The forecast ability of risk-neutral densities of foreign exchange
Year of publication: |
2005
|
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Authors: | Craig, Ben R. ; Keller, Joachim |
Institutions: | Deutsche Bundesbank |
Subject: | Risk-neutral densities from option prices | American exchange rate options | Evaluating Density Forecasts | Pentionominal tree | Density evaluation | Overlapping data problem |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 2005,05 |
Classification: | F47 - Forecasting and Simulation ; C63 - Computational Techniques ; F31 - Foreign Exchange ; C52 - Model Evaluation and Testing |
Source: |
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The forecast ability of risk-neutral densities of foreign exchange
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The Empirical Performance of Option Based Densities of Foreign Exchange
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The Empirical Performance of Option Based Densities of Foreign Exchange
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