Extracting implicit density functions from short term interest rate options
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Keywordsmonetary policy; implicit density function; interest rate options; market expectations;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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