de Vincent-Humphreys, Rupert; Gutiérrez, Puigvert; … - European Central Bank - 2010
This paper presents a set of probability density functions for Euribor outturns in three months’ time, estimated from … the statistical moments of these option-implied probability density functions are documented until April 2010. Particular … attention is given to how these probability density functions, and their associated summary statistics, reacted to the unfolding …