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Peter Hördahl

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This is information that was supplied by Peter Hördahl in registering through RePEc. If you are Peter Hördahl , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Peter
Middle Name:
Last Name: Hördahl
Suffix:

RePEc Short-ID: phr25

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Homepage:
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Affiliation

Bank for International Settlements (BIS)
Location: Basel, Switzerland
Homepage: http://www.bis.org/
Email:
Phone: (41) 61 - 280 80 80
Fax: (41) 61 - 280 91 00
Postal: Centralbahnplatz 2, CH - 4002 Basel
Handle: RePEc:edi:bisssch (more details at EDIRC)

Works

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Working papers

  1. Jacob Gyntelberg & Peter Hördahl & Kristyna Ters & Jörg Urban, 2013. "Intraday dynamics of euro area sovereign CDS and bonds," BIS Working Papers 423, Bank for International Settlements.
  2. Peter Hördahl & Oreste Tristani, 2010. "Inflation risk premia in the US and the euro area," BIS Working Papers 325, Bank for International Settlements.
  3. Peter Hoerdahl & Oreste Tristani, 2007. "Inflation risk premia in the term structure of interest rates," BIS Working Papers 228, Bank for International Settlements.
  4. Hördahl, Peter & Tristani, Oreste & Vestin, David, 2007. "The yield curve and macroeconomic dynamics," Working Paper Series 0832, European Central Bank.
  5. Cappiello, Lorenzo & Hördahl, Peter & Kadareja, Arjan & Manganelli, Simone, 2006. "The impact of the euro on financial markets," Working Paper Series 0598, European Central Bank.
  6. Peter Hoerdahl & Oreste Tristani, 2004. "A joint econometric model of macroeconomic and term structure dynamics," Econometric Society 2004 North American Summer Meetings 379, Econometric Society.
  7. Lieven Baele & Annalisa Ferrando & Peter Hördahl & Elizaveta Krylova & Cyril Monnet, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank.
  8. Hördahl, Peter & Vestin, David, 2003. "Interpreting implied risk-neutral densities: the role of risk premia," Working Paper Series 0274, European Central Bank.
  9. Hördahl, Peter, 2000. "Estimating the Implied Distribution of the Future Short-Term Interest Rate Using the Longstaff-Schwartz Model," Working Paper Series 111, Sveriges Riksbank (Central Bank of Sweden).

Articles

  1. Peter Hördahl & Oreste Tristani, 2012. "Inflation Risk Premia In The Term Structure Of Interest Rates," Journal of the European Economic Association, European Economic Association, vol. 10(3), pages 634-657, 05.
  2. Petra Gerlach & Peter Hördahl & Richhild Moessner, 2011. "Inflation expectations and the great recession," BIS Quarterly Review, Bank for International Settlements, March.
  3. Peter Hördahl & Michael R King, 2008. "Developments in repo markets during the financial turmoil," BIS Quarterly Review, Bank for International Settlements, December.
  4. Peter Hördahl & Oreste Tristani & David Vestin, 2008. "The Yield Curve and Macroeconomic Dynamics," Economic Journal, Royal Economic Society, vol. 118(533), pages 1937-1970, November.
  5. Peter Hördahl, 2008. "The inflation risk premium in the term structure of interest rates," BIS Quarterly Review, Bank for International Settlements, September.
  6. Hordahl, Peter & Tristani, Oreste & Vestin, David, 2006. "A joint econometric model of macroeconomic and term-structure dynamics," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 405-444.
  7. Peter Hördahl & David Vestin, 2005. "Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia," Review of Finance, Springer, vol. 9(1), pages 97-137, 03.
  8. Bjorn Hansson & Peter Hordahl, 2005. "Forecasting variance using stochastic volatility and GARCH," The European Journal of Finance, Taylor & Francis Journals, vol. 11(1), pages 33-57.
  9. Peter Hordahl & Oreste Tristani & David Vestin, 2003. "A joint econometric model of macroeconomic and term structure," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  10. Bjorn Hansson & Peter Hordahl, 1998. "Testing the conditional CAPM using multivariate GARCH-M," Applied Financial Economics, Taylor & Francis Journals, vol. 8(4), pages 377-388.
  11. Hansson, Bjorn & Hordahl, Peter, 1997. " Changing Risk Premia: Evidence from a Small Open Economy," Scandinavian Journal of Economics, Wiley Blackwell, vol. 99(2), pages 335-50, June.

NEP Fields

10 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (5) 2006-05-06 2007-08-14 2007-12-08 2010-11-27 2010-12-11. Author is listed
  2. NEP-DGE: Dynamic General Equilibrium (1) 2007-12-08
  3. NEP-EEC: European Economics (6) 2005-12-01 2006-05-06 2007-08-14 2010-11-27 2010-12-11 2013-09-24. Author is listed
  4. NEP-FIN: Finance (2) 2005-12-01 2006-05-06
  5. NEP-FMK: Financial Markets (3) 2005-12-01 2006-05-06 2013-09-24. Author is listed
  6. NEP-FOR: Forecasting (1) 2005-10-04
  7. NEP-MAC: Macroeconomics (7) 2004-10-30 2005-10-04 2006-05-06 2007-08-14 2007-12-08 2010-11-27 2010-12-11. Author is listed
  8. NEP-MON: Monetary Economics (6) 2004-10-30 2006-05-06 2007-08-14 2007-12-08 2010-11-27 2010-12-11. Author is listed
  9. NEP-RMG: Risk Management (2) 2006-05-06 2007-08-14
  10. NEP-UPT: Utility Models & Prospect Theory (1) 2010-12-11

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