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.
- Language
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Englisch
- Bibliographic citation
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Series: ECB Working Paper ; No. 1281
- Classification
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Wirtschaft
Estimation: General
Semiparametric and Nonparametric Methods: General
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
- Subject
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financial
financial market
options
probability density functions
- Event
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Geistige Schöpfung
- (who)
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de Vincent-Humphreys, Rupert
Puigvert Gutiérrez, Josep Maria
- Event
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Veröffentlichung
- (who)
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European Central Bank (ECB)
- (where)
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Frankfurt a. M.
- (when)
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2010
- Handle
- Last update
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10.03.2025, 11:46 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- de Vincent-Humphreys, Rupert
- Puigvert Gutiérrez, Josep Maria
- European Central Bank (ECB)
Time of origin
- 2010
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