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Publications of Angelo Melino

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2010

  • Angelo Melino, "Measuring the cost of economic fluctuations with preferences that rationalize the equity premium", Canadian Journal of Economics 43 (2010), 405–422.

2008

  • Angelo Melino and Nash Peerbocus, "High Frequency Export and Price Responses in the Ontario Electricity Market", The Energy Journal 29 (2008), 35–51.

2005

  • Angelo Melino and Stuart M. Turnbull, "Pricing Foreign Currency Options with Stochastic Volatility", in Stochastic Volatility: Selected Readings (edited by Neil Shephard), Oxford University Press, 2005, 239–265.

2003

  • Angelo Melino and A. Yang, "State-dependent preferences can explain the equity premium puzzle", Review of Economic Dynamics 6 (4) (2003), 806–830.

2002

  • Olivier Blanchard, David Johnson, Angelo Melino, Macroeconomics, Second Canadian Edition, Pearson Education Canada, Toronto, 2002.

2001

  • Angelo Melino, "Estimation of a Rational Expectations Model of the Term Structure", Journal of Empirical Finance 8 (5) (2001), 639–668.

2000

  • Michael Baker and Angelo Melino, "Duration Dependence and Nonparametric Heterogeneity: A Monte Carlo Study", Journal of Econometrics 96 (2) (2000), 357–393.

1998

  • Olivier Blanchard and Angelo Melino, Macroeconomics: First Canadian Edition, Prentice-Hall Canada, Toronto, 1998.

1995

  • Larry Epstein and Angelo Melino, "A Revealed Preference Analysis of Asset Pricing under Recursive Utility", Review of Economic Studies 62 (4) (1995), 597–618.
  • Angelo Melino and Stuart M. Turnbull, "Misspecification and the Pricing and Hedging of Long-Term Foreign Currency Options", Journal of International Money and Finance 14 (3) (1995), 373–393.

1994

  • Angelo Melino, "Estimation of Continuous-Time Stochastic Processes in Finance", in Advances in Econometrics, Sixth World Congress, Vol. II (edited by C. Sims), Cambridge University Press, 1994.

1991

  • Angelo Melino and Stuart M. Turnbull, "The Pricing of Foreign Currency Options", Canadian Journal of Economics 24 (2) (1991), 251–281.

1990

  • Morley K. Gunderson, Angelo Melino, Frank J. Reid, "The Effects of Canadian Labour Relations Legislation on Strike Incidence and Duration", Labor Law Journal 41 (8) (1990), 512–518.
  • Morley K. Gunderson and Angelo Melino, "The Effects of Public Policy on Strike Duration", Journal of Labor Economics 8 (3) (1990), 295–316.
  • Angelo Melino and Glenn Sueyoshi, "A Simple Approach to the Identifiability of the Proportional Hazards Model", Economic Letters 33 (1) (1990), 63–68.

1988

  • Angelo Melino, "The Term Structure of Interest Rates: Evidence and Theory", Journal of Economic Surveys 2 (4) (1988), 335–366.

1987

  • Richard Deaves, Angelo Melino, James E. Pesando, "The Response of Interest Rates to the Federal Reserve's Weekly Money Announcements: The 'Puzzle' of Anticipated Money", Journal of Monetary Economics 19 (3) (1987), 393–404.
  • Sanford J. Grossman, Angelo Melino, Robert J. Shiller, "Estimating the Continuous-Time Consumption-Based Asset Pricing Model", Journal of Business and Economic Statistics 5 (3) (1987), 315–327.
  • Morley K. Gunderson and Angelo Melino, "Estimating Strike Effects in a General Model of Prices and Quantities", Journal of Labor Economics 5 (1) (1987), 1–19.

1986

  • Olivier Blanchard and Angelo Melino, "Cyclical Behavior of Prices and Quantities in the Automobile Market", Journal of Monetary Economics 17 (3) (1986), 379–407.

1984

  • T. Doan, R. Litterman, Angelo Melino, C. Sims, "Comment on 'Forecasting and Conditional Projection Using Realistic Prior Distributions", Econometric Reviews 3 (1) (1984), 119–123.

1982

  • Angelo Melino, "Testing for Sample Selection Bias", Review of Economic Studies 49 (1) (1982), 151–153.

1978

  • Angelo Melino and Dale J. Poirier, "A Note on the Interpretation of Regression Coefficients within a Class of Truncated Distributions", Econometrica 46 (5) (1978), 1207–1209.