Items where Author is "Mele, Antonio"

Number of items: 25.
Article
  • Adding and subtracting Black-Scholes: a new approach to approximating derivative prices in continuous-time models. Kristensen, Dennis; Mele, Antonio
  • Approximating volatility diffusions with cev-arch models. Mele, Antonio
  • Asymmetric stock market volatility and the cyclical behavior of expected returns. Mele, Antonio
  • Asymmetries and non-linearities in economic activity. Mele, Antonio; Fornari, Fabio
  • Continuous time conditionally heteroskedastic models: theory with applications to the term structure of interest rates. Mele, Antonio
  • Fundamental properties of bond prices in models of the short-term rate. Mele, Antonio
  • Information linkages and correlated trading. Colla, Paolo; Mele, Antonio
  • Macroeconomic determinants of stock volatility and volatility premiums. Corradi, Valentina; Distaso, Walter; Mele, Antonio
  • Modeling the changing asymmetry of conditional variances. Mele, Antonio; Fornari, Fabio
  • Recovering the probability density function of asset prices using garch as diffusion approximations. Fornari, Fabio; Mele, Antonio
  • Sign - and volatility - switching arch models: theory and applications to international stock markets. Mele, Antonio; Fornari, Fabio
  • Simulated non-parametric estimation of dynamic models. Altissimo, Filippo; Mele, Antonio
  • Stochastic behaviour of deterministic utility functions. Mele, Antonio
  • Volatility smiles and the information content of news. Fornari, Fabio; Mele, Antonio
  • Weak convergence and distributional assumptions for a general class of nonliner arch models. Mele, Antonio; Fornari, Fabio
  • A stochastic variance model for absolute returns. Mele, Antonio
  • A two factor arbitrage model with optimal filtering behavior. Fornari, Fabio; Mele, Antonio
    • Book
  • Stochastic volatility in financial markets : crossing the bridge to continuous time. Mele, Antonio; Fornari, Fabio
    • Working paper
  • Ambiguity, information acquisition and price swings in asset markets. Mele, Antonio; Sangiorgi, Francesco picture_as_pdf
  • Financial volatility and economic activity. Fornari, Fabio; Mele, Antonio picture_as_pdf
  • General properties of rational stock-market fluctuations. Mele, Antonio picture_as_pdf
  • Information linkages and correlated trading. Colla, Paolo; Mele, Antonio
  • Macroeconomic determinants of stock market returns, volatility and volatility risk-premia. Corradi, Valentina; Distaso, Walter; Mele, Antonio
  • Simulated nonparametric estimation of continuous time models of asset prices and returns. Altissimo, Filippo; Mele, Antonio picture_as_pdf
  • Simulated nonparametric estimation of dynamic models with applications to finance. Altissimo, Filippo; Mele, Antonio