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

SCHOLARLY PAPERS

17

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SSRN CITATIONS
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in Total Papers Citations

41

CROSSREF CITATIONS

49

Scholarly Papers (17)

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

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 823 (34,133)
Citation 21

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
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

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

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

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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 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

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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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)

Abstract:

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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