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COMFORT: a common market factor non-Gaussian returns model

Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605

Persistent link: https://www.econbiz.de/10011499783

Assessing central bank credibility during the ERM crises : comparing option and spot market-based forecasts

Haas, Markus; Mittnik, Stefan; Mizrach, Bruce Marshall - In: Journal of financial stability 2 (2006) 1, pp. 28-54

Persistent link: https://www.econbiz.de/10003779112

Quanto option pricing in the presence of fat tails and asymmetric dependence

Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho - In: Journal of econometrics 187 (2015) 2, pp. 512-520

Persistent link: https://www.econbiz.de/10011499753

Assessing central bank credibility during the EMS crises : comparing option and spot market-based forecasts

Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2004

Financial markets embed expectations of central bank policy into asset prices. This paper compares two approaches that extract a probability density of market beliefs. The first is a simulated moments estimator for option volatilities described in Mizrach (2002); the second is a new approach...