Interpreting implied risk-neutral densities: the role of risk premia
Year of publication: |
2003
|
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Authors: | Hördahl, Peter ; Vestin, David |
Publisher: |
Frankfurt a. M. : European Central Bank (ECB) |
Subject: | essentially affine term structure model | risk premia | Risk-neutral densities |
Series: | ECB Working Paper ; 274 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | hdl:10419/152708 [Handle] RePEc:ecb:ecbwps:20030274 [RePEc] |
Classification: | G12 - Asset Pricing ; E43 - Determination of Interest Rates; Term Structure Interest Rates |
Source: |
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