, Cheng-Huang ; Lei, Mujun. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:6:p:1942-:d:151688.

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2019.

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2018The pricing kernel puzzle: survey and outlook. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9.

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2019Option Implied Risk-Neutral Density Estimation: A Robust and Flexible Method. (2019). Tomar, Nutan Kumar ; Kumar, Sumit ; Kundu, Arindam. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9846-1.

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2017Symmetry, proportionality and productivity bias hypothesis: evidence from panel-VAR models. (2017). Irandoust, Manuchehr. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:50:y:2017:i:1:d:10.1007_s10644-016-9185-y.

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2017Retrieving risk neutral moments and expected quadratic variation from option prices. (2017). Tzavalis, Elias ; Rompolis, Leonidas. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:4:d:10.1007_s11156-016-0575-z.

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2019Мета-аналіз: ефект fx-інтервенцій на валютний курс. (2019). Артем Огарков, ; Дмитро Круковець, ; Денис Клиновський, ; Соломія Бричка, . In: Suchasni ekonomichni doslidzhennja. RePEc:kse:chasop:v:2:y:2019:i:1:p:24-47.

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2019Meta-Analysis: Meta-Analysis: Effect of FX interventions on the exchange rate. (2019). Oharkov, Artem ; Krukovets, Dmytro ; Klynovskyi, Denys ; Brychka, Solomiia. In: Modern Economic Studies. RePEc:kse:modern:v:2:y:2019:i:1:p:24-44.

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2018A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures. (2018). Li, Yuyi ; Jawadi, Fredj ; Bu, Ruijun. In: Working Papers. RePEc:liv:livedp:20183.

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2017Measuring and Mitigating Leakage Risk. (2017). Fowlie, Meredith ; Reguant, Mar. In: 2017 Meeting Papers. RePEc:red:sed017:383.

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2017Open market operations and associated movements of the federal funds rate during the week prior to target changes. (2017). Nishiyama, Yasuo . In: Journal of Economics and Finance. RePEc:spr:jecfin:v:41:y:2017:i:4:d:10.1007_s12197-016-9380-8.

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2018Sustainable Development and Currency Exchange Rate Behavior. (2018). Ariff, Mohamed ; Zarei, Alireza. In: Asian Economic Papers. RePEc:tpr:asiaec:v:17:y:2018:i:3:p:148-173.

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2017SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION. (2017). Härdle, Wolfgang ; Krymova, Ekaterina ; Hardle, Wolfgang Karl ; Belomestny, Denis. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s0219024917500418.

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2019The Long-term Rate and Interest Rate Volatility in Monetary Policy Transmission. (2019). Chen, Zhengyang. In: EconStor Preprints. RePEc:zbw:esprep:204579.

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Works by Will Melick:


YearTitleTypeCited
2006The evolving inflation process: an overview In: BIS Working Papers.
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paper22
1996Estimation of speculative attack models: Mexico yet again In: BIS Working Papers.
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paper1
1999Perceived central bank intervention and market expectations: an empirical study of the yen/dollar exchange rate, 1993 - 96 In: BIS Working Papers.
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paper21
2006Global Capital Markets: Integration, Crisis, and Growth – by Maurice Obstfeld and Alan M. Taylor In: Review of International Economics.
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article0
1997Recovering an Assets Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis In: Journal of Financial and Quantitative Analysis.
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article121
1997Currency forecasting : by Michael R. Rosenberg, (Irwin, Professional Publishing, Burr Ridge IL, 1996, ISBN 1-55738-918-7, p. 388 In: International Journal of Forecasting.
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article0
1997Understanding the empirical literature on purchasing power parity: the post-Bretton Woods era In: Journal of International Money and Finance.
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article96
1994Understanding the empirical literature on purchasing power parity: the post-Bretton Woods era.(1994) In: International Finance Discussion Papers.
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paper
2005Foreign exchange market intervention and expectations: The yen/dollar exchange rate In: Journal of International Money and Finance.
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article45
2003Foreign exchange and the liquidity trap In: Economic Commentary.
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article0
2003An option for anticipating Fed action In: Economic Commentary.
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article4
2006FOMC communications and the predictability of near-term policy decisions In: Economic Commentary.
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article14
2005Recovering market expectations of FOMC rate changes with options on federal funds futures In: Working Papers (Old Series).
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paper13
2005Recovering market expectations of FOMC rate changes with options on federal funds futures.(2005) In: Journal of Futures Markets.
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article
2006Option prices, exchange market intervention, and the higher moment expectations channel: a user’s guide In: Working Papers (Old Series).
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paper11
2007Option prices, exchange market intervention, and the higher moment expectations channel: a users guide.(2007) In: International Journal of Finance & Economics.
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article
2014The Energy Boom and Manufacturing in the United States In: International Finance Discussion Papers.
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paper1
1990Estimating pass-through: structure and stability In: International Finance Discussion Papers.
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paper5
1992Purchasing power parity and uncovered interest rate parity: the United States 1974-1990 In: International Finance Discussion Papers.
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paper0
1992War and peace: recovering the markets probability distribution of crude oil futures prices during the Gulf crisis In: International Finance Discussion Papers.
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paper2
1995Alternative approaches to real exchange rates and real interest rates: three up and three down In: International Finance Discussion Papers.
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paper51
1999Alternative Approaches to Real Exchange Rates and Real Interest Rates: Three Up and Three Down..(1999) In: International Journal of Finance & Economics.
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1996Using options prices to infer PDFS for asset prices: an application to oil prices during the Gulf crisis In: International Finance Discussion Papers.
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paper7
2013The Energy Boom and Manufacturing in the United States In: IFDP Notes.
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1988U.S. international transactions in 1987 In: Federal Reserve Bulletin.
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2010Ohio Employment and International Economic Policy In: Working Papers.
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2011Employment Effects of Reducing Capital Gains Tax Rates in Ohio In: Working Papers.
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