Interest rate forecasts, state price densities and risk premium from Euribor options
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Michael Funke & Julius Loermann & Richhild Moessner, 2017. "The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?," BIS Working Papers 652, Bank for International Settlements.
- repec:oup:erevae:v:45:y:2018:i:1:p:121-142. is not listed on IDEAS
- Ricardo Crisostomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," Papers 1801.08007, arXiv.org, revised May 2018.
More about this item
KeywordsEuribor futures; Forecast density; Interest rate premium; State price densities;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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