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Option-based tests of interest rate diffusion functions
Rosenberg, Joshua V. - 1999
Persistent link: https://www.econbiz.de/10001447927
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Conditional volatility, skewness and kurtosis : existence and persistence
Jondeau, Eric; Rockinger, Michael - 2000
Persistent link: https://www.econbiz.de/10001526562
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Conditional volatility, skewness, and kurtosis : existence and persistence
Jondeau, Eric; Rockinger, Michael - 2000
Persistent link: https://www.econbiz.de/10001534321
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Der Informationsgehalt von Derivaten für die Geldpolitik : implizite Volatilitäten und Wahrscheinlichkeiten
Neuhaus, Holger - 1995
Persistent link: https://www.econbiz.de/10000550284
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Investor and central bank uncertainty and fear measures embedded in index options
David, Alexander; Veronesi, Pietro - 2011
"Investors' option-implied fear measures - implied volatility (ATMIV) and put-call implied volatility ratios (P … volatility premium"--National Bureau of Economic Research web site …
Persistent link: https://www.econbiz.de/10008858624
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The information content of derivatives for monetary policy : implied volatilities and probabilities
Neuhaus, Holger - 1995
Persistent link: https://www.econbiz.de/10009699999
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Der Informationsgehalt von Derivaten für die Geldpolitik : implizite Volatilitäten und Wahrscheinlichkeiten
Neuhaus, Holger - 1995
There is much discussion about derivatives at central banks. The main focus is on questions about the impact of the growing use of derivative instruments on the stability of the financial markets and the effectiveness ofmonetary policy measures. Irrespective ofthe answers, the information...
Persistent link: https://www.econbiz.de/10009700000
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Rare disasters and exchange rates
Farhi, Emmanuel; Gabaix, Xavier - 2015
Persistent link: https://www.econbiz.de/10010482974
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Rare disasters and exchange rates
Farhi, Emmanuel; Gabaix, Xavier - 2008
"We propose a new model of exchange rates, which yields a theory of the forward premium puzzle. Our explanation … values for the volatility of the exchange rate, the forward premium puzzle regression coefficients, and near-random walk …
Persistent link: https://www.econbiz.de/10003659330
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Stock price jumps and their impact on option valuation
Trautmann, Siegfried; Beinert, Michaela - 1994
Persistent link: https://www.econbiz.de/10000910708