12
H index
13
i10 index
788
Citations
Angelo Melino : Citation Profile
University of Toronto (95% share) | RESEARCH PRODUCTION: 23 Articles 10 Papers EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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33 years (1978 - 2011). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Angelo Melino. | Is cited by:
| Cites to:
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Main data
Where Angelo Melino has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 3 |
| Journal of Monetary Economics | 2 |
| Canadian Journal of Economics | 2 |
| Journal of Labor Economics | 2 |
| The Review of Economic Studies | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| NBER Working Papers / National Bureau of Economic Research, Inc | 5 |
Recent works citing Angelo Melino (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434. Full description at Econpapers || Download paper |
| 2023 | Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061. Full description at Econpapers || Download paper |
| 2023 | From constant to rough: A survey of continuous volatility modeling. (2023). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2309.01033. Full description at Econpapers || Download paper |
| 2023 | Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303. Full description at Econpapers || Download paper |
| 2023 | Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309. Full description at Econpapers || Download paper |
| 2023 | An event study analysis of the effects of collective bargaining legislation on strike outcomes. (2023). Campolieti, Michele. In: LABOUR. RePEc:bla:labour:v:37:y:2023:i:2:p:242-279. Full description at Econpapers || Download paper |
| 2023 | A GMM approach to estimate the roughness of stochastic volatility. (2023). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:745-778. Full description at Econpapers || Download paper |
| 2024 | Profiling the plight of disconnected youth in America. (2024). Sherpa, Sonam ; Glick, David ; MacUrdy, Thomas ; Nagavarapu, Sriniketh. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002737. Full description at Econpapers || Download paper |
| 2024 | Maximum likelihood estimation of latent Markov models using closed-form approximations. (2024). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407620303389. Full description at Econpapers || Download paper |
| 2024 | Integrated nested Laplace approximations for threshold stochastic volatility models. (2024). Rue, Hvard ; Marin, Miguel J ; de Zea, P ; Veiga, Helena. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:15-35. Full description at Econpapers || Download paper |
| 2023 | Pricing of European currency options considering the dynamic information costs. (2023). de Peretti, Christian ; ben Hamad, Salah ; Dammak, Wael ; Eleuch, Hichem. In: Global Finance Journal. RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323000923. Full description at Econpapers || Download paper |
| 2023 | Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [. (2003). Lebaron, Blake. In: International Journal of Forecasting. RePEc:eee:intfor:v:19:y:2003:i:4:p:751-752. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2024 | Identifying the Volatility Risk Price Through the Leverage Effect. (2024). Sangrey, Paul ; Renault, Eric ; Cheng, XU. In: PIER Working Paper Archive. RePEc:pen:papers:24-013. Full description at Econpapers || Download paper |
| 2023 | Machine Learning Applications to Valuation of Options on Non-liquid Markets. (2023). Fiura, Milan ; Witzany, Jii. In: FFA Working Papers. RePEc:prg:jnlwps:v:5:y:2023:id:5.001. Full description at Econpapers || Download paper |
| 2023 | Long memory and regime switching in the stochastic volatility modelling. (2023). Shi, Yanlin. In: Annals of Operations Research. RePEc:spr:annopr:v:320:y:2023:i:2:d:10.1007_s10479-020-03841-z. Full description at Econpapers || Download paper |
| 2023 | Bayesian nonlinear expectation for time series modelling and its application to Bitcoin. (2023). Siu, Tak Kuen. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02255-z. Full description at Econpapers || Download paper |
| 2023 | Asset pricing with dynamically inconsistent agents. (2023). Khapko, Mariana. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:4:d:10.1007_s00780-023-00516-y. Full description at Econpapers || Download paper |
| 2023 | COSTLY INFORMATION AND SOVEREIGN RISK. (2023). Stangebye, Zachary R ; Gu, Grace Weishi. In: International Economic Review. RePEc:wly:iecrev:v:64:y:2023:i:4:p:1397-1429. Full description at Econpapers || Download paper |
Angelo Melino has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Angelo Melino:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2008 | High Frequency Export and Price Responses in the Ontario Electricity Market In: The Energy Journal. [Full Text][Citation analysis] | article | 1 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | ||
