Parametric vs. non-parametric methods for estimating option implied risk-neutral densities: the case of the exchange rate Mexican peso – US dollar
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References listed on IDEAS
- Peter Hördahl & David Vestin, 2005.
"Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia,"
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Guillermo Benavides Perales, 2012. "Central Bank Exchange Rate Interventions and Market Expectations: The Case of México During the Financial Crisis 2008-2009," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, October.
More about this item
Keywordscurrency option implied volatility; exchange rate; parametric methods; non-parametric methods; risk-neutral densities;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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