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Mele, Antonio's
Scholarly Papers
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Aggregate Statistics |
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Downloads
1,869 |
Total
Citations
52 |
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1.
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Corradi, Valentina
University of Warwick - Department of Economics Distaso, Walter
Imperial College Business School Mele, Antonio
Swiss Finance Institute & University of Lugano
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344
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7
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Aggregate stock market volatility, volatility risk-premiums, volatility of volatility, business cycle, no-arbitrage restrictions, simulation-based inference
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2.
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Information Linkages and Correlated Trading
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Colla, Paolo
Bocconi University - Department of Finance Mele, Antonio
Swiss Finance Institute & University of Lugano
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Posted:
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12 Mar 07
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Last Revised:
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29 Jul 10
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280
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16
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Colla, Paolo
Bocconi University - Department of Finance Mele, Antonio
Swiss Finance Institute & University of Lugano
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Colla, Paolo
Bocconi University - Department of Finance Mele, Antonio
Swiss Finance Institute & University of Lugano
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280
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16
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market microstructure, information linkages
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3.
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Mele, Antonio
Swiss Finance Institute & University of Lugano
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218
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4
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4.
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Mele, Antonio
Swiss Finance Institute & University of Lugano Sangiorgi, Francesco
Stockholm School of Economics - Department of Finance
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06 May 09
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Last Revised:
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05 Mar 11
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205
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7
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ambiguity aversion, markets for information, strategic complementarities
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5.
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Fornari, Fabio
European Central Bank (ECB) Mele, Antonio
Swiss Finance Institute & University of Lugano
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167
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10
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6.
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Fornari, Fabio
European Central Bank (ECB) Mele, Antonio
Swiss Finance Institute & University of Lugano
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127
(113,921)
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Stochastic volatility, Arch filtering, indirect inference
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7.
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Mele, Antonio
Swiss Finance Institute & University of Lugano Obayashi, Yoshiki
Applied Academics LLC Shalen, Catherine
Chicago Board Options Exchange (CBOE)
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110
(127,596)
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Interest Rate Volatility, Interest Rate Variance Swaps, Model-Free Pricing, VIX Index, SRVX Index, Basis Point Variance, Variance Risk-Premiums
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8.
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Fornari, Fabio
European Central Bank (ECB) Mele, Antonio
Swiss Finance Institute & University of Lugano
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89
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1
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Stochastic volatility, Arch filtering, indirect inference
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9.
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Mele, Antonio
Swiss Finance Institute & University of Lugano
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88
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2
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10.
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Kristensen, Dennis
University of Aarhus - CREATES Mele, Antonio
Swiss Finance Institute & University of Lugano
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78
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5
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Asset pricing, stochastic volatility, the term-structure of interest rates, closed-form
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11.
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Mele, Antonio
Swiss Finance Institute & University of Lugano Obayashi, Yoshiki
Applied Academics LLC
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62
(184,060)
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Interest Rate Volatility, Interest Rate Variance Swaps, Model-Free Pricing, VIX Index, Basis Point Variance, Basis Point Yield Volatility, Quadratic Contracts
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12.
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Mele, Antonio
Swiss Finance Institute & University of Lugano Obayashi, Yoshiki
Applied Academics LLC
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48
(206,135)
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Credit Default Swap Volatility, Credit Variance Swaps, Model-Free Pricing, VIX Index, Basis Point Variance, Quadratic Contracts
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13.
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Mele, Antonio
Swiss Finance Institute & University of Lugano Obayashi, Yoshiki
Applied Academics LLC
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32
(240,268)
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Interest Rate Volatility, Interest Rate Variance Swaps, Model-Free Pricing, VIX Index, Basis Point Variance, Basis Point Yield Volatility, Quadratic Contracts
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14.
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Mele, Antonio
Swiss Finance Institute & University of Lugano Obayashi, Yoshiki
Applied Academics LLC
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21
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Interest Rate Volatility, Interest Rate Variance Swaps, Model-Free Pricing, VIX Index, Basis Point Variance, Basis Point Yield Volatility, Quadratic Contracts
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