Interest rate forecasts, state price densities and risk premium from Euribor options

Author:

Ivanova Vesela,Puigvert Gutiérrez Josep Maria

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference46 articles.

1. Nonparametric option pricing under shape restrictions;Ait-Sahalia;Journal of Econometrics,2003

2. Alonso, F., Blanco, R., Rubio, G., 2006. Option-Implied Preference Adjustments, Density Forecasts, and the Equity Risk Premium. Bank of Spain Working Paper Series 0630.

3. Forecasting accuracy of implied and GARCH-based probability density functions;Anagnou-Basioudis;Review of Futures Markets,2005

4. Testing density forecasts with applications to risk management;Berkowitz;Journal of Business and Economic Statistics,2001

5. The pricing of commodity contracts;Black;Journal of Financial Economics,1976

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1. Risk premia in electricity derivatives markets;Energy Economics;2021-08

2. The discontinuation of the EUR/CHF minimum exchange rate: information from option-implied break probabilities;Studies in Nonlinear Dynamics & Econometrics;2020-06-22

3. NONPARAMETRIC ESTIMATES OF OPTION PRICES AND RELATED QUANTITIES;International Journal of Theoretical and Applied Finance;2019-11

4. Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions;Journal of Futures Markets;2019-09-08

5. A Bayesian time varying approach to risk neutral density estimation;Journal of the Royal Statistical Society: Series A (Statistics in Society);2018-06-27

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