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The information content of risk-neutral densities : tests based on Hungarian currency option-implied densities
Csávás, Csaba - In: The European journal of finance 16 (2010) 7, pp. 657-676
Persistent link: https://www.econbiz.de/10008759415
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Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: test based on EUR/HUF option-implied densities
Csávás, Csaba (contributor) - 2008
In this paper we estimate risk-neutral probability density functions from EUR/HUF currency options using the Malz (1997) method. First, we compare different option-based indicators. We present so-called 'shortcut' indicators, i.e. indicators that can be calculated directly, without the...
Persistent link: https://www.econbiz.de/10003721533
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Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: Test based on EUR/HUF option-implied densities
Csávás, Csaba - 2008
In this paper we estimate risk-neutral probability density functions from EUR/HUF currency options using the Malz (1997) method. First, we compare different option-based indicators. We present so-called 'shortcut' indicators, i.e. indicators that can be calculated directly, without the...
Persistent link: https://www.econbiz.de/10010322462