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Centre for Economic Policy Research (CEPR)
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Aggregate stock market volatility, volatility risk-premiums, volatility of volatility, business cycle, no-arbitrage restrictions, simulation-based inference
Credit Default Swap Volatility, Credit Variance Swaps, Model-Free Pricing, VIX Index, Basis Point Variance, Quadratic Contracts
Credit Default Swap Volatility; Credit Variance Swaps; Model-Free Pricing; Basis Point Variance; Fixed Income VIX
Asset markets with Knightian uncertainty, asymmetric information, value of parameter uncertainty, information complementarities, multiple equilibria
Interest Rate Volatility, Interest Rate Variance Swaps, Model-Free Pricing, VIX Index, Basis Point Variance, Basis Point Yield Volatility, Quadratic Contracts
Interest Rate Volatility, Interest Rate Variance Swaps, Model-Free Pricing, VIX Index, SRVX Index, Basis Point Variance, Variance Risk-Premiums
market microstructure, information linkages
government debt; default; fiscal tipping points; austerity; deficit cycles, volatility paradox.
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correlation premium, premium for correlation risk, cross-section of returns, big stocks, arbitrage pricing, string models, implied correlation.
arbitrage pricing, correlation premium, correlation-risk premium, cross-section of returns, implied correlation, string models
Asset pricing, stochastic volatility, the term-structure of interest rates, closed-form
Stochastic volatility, Arch filtering, indirect inference
Insider trading; post-trade transparency; ex ante corporate disclosure; information crowding-out.
closed-form expansion, jump-diffusion, option pricing, transition density, semi-group
fixed income volatility, government bond variance swaps, information content of government bond volatility, Treasury markets