12
H index
13
i10 index
812
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 |
| Canadian Journal of Economics | 2 |
| The Review of Economic Studies | 2 |
| Journal of Labor Economics | 2 |
| Journal of Monetary Economics | 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 (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Data-Driven Risk Measurement by SV-GARCH-EVT Model. (2024). , Shibo. In: Papers. RePEc:arx:papers:2201.09434. Full description at Econpapers || Download paper |
| 2025 | From constant to rough: A survey of continuous volatility modeling. (2023). Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2309.01033. Full description at Econpapers || Download paper |
| 2025 | Finite-Sample Properties of Generalized Ridge Estimators for Nonlinear Models. (2025). Iwasawa, Masamune. In: Papers. RePEc:arx:papers:2504.19018. Full description at Econpapers || Download paper |
| 2025 | Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models. (2025). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2546. Full description at Econpapers || Download paper |
| 2025 | Disaggregation Reverses the Risk-Free Rate Puzzle. (2025). Wilson, Matthew S. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2025:v:26:i:2:wilson. Full description at Econpapers || Download paper |
| 2025 | Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model. (2025). Renne, Jean-Paul ; Lemke, Wolfgang ; Bletzinger, Tilman. In: Working Paper Series. RePEc:ecb:ecbwps:20253012. Full description at Econpapers || Download paper |
| 2024 | On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching?. (2024). Sola, Martin ; Kenc, Turalay ; Caravello, Tomas E ; Driffill, John. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924001118. Full description at Econpapers || Download paper |
| 2024 | Profiling the plight of disconnected youth in America. (2024). MacUrdy, Thomas ; Nagavarapu, Sriniketh ; Sherpa, Sonam ; Glick, David. 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). Ait-Sahalia, Yacine ; Xu, Chen. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407620303389. Full description at Econpapers || Download paper |
| 2024 | Reprint of: Profiling the plight of disconnected youth in America. (2024). MacUrdy, Thomas ; Nagavarapu, Sriniketh ; Sherpa, Sonam ; Glick, David. In: Journal of Econometrics. RePEc:eee:econom:v:243:y:2024:i:1:s0304407624001659. Full description at Econpapers || Download paper |
| 2025 | Identifying the volatility risk price through the leverage effect. (2025). Renault, Eric ; Sangrey, Paul ; Cheng, XU. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400294x. Full description at Econpapers || Download paper |
| 2024 | Integrated nested Laplace approximations for threshold stochastic volatility models. (2024). Veiga, Helena ; de Zea, P ; Marin, Miguel J ; Rue, Hvard. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:15-35. Full description at Econpapers || Download paper |
| 2025 | Comprehensive analysis of the crypto-assets market through multivariate analysis, clustering, and wavelet decomposition. (2025). Sosa, Andrs ; Moreno, Leonardo ; Brida, Juan Gabriel ; Lvarez, Emiliano. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:660:y:2025:i:c:s0378437124008409. Full description at Econpapers || Download paper |
| 2025 | Preference for consumption predictability and the equity premium puzzle. (2025). Vázquez, Jesús ; Cassou, Steven P ; Vzquez, Jess. In: International Review of Economics & Finance. RePEc:eee:reveco:v:103:y:2025:i:c:s1059056025005441. Full description at Econpapers || Download paper |
| 2024 | The logGARCH stochastic volatility model. (2024). Hamrat, Malika ; Guerbyenne, Hafida ; Hamdi, Fayal. In: Statistics & Probability Letters. RePEc:eee:stapro:v:214:y:2024:i:c:s0167715224001548. Full description at Econpapers || Download paper |
| 2024 | Option Pricing with the Logistic Return Distribution. (2024). Levy, Moshe. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:2:p:67-:d:1337024. Full description at Econpapers || Download paper |
| 2025 | Estimating Policy Impact in a Difference-in-Differences Hazard Model: A Simulation Study. (2025). Hsieh, David A. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:10:p:200-:d:1769838. Full description at Econpapers || Download paper |
| 2024 | Approximate Bayesian Estimation of Stochastic Volatility in Mean Models Using Hidden Markov Models: Empirical Evidence from Emerging and Developed Markets. (2024). Rodríguez, Gabriel ; Rodrguez, Gabriel ; Abanto-Valle, Carlos A ; Garrafa-Aragn, Hernn B ; Castro, Luis M. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:3:d:10.1007_s10614-023-10490-4. Full description at Econpapers || Download paper |
| 2025 | Recombinant Innovation, Novel Ideas, and the Start of Nobel Prize-Winning Work. (2025). Quistorff, Brian ; Ham, John ; Weinberg, Bruce A. In: NBER Working Papers. RePEc:nbr:nberwo:33579. Full description at Econpapers || Download paper |
| 2024 | Identifying the Volatility Risk Price Through the Leverage Effect. (2024). Cheng, XU ; Sangrey, Paul ; Renault, Eric. In: PIER Working Paper Archive. RePEc:pen:papers:24-013. Full description at Econpapers || Download paper |
| 2024 | Iterative QML estimation for asymmetric stochastic volatility models. (2024). Chirico, Paolo. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:33:y:2024:i:3:d:10.1007_s10260-024-00747-z. Full description at Econpapers || Download paper |
| 2025 | Estimation and specification test for diffusion models with stochastic volatility. (2025). Gonzlez-Manteiga, W ; Febrero-Bande, M ; Lpez-Prez, A. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-024-01652-z. Full description at Econpapers || Download paper |
Angelo Melino has edited the books:
| Year | Title | Type | Cited |
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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 |
| 2008 | High Frequency Export and Price Responses in the Ontario Electricity Market.(2008) In: The Energy Journal. [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 | 71 |
| 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: 71 | 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 | 329 |
| 2000 | Duration dependence and nonparametric heterogeneity: A Monte Carlo study In: Journal of Econometrics. [Full Text][Citation analysis] | article | 146 |
| 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: 146 | 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 | 13 |
| 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 | 52 |
| 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: 52 | 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 | 34 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team