LSE creators

Number of items: 25.
2013
  • Corradi, Valentina, Distaso, Walter, Mele, Antonio (2013). Macroeconomic determinants of stock volatility and volatility premiums. Journal of Monetary Economics, 60(2), 203-220. https://doi.org/10.1016/j.jmoneco.2012.10.019
    • 2011
  • Kristensen, Dennis, Mele, Antonio (2011). Adding and subtracting Black-Scholes: a new approach to approximating derivative prices in continuous-time models. Journal of Financial Economics, 102(2), 390-415. https://doi.org/10.1016/j.jfineco.2011.05.007
    • 2010
  • Colla, Paolo, Mele, Antonio (2010). Information linkages and correlated trading. Review of Financial Studies, 23(1), 203-246. https://doi.org/10.1093/rfs/hhp021
    • 2009
  • Fornari, Fabio, Mele, Antonio (2009). Financial volatility and economic activity. (Financial Markets Group Discussion Papers 642). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Mele, Antonio, Sangiorgi, Francesco (2009). Ambiguity, information acquisition and price swings in asset markets. (Financial Markets Group Discussion Papers 633). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Altissimo, Filippo, Mele, Antonio (2009). Simulated non-parametric estimation of dynamic models. Review of Economic Studies, 76(2), 413-450. https://doi.org/10.1111/j.1467-937X.2008.00527.x
    • 2008
  • Colla, Paolo, Mele, Antonio (2008). Information linkages and correlated trading. (Financial Markets Group Discussion Papers 620). Financial Markets Group, The London School of Economics and Political Science.
  • Corradi, Valentina, Distaso, Walter, Mele, Antonio (2008). Macroeconomic determinants of stock market returns, volatility and volatility risk-premia. (Financial Markets Group Discussion Papers 616). Financial Markets Group, The London School of Economics and Political Science.
    • 2007
  • Mele, Antonio (2007). Asymmetric stock market volatility and the cyclical behavior of expected returns. Journal of Financial Economics, 86(2), 446-478. https://doi.org/10.1016/j.jfineco.2006.10.002
    • 2006
  • Mele, Antonio (2006). Approximating volatility diffusions with cev-arch models. Journal of Economic Dynamics and Control, 30(6), 931-966. https://doi.org/10.1016/j.jedc.2005.03.008
    • 2005
  • Altissimo, Filippo, Mele, Antonio (2005). Simulated nonparametric estimation of dynamic models with applications to finance. (Financial Markets Group Discussion Papers 539). Financial Markets Group, The London School of Economics and Political Science.
    • 2004
  • Mele, Antonio (2004). General properties of rational stock-market fluctuations. (Financial Markets Group Discussion Papers 489). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Altissimo, Filippo, Mele, Antonio (2004). Simulated nonparametric estimation of continuous time models of asset prices and returns. (Discussion paper 476). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
    • 2003
  • Mele, Antonio (2003). Fundamental properties of bond prices in models of the short-term rate. Review of Financial Studies, 16(3), 679-716. https://doi.org/10.1093/rfs/hhg011
    • 2001
  • Fornari, Fabio, Mele, Antonio (2001). Recovering the probability density function of asset prices using garch as diffusion approximations. Journal of Empirical Finance, 8(1), 83-110. https://doi.org/10.1016/S0927-5398(01)00021-4
  • Fornari, Fabio, Mele, Antonio (2001). Volatility smiles and the information content of news. Applied Financial Economics, 11(2), 179-186. https://doi.org/10.1080/096031001750071578
    • 2000
  • Mele, Antonio, Fornari, Fabio (2000). Stochastic volatility in financial markets : crossing the bridge to continuous time. Kluwer Academic Publishers.
    • 1997
  • Mele, Antonio, Fornari, Fabio (1997). Asymmetries and non-linearities in economic activity. Applied Financial Economics, 7(2), 203-206. https://doi.org/10.1080/096031097333772
  • Mele, Antonio, Fornari, Fabio (1997). Sign - and volatility - switching arch models: theory and applications to international stock markets. Journal of Applied Econometrics, 12(1), 49-65. https://doi.org/10.1002/(SICI)1099-1255(199701)12:1<49::AID-JAE422>3.0.CO;2-6
  • Mele, Antonio, Fornari, Fabio (1997). Weak convergence and distributional assumptions for a general class of nonliner arch models. Econometric Reviews, 16(2), 205-227. https://doi.org/10.1080/07474939708800382
    • 1996
  • Mele, Antonio, Fornari, Fabio (1996). Modeling the changing asymmetry of conditional variances. Economics Letters, 50(2), 197-203. https://doi.org/10.1016/0165-1765(95)00736-9
    • 1995
  • Mele, Antonio (1995). Continuous time conditionally heteroskedastic models: theory with applications to the term structure of interest rates. Economic Notes, 24, 327-352.
    • 1994
  • Mele, Antonio (1994). Stochastic behaviour of deterministic utility functions. Rivista Internazionale di Scienze economiche e Commerciali, 41(12), 1013-1031.
  • Mele, Antonio (1994). A stochastic variance model for absolute returns. Economics Letters, 46(3), 211-214. https://doi.org/10.1016/0165-1765(94)00471-4
  • Fornari, Fabio, Mele, Antonio (1994). A two factor arbitrage model with optimal filtering behavior. Statistica, 54(3), 293-312.