Published also as: Documento de Trabajo Banco de España 0504/2005.

The main objective of this paper is to analyse the value of information contained in prices of options on the IBEX 35 index at the Spanish Stock Exchange Market. The forward looking information is extracted using implied risk-neutral density functions estimated by a mixture of two-lognormals and...

This paper analyses the volatility of euro money market interest rates and tests for the existence of volatility transmission from overnight rates to longer term rates. The results suggest that a significant proportion of the volatility of the EONIA is transmitted to 1 month and 3 month interest...

The main objective of this paper is to test whether the risk neutral densities (RNDs) implied in the prices of the future options contract on the Spanish IBEX 35 index accurately predict the distribution of future outcomes of the underlying asset. We estimate RNDs using both parametric and...

This paper investigates the presence of liquidity premia in the relative pricing of assets traded on the Spanish government securities market. First, a classification of bonds into four different categories based on their degree of liquidity is proposed. Second, liquidity premia are estimated...

This paper investigates the presence of liquidity premia in the relative pricing of assets traded on the Spanish government securities market. First, we propose a classification of bonds into four different categories based on their degree of liquidity. Second, we estimate liquidity premia,...

The main objective of this paper is to analyse the value of information contained in prices of options on the IBEX 35 index at the Spanish Stock Exchange Market. The forward looking information is extracted using implied risk-neutral density functions estimated by a mixture of two lognormals and...

Inflation-indexed bonds are fixed-income securities whose nominal cash flows are adjusted to an inflation index. In countries where these securities exist, inflation expectations are sometimes estimated as the spread between the nominal yield on a conventional bond and the real yield on an...