is compared with the surveyed inflation expectations in order to obtain a rough measure of the inflation risk premium …

government bonds to derive expected inflation rates and inflation risk premia, in the euro area and in the US. Maximum likelihood … inflation and inflation risk premia. The results highlight some striking differences between the euro area and the US. In the US …, forward inflation risk premia become sizable around the start of the late-2000s financial crisis and considerably increase …

This paper studies the effect of correlation in the retional beliefs of agents on the volatility of asset prices. …

both areas are not systematically influenced by monetary policy surprises. In the United States forward inflation risk … inflation risk premia remained unchanged even after the adoption of the unconventional monetary policy measures in October 2008 …

volatility of futures prices. The Granger-causality tests suggest that speculative investments usually follow � rather than … associated with lower volatility of futures returns, while that of swap dealers is sometimes followed by higher price variations. …

point in time, the parameters of the model are estimated by minimizing the sum of squared implied volatility errors, and … their informational content is compared with the widely used Black and Scholes implied volatility, calculated on at … periods of high variability of asset prices the jump-diffusion approach may help to disentangle the cases in which volatility …