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Option-implied Libor rate expectations across currencies
Gebbia, Nick - 2016
In this paper, I study risk-neutral probability densities regarding future Libor rates denominated in British pounds, euros, and US dollars as implied by option prices. I apply Breeden and Litzenberger's (1978) result regarding the relationship between option prices and implied probabilities for...
Persistent link: https://www.econbiz.de/10011563200
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A multi-country study of the information in the shorter maturity term structure about future inflation
Mishkin, Frederic S. - In: Journal of international money and finance 10 (1991) 1, pp. 2-22
Persistent link: https://www.econbiz.de/10001101952
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The term structure of Euro-rates : some evidence in support of the expectations hypothesis
Gerlach, Stefan - In: Journal of international money and finance 16 (1997) 2, pp. 305-321
Persistent link: https://www.econbiz.de/10001225589
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Fiscal positions and government bond yields in OECD countries
Gruber, Joseph W.; Kamin, Steven - 2010
Persistent link: https://www.econbiz.de/10009550951
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The puzzling peso
Arteta, Carlos Ó.; Kamin, Steven; Vitanza, Justin - 2009
Persistent link: https://www.econbiz.de/10009535474
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The puzzling peso
Arteta, Carlos Ó.; Kamin, Steven; Vitanza, Justin - In: Journal of international money and finance 30 (2011) 8, pp. 1814-1835
Persistent link: https://www.econbiz.de/10009529242
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Common factors in international bond returns
Driessen, Joost; Melenberg, Bertrand; Nijman, Theodore E. - In: Journal of international money and finance 22 (2003) 5, pp. 629-656
Persistent link: https://www.econbiz.de/10001787726
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EMS interest rate differentials and fiscal policy : a model with an empirical application to Italy
Craig, R. S. - 1991
Persistent link: https://www.econbiz.de/10000130700
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Linkage in EMS term structures : evidence from common trend and transitory components
Hafer, Rik W. - In: Journal of international money and finance 16 (1997) 4, pp. 595-607
Persistent link: https://www.econbiz.de/10001225533
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Macroannouncements, bond auctions and rating actions in the European government bond spreads
Boffelli, Simona; Urga, Giovanni - In: Journal of international money and finance 53 (2015), pp. 148-173
Persistent link: https://www.econbiz.de/10011475944