Interest rate expectations and uncertainty during ECB Governing Council days: Evidence from intraday implied densities of 3-month EURIBOR
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference22 articles.
1. Andersen, A.B., Wagener, T., 2002. Extracting Risk Neutral Probability Densities by Fitting Implied Volatility Smiles: Some Methodological Points and Application to the 3M EURIBOR Futures Option Prices. ECB Working Paper 198.
2. Andersson, M., 2007. Using Intraday Data to Gauge Financial Market Responses to Fed and ECB Monetary Policy Decisions. ECB Working Paper 726.
3. Bahra, B., 1997. Implied Risk-neutral Probability Density Functions from Option Prices: Theory and Application. Bank of England Working Paper 66.
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