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  • Search: subject:"mixed diffusion jump risk models"
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Year of publication
Subject
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Exchange Rate Crash Risk 4 Quantitative Easing 4 Unconventional Monetary Policies 4 mixed diffusion jump risk models 4 risk reversals 4 Euro area 3 Eurozone 3 Exchange rate 3 Financial crisis 3 Finanzkrise 3 Geldpolitik 3 Impact assessment 3 Monetary policy 3 Option pricing theory 3 Optionspreistheorie 3 Quantitative Lockerung 3 Quantitative easing 3 Volatility 3 Volatilität 3 Wechselkurs 3 Wirkungsanalyse 3
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Online availability
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Free 3 Undetermined 1
Type of publication
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Book / Working Paper 4
Type of publication (narrower categories)
All
Working Paper 4 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3
Language
All
English 4
Author
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Petersen, Annelie 4 Olijslagers, Stan 3 Vette, Nander de 3 Wijnbergen, Sweder van 3 Olijslager, Stan Stan 1 de Vette, Nander 1 van Wijnbergen, Sweder 1
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Published in...
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DNB working papers 1 Discussion paper / Centre for Economic Policy Research 1 Discussion paper / Tinbergen Institute 1 Tinbergen Institute Discussion Paper 1
Source
All
ECONIS (ZBW) 3 EconStor 1
Showing 1 - 4 of 4
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What option prices tell us about the ECB's unconventional monetary policies
Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2019
Persistent link: https://www.econbiz.de/10011992544
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Cover Image
What Option Prices tell us about the ECB's Unconventional Monetary Policies
Olijslagers, Stan; Petersen, Annelie; de Vette, Nander; … - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...
Persistent link: https://www.econbiz.de/10012114748
Saved in:
Cover Image
What option prices tell us about the ECB's unconventional monetary policies
Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...
Persistent link: https://www.econbiz.de/10011940034
Saved in:
Cover Image
What option prices tell us about the ECB's unconventional monetary policies
Olijslager, Stan Stan; Petersen, Annelie; Vette, Nander de - 2018
Persistent link: https://www.econbiz.de/10012109721
Saved in:
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