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Assessing central bank credibility during the EMS crises : comparing option and spot market-based forecasts

Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2004

Financial markets embed expectations of central bank policy into asset prices. This paper compares two approaches that extract a probability density of market beliefs. The first is a simulated moments estimator for option volatilities described in Mizrach (2002); the second is a new approach...

Persistent link: https://www.econbiz.de/10002518243

Assessing central bank credibility during the EMS crises : comparing option and spot market-based forecasts

Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003025694

Learning and conditional heteroscedasticity in asset returns

Mizrach, Bruce Marshall - In: Progress in financial markets research, (pp. 1-14). 2012

Persistent link: https://www.econbiz.de/10009678576

Modelling non-linear comovements between time series: comment

Mizrach, Bruce Marshall - In: Journal of macroeconomics 31 (2009) 1, pp. 212-215

Persistent link: https://www.econbiz.de/10003840510

Assessing central bank credibility during the ERM crises : comparing option and spot market-based forecasts

Haas, Markus; Mittnik, Stefan; Mizrach, Bruce Marshall - In: Journal of financial stability 2 (2006) 1, pp. 28-54

Persistent link: https://www.econbiz.de/10003779112

Analysis of the effect of index futures on stock market with a new Fama-French 3-factor model

Bei, Xinyue; Yang, Yanjia; Li, Liuling; Mizrach, Bruce … - In: Theoretical economics letters 4 (2014) 9, pp. 748-759

Persistent link: https://www.econbiz.de/10010531254