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

16

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Top 12,291

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32

CROSSREF CITATIONS

46

Scholarly Papers (16)

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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 964 (23,810)
Citation 18

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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 778 (32,196)
Citation 20

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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 gemeinnützige GmbH
Downloads 399 (75,967)
Citation 18

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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 327 (95,324)
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 321 ( 97,292)

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 321 (96,707)
Citation 12

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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 286 (110,338)

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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 (139,202)
Citation 2

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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 190 (165,243)
Citation 2

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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 137 (218,437)

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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 136 (219,668)
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

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 111 (255,797)
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 102 (271,268)
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 99 (276,826)
Citation 8

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

14.

Rational Stock-Market Fluctuations

AFA 2005 Philadelphia Meetings
Number of pages: 43 Posted: 02 Jan 2005
Antonio Mele
University of Lugano
Downloads 99 (276,826)
Citation 2

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15.

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.

The Term Structure of Government Debt Uncertainty

CEPR Discussion Paper No. DP13874
Number of pages: 55 Posted: 02 Aug 2019 Last Revised: 27 Jan 2020
Antonio Mele, Yoshiki Obayashi and Shihao Yang
University of Lugano, Applied Academics LLC and Harvard University, Department of Statistics, Students
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fixed income volatility, government bond variance swaps, information content of government bond volatility, Treasury markets