Modelling the implied probability of stock market movements
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Note: 152802
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Citations
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Cited by:
- Vahamaa, Sami, 2005.
"Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB,"
Journal of Economics and Business, Elsevier, vol. 57(1), pages 23-38.
- Vähämaa, Sami, 2004. "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Working Paper Series 315, European Central Bank.
- Martin Scheicher, 2003. "What drives investor risk aversion? Daily evidence from the German equity market," BIS Quarterly Review, Bank for International Settlements, June.
- Ascari, Guido & Rankin, Neil, 2007.
"Perpetual youth and endogenous labor supply: A problem and a possible solution,"
Journal of Macroeconomics, Elsevier, vol. 29(4), pages 708-723, December.
- Ascari, Guido & Rankin, Neil, 2004. "Perpetual youth and endogenous labour supply: a problem and a possible solution," Working Paper Series 346, European Central Bank.
- Salazar Celis, Oliver & Liang, Lingzhi & Lemmens, Damiaan & Tempère, Jacques & Cuyt, Annie, 2015. "Determining and benchmarking risk neutral distributions implied from option prices," Applied Mathematics and Computation, Elsevier, vol. 258(C), pages 372-387.
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More about this item
Keywords
Option prices; risk-neutral density; spillover; volatility;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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