Antonio Mele : Citation Profile

Are you Antonio Mele?

Swiss Finance Institute

13

H index

15

i10 index

586

Citations

RESEARCH PRODUCTION:

17

Articles

35

Papers

RESEARCH ACTIVITY:

   29 years (1994 - 2023). See details.
   Cites by year: 20
   Journals where Antonio Mele has often published
   Relations with other researchers
   Recent citing documents: 55.    Total self citations: 24 (3.93 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pme239
   Updated: 2024-12-03    RAS profile: 2024-06-07    
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Relations with other researchers

Works with:

Vilkov, Grigory (2)

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 (10)

Yoldas, Emre (8)

Danielsson, Jon (8)

Tallon, Jean-Marc (8)

Chauvet, Marcelle (8)

Senyuz, Zeynep (8)

Mukerji, Sujoy (7)

Conrad, Christian (7)

Kristensen, Dennis (7)

Verona, Fabio (6)

Berardi, Michele (6)

Cites to:

Bollerslev, Tim (17)

Fornari, Fabio (16)

Engle, Robert (14)

Renault, Eric (12)

Campbell, John (12)

Ait-Sahalia, Yacine (12)

Ghysels, Eric (9)

Schwert, G. (9)

Chernov, Mikhail (8)

Cochrane, John (8)

Tauchen, George (7)

Main data

Where Antonio Mele has published?

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

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
CEPR Discussion Papers / C.E.P.R. Discussion Papers2
Computing in Economics and Finance 1999 / Society for Computational Economics2

Recent works citing Antonio Mele (2024 and 2023)

YearTitle of citing document
2023Stock Price Predictability and the Business Cycle via Machine Learning. (2023). Fan, Xiuyi ; Fu, Hsuan ; Wang, Lirong. In: Papers. RePEc:arx:papers:2304.09937.

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2023Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: BIS Working Papers. RePEc:bis:biswps:1068.

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

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2023Estimation of heuristic switching in behavioral macroeconomic models. (2023). Sacht, Stephen ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002883.

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2023Nonparametric tests for market timing ability using daily mutual fund returns. (2023). Peng, Liang ; Liu, Xiaohui ; Jiang, Lei ; Ding, Jing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:150:y:2023:i:c:s0165188923000416.

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2023Information linkages in a financial market with imperfect competition. (2023). Yang, Yaqing ; Lou, Youcheng. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:150:y:2023:i:c:s0165188923000490.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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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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2023Out-of-sample equity premium prediction: The role of option-implied constraints. (2023). Zhou, TI ; Wang, Yunqi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:199-226.

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2023Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables. (2023). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:91-122.

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2023Cross-sectional uncertainty and expected stock returns. (2023). Huang, Difang ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:321-340.

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2023The calming effects of conflict: The impact of partisan conflict on market volatility. (2023). Fan, Zaifeng S ; Beyer, Deborah B. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004124.

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2023Forecasting European stock volatility: The role of the UK. (2023). Gu, Chen ; Gao, Xiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002442.

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2023Return-volatility relationships in cryptocurrency markets: Evidence from asymmetric quantiles and non-linear ARDL approach. (2023). Yarovaya, Larisa ; Ali, Md Hakim ; Karim, Muhammad Mahmudul ; Hammoudeh, Shawkat ; Uddin, Md Hamid. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004106.

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2024Social 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.

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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). 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.

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2023The information content of sentiment indices in forecasting Value at Risk and Expected Shortfall: a Complete Realized Exponential GARCH-X approach. (2023). Naimoli, Antonio. In: International Economics. RePEc:eee:inteco:v:176:y:2023:i:c:s2110701723000719.

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2023International stock volatility predictability: New evidence from uncertainties. (2023). Wu, Lan ; Wang, Tianyang ; Ma, Feng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000495.

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2023Time-varying variance and skewness in realized volatility measures. (2023). Lucas, Andre ; Opschoor, Anne. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:827-840.

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2023Heterogeneous awareness in financial markets. (2023). Severino, Federico ; Madotto, Matteo. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:216:y:2023:i:c:p:26-41.

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2023Public disclosure and private information acquisition: A global game approach. (2023). Dong, Feng ; Cai, Zhifeng. In: Journal of Economic Theory. RePEc:eee:jetheo:v:210:y:2023:i:c:s0022053123000662.

