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Persistence and volatility in short-term interest rates
Panigirtzoglou, Nikolaos; Proudman, James; Spicer, John - 2000
Persistent link: https://www.econbiz.de/10001486484
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Summary statistics of option-implied probability density functions and their properties
Lynch, Damien (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003649282
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An affine macro-factor model of the UK yield curve
Lildholdt, Peter (contributor);  … - 2007
"This paper estimates yield curve models for the United Kingdom, where the underlying determinants have a macroeconomic interpretation. The first factor is an unobserved inflation target, the second factor is annual inflation, and the third factor is a 'Taylor rule residual', which, among other...
Persistent link: https://www.econbiz.de/10003440341
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Decomposing credit spreads
Churm, Rohan; Panigirtzoglou, Nikolaos - 2005
Persistent link: https://www.econbiz.de/10002634238
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Analysts' earnings forecasts and equity valuations
Panigirtzoglou, Nikolaos; Scammell, Robert - In: Quarterly bulletin / Bank of England 42 (2002) 1, pp. 59-66
Persistent link: https://www.econbiz.de/10001700367
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Recent developments in extracting information from options markets
Clews, Roger; Panigirtzoglou, Nikolaos; Proudman, James - In: Quarterly bulletin / Bank of England 40 (2000) 1, pp. 50-60
Persistent link: https://www.econbiz.de/10001473769