Antonio Mele

University of Lugano

Via Giuseppe Buffi 13

Lugano, Ticino 6900

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

Centre for Economic Policy Research (CEPR)

London

United Kingdom

SCHOLARLY PAPERS

14

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3,911

CITATIONS
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Top 8,397

in Total Papers Citations

54

Scholarly Papers (14)

1.

Financial Volatility and Economic Activity

Number of pages: 54 Posted: 07 Nov 2009
Fabio Fornari and Antonio Mele
European Central Bank (ECB) and University of Lugano
Downloads 857 (25,227)
Citation 10

Abstract:

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2.

Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums

Swiss Finance Institute Research Paper No. 12-18
Number of pages: 70 Posted: 14 Feb 2012
Valentina Corradi, Walter Distaso and Antonio Mele
University of Warwick - Department of Economics, Imperial College Business School and University of Lugano
Downloads 715 (32,564)
Citation 9

Abstract:

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Aggregate stock market volatility, volatility risk-premiums, volatility of volatility, business cycle, no-arbitrage restrictions, simulation-based inference

3.

Uncertainty, Information Acquisition and Price Swings in Asset Markets

Review of Economic Studies (2015) 82 (4): 1533-1567
Number of pages: 85 Posted: 06 May 2009 Last Revised: 01 Feb 2018
Antonio Mele and Francesco Sangiorgi
University of Lugano and Frankfurt School of Finance & Management gemeinn├╝tzige GmbH
Downloads 384 (71,608)
Citation 7

Abstract:

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Asset markets with Knightian uncertainty, asymmetric information, value of parameter uncertainty, information complementarities, multiple equilibria

4.

The Price of Government Bond Volatility

Swiss Finance Institute Research Paper No. 13-27
Number of pages: 39 Posted: 26 Apr 2013
Antonio Mele and Yoshiki Obayashi
University of Lugano and Applied Academics LLC
Downloads 305 (93,227)
Citation 1

Abstract:

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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

5.
Downloads 305 ( 93,227)
Citation 14

Information Linkages and Correlated Trading

AFA 2008 New Orleans Meetings Paper
Number of pages: 53 Posted: 12 Mar 2007
Paolo Colla and Antonio Mele
Bocconi University - Department of Finance and University of Lugano
Downloads 305 (92,701)
Citation 14

Abstract:

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market microstructure, information linkages

Information Linkages and Correlated Trading

The Review of Financial Studies, Vol. 23, Issue 1, pp. 203-246, 2009
Posted: 25 Jan 2010
Paolo Colla and Antonio Mele
Bocconi University - Department of Finance and University of Lugano

Abstract:

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6.

Dynamics of Interest Rate Swap and Equity Volatilities

Swiss Finance Institute Research Paper No. 13-23
Number of pages: 16 Posted: 26 Apr 2013
University of Lugano, Applied Academics LLC and Chicago Board Options Exchange (CBOE)
Downloads 277 (103,329)

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Interest Rate Volatility, Interest Rate Variance Swaps, Model-Free Pricing, VIX Index, SRVX Index, Basis Point Variance, Variance Risk-Premiums

7.

Fundamental Properties of Bond Prices in Models of the Short-Term Rate

AFA 2002 Atlanta Meetings, U of London Queen Mary Economics Working Paper No. 460
Number of pages: 62 Posted: 13 Oct 2001
Antonio Mele
University of Lugano
Downloads 228 (126,312)
Citation 3

Abstract:

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8.

Credit Variance Swaps and Volatility Indexes

Swiss Finance Institute Research Paper No. 13-24
Number of pages: 31 Posted: 26 Apr 2013
Antonio Mele and Yoshiki Obayashi
University of Lugano and Applied Academics LLC
Downloads 180 (157,598)

Abstract:

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Credit Default Swap Volatility, Credit Variance Swaps, Model-Free Pricing, VIX Index, Basis Point Variance, Quadratic Contracts

9.

Continuous Time Garch-Based Modeling and Filtering: Evidence from a Short-Term Rate Process

Number of pages: 47 Posted: 12 Feb 2002
Fabio Fornari and Antonio Mele
European Central Bank (ECB) and University of Lugano
Downloads 136 (199,662)

Abstract:

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Stochastic volatility, Arch filtering, indirect inference

10.

Volatility Indexes and Contracts for Eurodollar and Related Deposits

Swiss Finance Institute Research Paper No. 13-25
Number of pages: 30 Posted: 26 Apr 2013
Antonio Mele and Yoshiki Obayashi
University of Lugano and Applied Academics LLC
Downloads 127 (210,785)
Citation 1

Abstract:

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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

11.

Volatility Indexes and Contracts for Government Bonds and Time Deposits

Swiss Finance Institute Research Paper No. 13-26
Number of pages: 51 Posted: 26 Apr 2013
Antonio Mele and Yoshiki Obayashi
University of Lugano and Applied Academics LLC
Downloads 106 (240,653)
Citation 1

Abstract:

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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

12.

Approximating Volatility Diffusions with Cev-Arch Models

Number of pages: 41 Posted: 29 Jan 2004
Fabio Fornari and Antonio Mele
European Central Bank (ECB) and University of Lugano
Downloads 101 (248,859)
Citation 2

Abstract:

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Stochastic volatility, Arch filtering, indirect inference

13.

Rational Stock-Market Fluctuations

AFA 2005 Philadelphia Meetings
Number of pages: 43 Posted: 02 Jan 2005
Antonio Mele
University of Lugano
Downloads 96 (257,382)
Citation 2

Abstract:

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14.

Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models

CREATES Research Paper 2009-14
Number of pages: 35 Posted: 07 Apr 2009
Dennis Kristensen and Antonio Mele
University College London and University of Lugano
Downloads 94 (260,892)
Citation 4

Abstract:

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Asset pricing, stochastic volatility, the term-structure of interest rates, closed-form