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2023Ambiguous price formation. (2023). He, Xue-Zhong ; Aliyev, Nihad. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:106:y:2023:i:c:s0304406823000356.

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2023Information network, public disclosure and asset prices. (2023). Zhou, Jing ; Zhao, Senyang ; Luo, Ronghua. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22001779.

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2023International stock return predictability: The role of U.S. uncertainty spillover. (2023). Yu, Jiasheng ; Liu, Hongkui ; Jiang, Fuwei ; Zhang, Huajing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002329.

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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 ; 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.

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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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2023Oil futures volatility prediction: Bagging or combination?. (2023). Zhang, Jixiang ; Ma, Feng ; Lyu, Zhichong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:457-467.

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2023The tail wagging the dog: How do meme stocks affect market efficiency?. (2023). Ouzan, Samuel ; Choi, Hyung-Eun ; Aloosh, Arash. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:68-78.

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2023Trading ambiguity: a tale of two heterogeneities. (2023). Tallon, Jean Marc ; Ozsoylev, Han N ; Mukerji, Sujoy. In: Post-Print. RePEc:hal:journl:halshs-03962563.

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2023Global Disaster Risk Matters. (2023). Zhu, Xiaoneng ; Zhang, Qunzi ; Yao, Jiaquan ; Chen, Jian. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:1:p:576-597.

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2023Belief Dispersion and Convex Cost of Adjustment in the Stock Market and in the Real Economy. (2023). Jouini, Elyes. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:7:p:4190-4209.

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2023The influence of the social networks of fund managers on the herding behavior of SIFs in China. (2023). Li, Bixiao ; Wang, Yuanfei. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-01675-1.

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2023TRADING AMBIGUITY: A TALE OF TWO HETEROGENEITIES. (2023). Tallon, Jeanmarc ; Ozsoylev, Han N ; Mukerji, Sujoy. In: International Economic Review. RePEc:wly:iecrev:v:64:y:2023:i:3:p:1127-1164.

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2024.

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2023Industry variance risk premium, cross?industry correlation, and expected returns. (2023). Xu, QI ; Luo, Xingguo ; Zhu, Yabei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:1:p:3-32.

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2023Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach. (2023). Yang, Xiao Guang ; Cui, Zhenyu ; Ding, Kailin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:217-241.

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2023Anger in predicting the index futures returns. (2023). Zhang, Qunzi ; Wei, Xinbei ; Shen, Jiancheng ; Cao, Zhen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:4:p:437-454.

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2023Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:4:p:455-479.

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2023Term spreads of implied volatility smirk and variance risk premium. (2023). Zhang, Jin E ; Gehricke, Sebastian A ; Ruan, Xinfeng ; Guo, Wei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:829-857.

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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]		paper21
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: 21		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]		paper15
2001Recovering 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: 15		article
2000Recovering 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: 15		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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This paper has nother version. Agregated cites: 0		paper
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]		article15
2007Asymmetric stock market volatility and the cyclical behavior of expected returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article131
2013Macroeconomic determinants of stock volatility and volatility premiums In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article68
2009Ambiguity, information acquisition and price swings in asset markets In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper20
2008Macroeconomic determinants of stock market returns, volatility and volatility risk-premia In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper1
2008Information linkages and correlated trading In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper56
2010Information Linkages and Correlated Trading.(2010) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 56		article
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.
[Full Text][Citation analysis]		paper0
2009Financial volatility and economic activity In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper31
2013Financial Volatility and Economic Activity.(2013) In: Journal of Financial Management, Markets and Institutions.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2002Fundamental 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
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..
[Citation analysis]
This paper has nother version. Agregated cites: 0		paper
1999ARCH Models and Option Pricing: the Continuous-Time Connection.(1999) In: Computing in Economics and Finance 1999.
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This paper has nother version. Agregated cites: 0		paper
1995Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets. In: Banca Italia - Servizio di Studi.
[Citation analysis]		paper60
1997Sign- 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: 60		article
2009Simulated Non-Parametric Estimation of Dynamic Models In: The Review of Economic Studies.
[Full Text][Citation analysis]		article22
2015Uncertainty, Information Acquisition, and Price Swings in Asset Markets In: The Review of Economic Studies.
[Full Text][Citation analysis]		article56
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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