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Estimates of foreign exchange risk premia : a pricing kernel approach
Cappiello, Lorenzo; Panigirtzoglou, Nikolaos - In: Empirical economics : a journal of the Institute for … 35 (2008) 3, pp. 475-495
Persistent link: https://www.econbiz.de/10003776715
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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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Market timing with option-implied distributions : a forward-looking approach
Kostakis, Alexandros; Panigirtzoglou, Nikolaos; … - In: Management science : journal of the Institute for … 57 (2011) 7, pp. 1231-1249
Persistent link: https://www.econbiz.de/10009267624
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Using option prices to measure financial market views about balances of risk to future asset prices
Lynch, Damien; Panigirtzoglou, Nikolaos - In: Quarterly bulletin / Bank of England 44 (2004) 4, pp. 442-454
Persistent link: https://www.econbiz.de/10002485485
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Decomposing credit spreads
Churm, Rohan; Panigirtzoglou, Nikolaos - 2005
Persistent link: https://www.econbiz.de/10002634238
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A new approach to modeling the dynamics of implied distributions : theory and evidence from the S&P 500 options
Panigirtzoglou, Nikolaos; Skiadopoulos, George - In: Journal of banking & finance 28 (2004) 7, pp. 1499-1520
Persistent link: https://www.econbiz.de/10002100451
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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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Recovering risk aversion from options
Bliss, Robert R. (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001658437
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Overcoming the zero bound on nominal interest rates with negative interest on currency : Gesell's solution
Buiter, Willem H.; Panigirtzoglou, Nikolaos - In: The economic journal : the journal of the Royal … 113 (2003), pp. 723-746
Persistent link: https://www.econbiz.de/10001806077