13
H index
15
i10 index
581
Citations
Swiss Finance Institute | 13 H index 15 i10 index 581 Citations RESEARCH PRODUCTION: 17 Articles 35 Papers RESEARCH ACTIVITY: 29 years (1994 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pme239 |
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: | Cites to: |
Journals with more than one article published | # docs |
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The Review of Economic Studies | 2 |
Journal of Financial Economics | 2 |
Economics Letters | 2 |
The Review of Financial Studies | 2 |
Applied Financial Economics | 2 |
Year | Title of citing document |
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2023 | Stock Price Predictability and the Business Cycle via Machine Learning. (2023). Fan, Xiuyi ; Fu, Hsuan ; Wang, Lirong. In: Papers. RePEc:arx:papers:2304.09937. Full description at Econpapers || Download paper |
2023 | Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: BIS Working Papers. RePEc:bis:biswps:1068. Full description at Econpapers || Download paper |
2024 | Pitfalls of Information Spillovers in Persuasion. (2024). Tenev, Anastas P ; Kerman, Toygar T. In: CERGE-EI Working Papers. RePEc:cer:papers:wp772. Full description at Econpapers || Download paper |
2023 | Estimation 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. Full description at Econpapers || Download paper |
2023 | Nonparametric 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. Full description at Econpapers || Download paper |
2023 | Information 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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2024 | Information 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. Full description at Econpapers || Download paper |
2023 | Out-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. Full description at Econpapers || Download paper |
2023 | Conditional 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. Full description at Econpapers || Download paper |
2023 | Cross-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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | Forecasting 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. Full description at Econpapers || Download paper |
2023 | Return-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. Full description at Econpapers || Download paper |
2024 | Social 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. Full description at Econpapers || Download paper |
2024 | Beyond 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. Full description at Econpapers || Download paper |
2024 | Trading 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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | International 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. Full description at Econpapers || Download paper |
2023 | Time-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. Full description at Econpapers || Download paper |
2023 | Heterogeneous 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. Full description at Econpapers || Download paper |
2023 | Public 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. Full description at Econpapers || Download paper |
2023 | Ambiguous price formation. (2023). He, Xue-Zhong ; Aliyev, Nihad. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:106:y:2023:i:c:s0304406823000356. Full description at Econpapers || Download paper |
2023 | Information 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. Full description at Econpapers || Download paper |
2023 | International 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. Full description at Econpapers || Download paper |
2024 | Dynamic 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. Full description at Econpapers || Download paper |
2024 | Information 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. Full description at Econpapers || Download paper |
2023 | Oil 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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | Risk Appetite and Endogenous Risk. (2010). Zigrand, Jean-Pierre ; Shin, Hyun Song ; Danielsson, Jon. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp647. Full description at Econpapers || Download paper |
2023 | Trading ambiguity: a tale of two heterogeneities. (2023). Tallon, Jean Marc ; Ozsoylev, Han N ; Mukerji, Sujoy. In: Post-Print. RePEc:hal:journl:halshs-03962563. Full description at Econpapers || Download paper |
2023 | Global 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. Full description at Econpapers || Download paper |
2023 | Belief 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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2024 | Trading and Information Diffusion in Over?the?Counter Markets. (2018). Kondor, Péter ; Babus, Ana. In: Econometrica. RePEc:wly:emetrp:v:86:y:2018:i:5:p:1727-1769. Full description at Econpapers || Download paper |
2023 | TRADING 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. Full description at Econpapers || Download paper |
2023 | Forecasting stock volatility in the presence of extreme shocks: Shortâ€Âterm and longâ€Âterm effects. (2020). Wang, LU ; Liu, Guoshan ; Ma, Feng. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:5:p:797-810. Full description at Econpapers || Download paper |
2023 | Pricing 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. Full description at Econpapers || Download paper |
2023 | Anger 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. Full description at Econpapers || Download paper |
2023 | Forecasting 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. Full description at Econpapers || Download paper |
2023 | Term 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2009 | Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 20 |
2011 | Adding 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: 20 | article | |
2023 | Closed-form approximations of moments and densities of continuous-time Markov models In: Papers. [Full Text][Citation analysis] | paper | 0 |
