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An application of the Kalman Filter to the Spanish experience in a target zone : (1989 - 92)

Alberola, Enrique; López, J. Humberto; Orts Ríos, Vicente - 1993

Persistent link: https://www.econbiz.de/10000889863

Exchange rate fluctuations, market structure and the pass-through relationship

Herguera, Iñigo - 1993

Persistent link: https://www.econbiz.de/10000865571

Incomplete cost pass-through under deep habits

Ravn, Morten O. (contributor); … - 2008

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A modern reconsideration of the theory of optimal currency areas

Corsetti, Giancarlo (contributor) - 2008

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A mixture multiplicative error model for realized volatility

Lanne, Markku (contributor) - 2006

Persistent link: https://www.econbiz.de/10003280702

Identifying monetary policy shocks via changes in volatility

Lanne, Markku (contributor); Lütkepohl, Helmut (contributor) - 2006

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Openness and the case for flexible exchange rates

Corsetti, Giancarlo (contributor) - 2005

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DSGE models of high exchange-rate volatility and low pass-trough

Corsetti, Giancarlo (contributor); Dedola, Luca (contributor) - 2005

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The effect of a transaction tax on exchange rate volatility

Lanne, Markku (contributor); Vesala, Timo (contributor) - 2005

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Extracting risk neutral probability densities by fitting implied volatility smiles : some methodological points and an application to the 3M Euribor futures option prices

Bødskov Andersen, Allan (contributor); … - 2002 - [Elektronische Ressource]

Following Shimko (1993), a large amount of research has evolved around the problem of extracting risk neutral densities from options prices by interpolating the Black-Scholes implied volatility smile. Some of the methods recently proposed use variants of the cubic spline. These methods have the...

Persistent link: https://www.econbiz.de/10001723101