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

18

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4,965

SSRN CITATIONS
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Top 11,881

in Total Papers Citations

52

CROSSREF CITATIONS

49

Scholarly Papers (18)

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 1,008 (31,834)
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 893 (37,802)
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 432 (95,385)
Citation 28

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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 364 (116,011)
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 354 (118,865)
Citation 23

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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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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 232 (183,777)
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 89 (393,703)

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

7.

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 302 (141,704)

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

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 239 (179,116)
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 158 (259,161)
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 143 (280,680)

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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 120 (320,321)
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

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 118 (325,753)

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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

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
University College London and University of Lugano
Downloads 114 (332,039)
Citation 9

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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 108 (344,643)
Citation 2

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15.

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 107 (346,773)
Citation 1

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Stochastic volatility, Arch filtering, indirect inference

A Theory of Debt Accumulation and Deficit Cycles

Swiss Finance Institute Research Paper No. 21-38
Number of pages: 80 Posted: 08 Jul 2021
Antonio Mele
University of Lugano
Downloads 104 (355,947)

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government debt; default; fiscal tipping points; austerity; deficit cycles, volatility paradox.

A Theory of Debt Accumulation and Deficit Cycles

CEPR Discussion Paper No. DP16329
Number of pages: 81 Posted: 14 Jul 2021
Antonio Mele
University of Lugano
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Insider Trading Regulation and Market Quality Tradeoffs

Swiss Finance Institute Research Paper No. 20-118
Number of pages: 39 Posted: 12 Aug 2020 Last Revised: 25 May 2021
Antonio Mele and Francesco Sangiorgi
University of Lugano and Frankfurt School of Finance & Management
Downloads 80 (420,010)
Citation 1

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Insider trading; post-trade transparency; ex ante corporate disclosure; information crowding-out.

Insider Trading Regulation and Market Quality Tradeoffs

CEPR Discussion Paper No. DP16179
Number of pages: 40 Posted: 14 Jul 2021
Antonio Mele and Francesco Sangiorgi
University of Lugano and Frankfurt School of Finance & Management
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18.

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 (908,821)
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fixed income volatility, government bond variance swaps, information content of government bond volatility, Treasury markets