Arbeitspapier
A quantitative mirror on the Euribor market using implied probability density functions
This paper presents a set of probability density functions for Euribor outturns in three months’ time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over ten years of daily data, from 13 January 1999 onwards. Time series of the statistical moments of these option-implied probability density functions are documented until April 2010. Particular attention is given to how these probability density functions, and their associated summary statistics, reacted to the unfolding financial crisis between 2007 and 2009. In doing so, it shows how option-implied probability density functions could be used to contribute to monetary policy and financial stability analysis.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1281
- Klassifikation
-
Wirtschaft
Estimation: General
Semiparametric and Nonparametric Methods: General
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
financial
financial market
options
probability density functions
- Ereignis
-
Geistige Schöpfung
- (wer)
-
de Vincent-Humphreys, Rupert
Puigvert Gutiérrez, Josep Maria
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- de Vincent-Humphreys, Rupert
- Puigvert Gutiérrez, Josep Maria
- European Central Bank (ECB)
Entstanden
- 2010
Ähnliche Objekte (12)
The economics of options-implied inflation probability density functions
Estimation and regularization of probability density functions in image processing
Estimation and regularization of probability density functions in image processing
A Study of Implied Risk-Neutral Density Functions in the Norwegian Option Market
Computing f‐divergences and distances of high‐dimensional probability density functions
Modelling the implied probability of stock market movements
Updating the option implied probability of default methodology
Updating the Option Implied Probability of Default Methodology
Modelling the implied probability of stock market movements
Estimation of nonparametric probability density functions with applications to automatic speech recognition
Strict dissipativity analysis for classes of optimal control problems involving probability density functions
Equity option-implied probability of default and equity recovery rate
The economics of options-implied inflation probability density functions
Estimation and regularization of probability density functions in image processing
Estimation and regularization of probability density functions in image processing
A Study of Implied Risk-Neutral Density Functions in the Norwegian Option Market
Computing f‐divergences and distances of high‐dimensional probability density functions
Modelling the implied probability of stock market movements
Updating the option implied probability of default methodology
Updating the Option Implied Probability of Default Methodology
Modelling the implied probability of stock market movements
Estimation of nonparametric probability density functions with applications to automatic speech recognition
Strict dissipativity analysis for classes of optimal control problems involving probability density functions
Equity option-implied probability of default and equity recovery rate
The economics of options-implied inflation probability density functions
Estimation and regularization of probability density functions in image processing
Estimation and regularization of probability density functions in image processing
A Study of Implied Risk-Neutral Density Functions in the Norwegian Option Market
Computing f‐divergences and distances of high‐dimensional probability density functions
Modelling the implied probability of stock market movements
Updating the option implied probability of default methodology
Updating the Option Implied Probability of Default Methodology
Modelling the implied probability of stock market movements
Estimation of nonparametric probability density functions with applications to automatic speech recognition
Strict dissipativity analysis for classes of optimal control problems involving probability density functions