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Estimating inflation expectations using French government inflation-indexed bonds

Alonso Sánchez, Francisco; Blanco, Roberto; Río, Ana del - 2001

Persistent link: https://www.econbiz.de/10001610041

Testing the forecasting performance of IBEX 35 option-implied risk-neutral densities

Alonso Sánchez, Francisco; Blanco, Roberto; Rubio, Gonzalo - 2005

Persistent link: https://www.econbiz.de/10002992833

Is the volatility of the EONIA transmitted to longer-term euro money market interest rates?

Alonso Sánchez, Francisco (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003281245

Option-implied preferencec adjustments, density forecasts, and the equity risk premium

Alonso Sánchez, Francisco; Blanco, Roberto; Rubio, Gonzalo - 2006

Persistent link: https://www.econbiz.de/10003396849

Option-Implied Preferences Adjustments, Density Forecasts, and the Equity Risk Premium

Alonso, Francisco - 2006

The main objective of this paper is to analyse the value of information contained in prices of options on the IBEX 35 index at the Spanish Stock Exchange Market. The forward looking information is extracted using implied risk-neutral density functions estimated by a mixture of two lognormals and...

Persistent link: https://www.econbiz.de/10012732539