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Assessing Central Bank Credibility During the EMS Crises : Comparing Option and Spot Market-Based Forecasts
Haas, Markus; Mittnik, Stefan; Mizrach, Bruce - 2004
-tailed conditionally heteroskedastic time series. We find, in an application to the ERM crises of 1992-93, that both the options and the …
Persistent link: https://www.econbiz.de/10010263203
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Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts
Haas, Markus; Mittnik, Stefan; Mizrach, Bruce - Center for Financial Studies - 2005
options and the underlying exchange rates provide useful information for policy makers. …
Persistent link: https://www.econbiz.de/10010958766
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Assessing Central Bank Credibility During the ERM Crises: Comparing Option and Spot Market-Based Forecasts
Haas, Markus; Mittnik, Stefan; Mizrach, Bruce - Center for Financial Studies - 2005
options and the underlying exchange rates provide useful information for policy makers. …
Persistent link: https://www.econbiz.de/10005022418
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Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts
Haas, Markus; Mittnik, Stefan; Mizrach, Bruce - Department of Economics, Rutgers University-New Brunswick - 2004
-tailed conditionally heteroskedastic time series. We find, in an application to the ERM crises of 1992-93, that both the options and the …
Persistent link: https://www.econbiz.de/10005750171
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Did option prices predict the ERM crises?
Mizrach, Bruce Marshall - 1996
procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …
Persistent link: https://www.econbiz.de/10011577049
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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
-tailed conditionally heteroskedastic time series. We find, in an application to the ERM crises of 1992-93, that both the options and the …
Persistent link: https://www.econbiz.de/10002518243
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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);  … - 2005
Persistent link: https://www.econbiz.de/10003025694
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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
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Recovering probabilistic information from options prices and the underlying
Mizrach, Bruce - 2008
underlying. The paper first explores non-parametric procedures for reconstructing densities directly from options market data. I …
Persistent link: https://www.econbiz.de/10010282674
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Recovering Probabilistic Information From Options Prices and the Underlying
Mizrach, Bruce - Department of Economics, Rutgers University-New Brunswick - 2007
underlying. The paper first explores non-parametric procedures for reconstructing densities directly from options market data. I …
Persistent link: https://www.econbiz.de/10005750179