Search Results - subject:"Probability density functions"

A Bayesian Method for Short-Term Probabilistic Forecasting of Photovoltaic Generation in Smart Grid Operation and Control

Bracale, Antonio; Caramia, Pierluigi; Carpinelli, Guido; … - In: Energies 6 (2013) 2, pp. 733-747

A<b> </b>new short-term probabilistic forecasting method is proposed to predict the probability density function of the hourly active power generated by a photovoltaic system. Firstly, the probability density function of the hourly clearness index is forecasted making use of a Bayesian auto regressive...

Persistent link: https://www.econbiz.de/10011030942

Interest rate expectations and uncertainty during ECB governing council days: evidence from intraday implied densities of 3-month Euribor

Vergote, Olivier; Puigvert Gutiérrez, Josep Maria - 2011

. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In …

Persistent link: https://www.econbiz.de/10011605437

Interest rate expectations and uncertainty during ECB governing council days: evidence from intraday implied densities of 3-month Euribor

Vergote, Olivier; Gutiérrez, Puigvert; Maria, Josep - European Central Bank - 2011

. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In …

Persistent link: https://www.econbiz.de/10009367481

A quantitative mirror on the Euribor market using implied probability density functions

de Vincent-Humphreys, Rupert; Gutiérrez, Puigvert; … - European Central Bank - 2010

This paper presents a set of probability density functions for Euribor outturns in three months’ time, estimated from … the statistical moments of these option-implied probability density functions are documented until April 2010. Particular … attention is given to how these probability density functions, and their associated summary statistics, reacted to the unfolding …

Persistent link: https://www.econbiz.de/10008776790

A quantitative mirror on the Euribor market using implied probability density functions

de Vincent-Humphreys, Rupert; Puigvert Gutiérrez, … - 2010

Persistent link: https://www.econbiz.de/10011605327

Summary statistics of option-implied probability density functions and their properties

Lynch, Damien; Panigirtzoglou, Nikolaos - Bank of England - 2008

The statistics that summarise probability density functions(pdfs) implied from option prices can be used to assess …

Persistent link: https://www.econbiz.de/10008493887

Extracting expectations from currency option prices: a comparison of methods

Micu, Marian - Society for Computational Economics - SCE - 2005

density functions from currency option prices. We first compare five existing methods commonly employed to recover risk …This paper compares the goodness-of-fit and the stability of six methods used to extract risk-neutral probability …

Persistent link: https://www.econbiz.de/10005342989

Extracting Market Expectations from Option Prices: Two Case Studies in Market Perceptions of the ECB's Monetary Policy 1999/2000

Mandler, Martin - In: Swiss Journal of Economics and Statistics (SJES) 138 (2002) II, pp. 165-189

In recent years various different techniques to uncover the information on market expectations contained in option prices have been developed. This paper applies the technique of fitting a mixture of lognormal densities to LIFFE Euribor futures options to estimate the risk-neutral implied...

Persistent link: https://www.econbiz.de/10005148731