The empirical performance of option-based densities of foreign exchange
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- Keller, Joachim G. & Craig, Ben R., 2002. "The Empirical Performance of Option Based Densities of Foreign Exchange," Discussion Paper Series 1: Economic Studies 2002,07, Deutsche Bundesbank.
References listed on IDEAS
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- Ben R. Craig & Ernst Glatzer & Joachim G. Keller & Martin Scheicher, 2003.
"The forecasting performance of German stock option densities,"
Working Papers (Old Series)
0312, Federal Reserve Bank of Cleveland.
- Keller, Joachim & Glatzer, Ernst & Craig, Ben R. & Scheicher, Martin, 2003. "The Forecasting Performance of German Stock Option Densities," Discussion Paper Series 1: Economic Studies 2003,17, Deutsche Bundesbank.
- Gabriela De Raaij & Burkhard Raunig, 2005. "Evaluating density forecasts from models of stock market returns," The European Journal of Finance, Taylor & Francis Journals, vol. 11(2), pages 151-166.
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More about this item
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CMP-2004-01-18 (Computational Economics)
- NEP-ETS-2004-01-18 (Econometric Time Series)
- NEP-FMK-2004-01-18 (Financial Markets)
- NEP-IFN-2004-01-18 (International Finance)
- NEP-RMG-2004-01-18 (Risk Management)
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