Antonio Mele

University of Lugano

Professor of Finance

Via Buffi 13

Lugano, 6900

Switzerland

http://antoniomele.org

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

  • University of Lugano

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

17

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SSRN CITATIONS
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41

CROSSREF CITATIONS

49

Scholarly Papers (17)

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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 985 (26,425)
Citation 19

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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 823 (34,133)
Citation 21

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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
Downloads 412 (82,843)
Citation 23

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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 337 (104,371)
Citation 7

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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.

Information Linkages and Correlated Trading

Downloads 328 (107,531)

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 328 (106,925)
Citation 18

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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

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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
Antonio Mele, Yoshiki Obayashi and Catherine Shalen
University of Lugano, Applied Academics LLC and Chicago Board Options Exchange (CBOE)
Downloads 294 (121,035)

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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.

Credit Variance Swaps and Volatility Indexes

Downloads 257 (139,241)

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 199 (177,714)
Citation 2

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

Credit Volatility Indexes

Swiss Finance Institute Research Paper No. 20-88
Number of pages: 65 Posted: 19 Oct 2020 Last Revised: 21 Oct 2020
Antonio Mele and Yoshiki Obayashi
University of Lugano and Applied Academics LLC
Downloads 58 (424,906)

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Credit Default Swap Volatility; Credit Variance Swaps; Model-Free Pricing; Basis Point Variance; Fixed Income VIX

8.

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

Number of pages: 62 Posted: 13 Oct 2001
Antonio Mele
University of Lugano
Downloads 233 (153,174)
Citation 3

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9.

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 143 (236,074)
Citation 4

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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

10.

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 138 (243,041)

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Stochastic volatility, Arch filtering, indirect inference

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 113 (282,130)
Citation 4

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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 104 (298,963)
Citation 1

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Stochastic volatility, Arch filtering, indirect inference

13.

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 103 (300,932)
Citation 8

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

14.

Rational Stock-Market Fluctuations

Number of pages: 43 Posted: 02 Jan 2005
Antonio Mele
University of Lugano
Downloads 100 (306,886)
Citation 2

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15.

Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices

Downloads 62 (405,073)

Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices

Swiss Finance Institute Research Paper No. 20-119
Number of pages: 55 Posted: 10 Sep 2020 Last Revised: 14 Jan 2021
Walter Distaso, Antonio Mele and Grigory Vilkov
Imperial College Business School, University of Lugano and Frankfurt School of Finance & Management
Downloads 62 (410,694)

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correlation premium, premium for correlation risk, cross-section of returns, big stocks, arbitrage pricing, string models, implied correlation.

Correlation Risk, Strings and Asset Prices

CEPR Discussion Paper No. DP13873
Number of pages: 48 Posted: 02 Aug 2019
Walter Distaso, Antonio Mele and Grigory Vilkov
Imperial College Business School, University of Lugano and Frankfurt School of Finance & Management
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arbitrage pricing, correlation premium, correlation-risk premium, cross-section of returns, implied correlation, string models

16.

Trading Disclosure Requirements and Market Quality Tradeoffs

Swiss Finance Institute Research Paper No. 20-118
Number of pages: 34 Posted: 12 Aug 2020 Last Revised: 22 Dec 2020
Antonio Mele and Francesco Sangiorgi
University of Lugano and Frankfurt School of Finance & Management
Downloads 33 (522,889)
Citation 1

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post-trade transparency, information crowding-out

17.

The Term Structure of Government Debt Uncertainty

CEPR Discussion Paper No. DP13874
Number of pages: 64 Posted: 02 Aug 2019 Last Revised: 06 May 2020
Antonio Mele, Yoshiki Obayashi and Shihao Yang
University of Lugano, Applied Academics LLC and Harvard University, Department of Statistics, Students
Downloads 0 (762,754)
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fixed income volatility, government bond variance swaps, information content of government bond volatility, Treasury markets