| 1987 | Estimating the Continuous-Time Consumption-Based Asset-Pricing Model. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 69 |
| 1985 | Estimating the Continuous Time Consumption Based Asset Pricing Model.(1985) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 69 | paper | |
| 1988 | The Term Structure of Interest Rates: Evidence and Theory. In: Journal of Economic Surveys. [Citation analysis] | article | 35 |
| 1986 | The Term Structure of Interest Rates: Evidence and Theory.(1986) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | |
| 2011 | Moving Monetary Policy Forward: Why Small Steps - and a Lower Inflation Target - Make Sense for the Bank of Canada In: C.D. Howe Institute Commentary. [Full Text][Citation analysis] | article | 12 |
| 2010 | Greater Transparency Needed In: e-briefs. [Full Text][Citation analysis] | paper | 10 |
| 1991 | The Pricing of Foreign Currency Options. In: Canadian Journal of Economics. [Full Text][Citation analysis] | article | 19 |
| 2010 | Measuring the cost of economic fluctuations with preferences that rationalize the equity premium In: Canadian Journal of Economics. [Full Text][Citation analysis] | article | 6 |
| 2006 | Measuring the Cost of Economic Fluctuations with Preferences that Rationalize the Equity Premium.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2010 | Measuring the cost of economic fluctuations with preferences that rationalize the equity premium.(2010) In: Canadian Journal of Economics/Revue canadienne d'économique. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 1978 | A Note on the Interpretation of Regression Coefficients within a Class of Truncated Distributions. In: Econometrica. [Full Text][Citation analysis] | article | 7 |
| 1990 | A simple approach to the identifiability of the proportional hazards model In: Economics Letters. [Full Text][Citation analysis] | article | 15 |
| 1990 | Editors introduction In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 1990 | Pricing foreign currency options with stochastic volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 317 |
| 2000 | Duration dependence and nonparametric heterogeneity: A Monte Carlo study In: Journal of Econometrics. [Full Text][Citation analysis] | article | 143 |
| 1999 | Duration Dependence and Nonparametric Heterogeneity: A Monte Carlo Study.(1999) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 143 | paper | |
| 2001 | Estimation of a rational expectations model of the term structure In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 5 |
| 2007 | Export Demand Response in the Ontario Electricity Market In: The Electricity Journal. [Full Text][Citation analysis] | article | 0 |
| 1995 | Misspecification and the pricing and hedging of long-term foreign currency options In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 12 |
| 1986 | The cyclical behavior of prices and quantities: The case of the automobile market In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 18 |
| 1987 | The response of interest rates to the Federal Reserves weekly money announcements : The puzzle of anticipated money In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 8 |
| 1987 | The Response of Interest Rates to the Federal Reserves Weekly Money Announcements: The Puzzle of Anticipated Money.(1987) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 1984 | Cyclical Behavior of Prices and Quantities in the Automobile Market In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 1993 | A Revealed Preference Analysis of Asset Pricing Under Recursive Utility In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 1995 | A Revealed Preference Analysis of Asset Pricing Under Recursive Utility.(1995) In: The Review of Economic Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 1982 | Testing for Sample Selection Bias In: The Review of Economic Studies. [Full Text][Citation analysis] | article | 17 |
| 2003 | State Dependent Preferences Can Explain the Equity Premium Puzzle In: Review of Economic Dynamics. [Full Text][Citation analysis] | article | 48 |
| 2003 | State Dependent Preferences Can Explain the Equity Premium Puzzle.(2003) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 48 | paper | |
| 2010 | Canadian Monetary Policy: Lessons from the Crisis In: Professional Reports. [Full Text][Citation analysis] | paper | 0 |
| 1987 | Estimating Strike Effects in a General Model of Prices and Quantities. In: Journal of Labor Economics. [Full Text][Citation analysis] | article | 5 |
| 1990 | The Effects of Public Policy on Strike Duration. In: Journal of Labor Economics. [Full Text][Citation analysis] | article | 32 |
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