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Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
Monteiro, Ana Margarida; Tütüncü, Reha H.; Vicente, … - In: European journal of operational research : EJOR 187 (2008) 2, pp. 525-542
Persistent link: https://www.econbiz.de/10003769344
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Essays on financial econometrics
D'Amico, Stefania - 2004
Persistent link: https://www.econbiz.de/10003386855
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Choosing the right skew normal distribution: the macroeconomist dilemma
Charemza, Wojciech; Díaz, Carlos; Makarova, Svetlana D. - 2015
Persistent link: https://www.econbiz.de/10011287620
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Infinite-variance, alpha-stable shocks in monetary SVAR
Hannsgen, Greg - In: International review of applied economics 26 (2012) 6, pp. 755-786
Persistent link: https://www.econbiz.de/10009719299
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Design limits and dynamic policy analysis
Brock, William A.; Durlauf, Steven N.; Rondina, Giacomo - In: Journal of economic dynamics & control 37 (2013) 12, pp. 2710-2728
Persistent link: https://www.econbiz.de/10010348108
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Extracting the information shocks from the Bank of England inflation density forecasts
Vela, Carlos Diaz - 2016
Persistent link: https://www.econbiz.de/10011520455
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Learning from prices : public communication and welfare
Amador, Manuel; Weill, Pierre-Olivier - In: Journal of political economy 118 (2010) 5, pp. 866-907
Persistent link: https://www.econbiz.de/10009238312
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Learning from prices : public communication and welfare
Amador, Manuel; Weill, Pierre-Olivier - 2008
Persistent link: https://www.econbiz.de/10003749742
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A statistical comparison of alternative identification schemes for monetary policy shocks
Lanne, Markku (contributor); Lütkepohl, Helmut (contributor) - 2008
Persistent link: https://www.econbiz.de/10003724343
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Learning from Prices : Public Communication and Welfare
Amador, Manuel - 2008
We study the effect of releasing public information about productivity or monetary shocks when agents learn from nominal prices. While public releases have the benefit of providing new information, they can have the cost of reducing the informational efficiency of the price system. We show that,...
Persistent link: https://www.econbiz.de/10012770589