2001 | Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 15 |
2001 | Recovering 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 | |
2000 | Recovering 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 | |
2001 | A 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] | paper | 1 |
2012 | Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
2013 | Dynamics of Interest Rate Swap and Equity Volatilities In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2013 | Credit Variance Swaps and Volatility Indexes In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2013 | Volatility Indexes and Contracts for Eurodollar and Related Deposits In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2013 | Volatility Indexes and Contracts for Government Bonds and Time Deposits In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2013 | The Price of Government Bond Volatility In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
2020 | Trading Disclosure Requirements and Market Quality Tradeoffs In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2020 | Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2020 | Credit Volatility Indexes In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2021 | A Theory of Debt Accumulation and Deficit Cycles In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2019 | Correlation Risk, Strings and Asset Prices In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | The Term Structure of Government Debt Uncertainty In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | General Properties of Rational Stock-Market Fluctuations In: Econometric Society 2004 North American Summer Meetings. [Full Text][Citation analysis] | paper | 0 |
2004 | General properties of rational stock-market fluctuations.(2004) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2004 | General Properties of Rational Stock-Market Fluctuations.(2004) In: Economics Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2006 | Approximating volatility diffusions with CEV-ARCH models In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 10 |
1994 | A stochastic variance model for absolute returns In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
1996 | Modeling the changing asymmetry of conditional variances In: Economics Letters. [Full Text][Citation analysis] | article | 21 |
2015 | Rate fears gauges and the dynamics of fixed income and equity volatilities In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 15 |
2007 | Asymmetric stock market volatility and the cyclical behavior of expected returns In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 131 |
2013 | Macroeconomic determinants of stock volatility and volatility premiums In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 66 |
2009 | Ambiguity, information acquisition and price swings in asset markets In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 20 |
2008 | Macroeconomic determinants of stock market returns, volatility and volatility risk-premia In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 1 |
2008 | Information linkages and correlated trading In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 55 |
2010 | Information Linkages and Correlated Trading.(2010) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 55 | article | |
2005 | Simulated nonparametric estimation of dynamic models with applications to finance In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 2 |
2004 | Simulated nonparametric estimation of continuous time models of asset prices and returns In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 0 |
2009 | Financial volatility and economic activity In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 31 |
2013 | Financial 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 | |
2000 | An Equilibrium Model of the Term Structure with Stochastic Volatility In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 0 |
2000 | Fundamental Properties of Bond Prices in Models of the Short-Term Rate In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 6 |
2003 | Fundamental 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 | |
2002 | Fundamental 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 | |
1998 | ARCH Models and Option Pricing : The Continuous Time Connection In: THEMA Working Papers. [Citation analysis] | paper | 0 |
1998 | ARCH 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 | |
1999 | ARCH Models and Option Pricing: the Continuous-Time Connection.(1999) In: Computing in Economics and Finance 1999. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
1995 | Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets. In: Banca Italia - Servizio di Studi. [Citation analysis] | paper | 60 |
1997 | Sign- 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 | |
2009 | Simulated Non-Parametric Estimation of Dynamic Models In: The Review of Economic Studies. [Full Text][Citation analysis] | article | 22 |
2015 | Uncertainty, Information Acquisition, and Price Swings in Asset Markets In: The Review of Economic Studies. [Full Text][Citation analysis] | article | 55 |
2002 | Fundamental Properties of Bond Prices in Models of the Short-Term Rate In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
1999 | Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis In: Computing in Economics and Finance 1999. [Full Text][Citation analysis] | paper | 0 |
2001 | Volatility smiles and the information content of news In: Applied Financial Economics. [Full Text][Citation analysis] | article | 11 |
1997 | Asymmetries and non-linearities in economic activity In: Applied Financial Economics. [Full Text][Citation analysis] | article | 8 |
1997 | Weak convergence and distributional assumptions for a general class of nonliner arch models In: Econometric Reviews. [Full Text][Citation analysis] | article | 13 |
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