1. The impact of macroeconomic news sentiment on interest rates. (2024). Offner, Eric A ; Audrino, Francesco.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002254.

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2. The Missing Tail Risk in Option Prices. (2023). Sattiraju, Sai ; Matschke, Johannes ; Melek, Nida Akir ; Brown, Jason.
   In: Research Working Paper.
   RePEc:fip:fedkrw:96072.

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3. On Market?Friendly Central Bankers. (2023). Wu, Sherry X ; Gai, Prasanna.
   In: The Economic Record.
   RePEc:bla:ecorec:v:99:y:2023:i:325:p:238-252.

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4. A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions. (2022). Schurle, Michael ; Paraschiv, Florentina ; Wahlstrom, Ranik Raaen.
   In: Computational Economics.
   RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10113-w.

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5. How arbitrage-free is the Nelson–Siegel model under stochastic volatility?. (2022). Takamizawa, Hideyuki.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:79:y:2022:i:c:p:205-223.

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11. Forecasting value at risk and conditional value at risk using option market data. (2021). Sala, Carlo ; Molino, Annalisa.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:40:y:2021:i:7:p:1190-1213.

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12. The Bureau for Economic Researchs inflation expectations surveys: Know your data. (2021). Reid, Monique ; Siklos, Pierre.
    In: Working Papers.
    RePEc:sza:wpaper:wpapers370.

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13. A robust approach for outlier imputation: Singular Spectrum Decomposition. (2021). Baumeister, Christiane.
    In: Working Papers.
    RePEc:pre:wpaper:202164.

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14. Measuring Market Expectations. (2021). Baumeister, Christiane.
    In: Working Papers.
    RePEc:pre:wpaper:202163.

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15. Monetary Policy Effectiveness under the Ultra-Low Interest Rate Environment: Evidence from Yield Curve Dynamics in Japan. (2021). Shiratsuka, Shigenori.
    In: Keio-IES Discussion Paper Series.
    RePEc:keo:dpaper:2021-012.

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16. What drives household inflation expectations in South Africa? Demographics and anchoring under inflation targeting. (2021). Siklos, Pierre ; Reid, Monique ; du Plessis, Stan.
    In: Economic Systems.
    RePEc:eee:ecosys:v:45:y:2021:i:3:s0939362521000261.

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17. Measuring Market Expectations. (2021). Baumeister, Christiane.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_9305.

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18. Does one (unconventional) size fit all? Effects of the ECBs unconventional monetary policies on the euro area economies. (2021). Pagliari, Maria Sole.
    In: Working papers.
    RePEc:bfr:banfra:829.

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21. Robust estimation of risk‐neutral moments. (2019). Feser, Alexander ; Ammann, Manuel.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:9:p:1137-1166.

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22. Robust Estimation of Risk-Neutral Moments. (2019). Feser, Alexander ; Ammann, Manuel.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2019:02.

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23. Deciphering Monetary Policy Board Minutes with Text Mining: The Case of South Korea. (2019). Park, Ki Young ; Kim, Soohyon ; Lee, Young Joon.
    In: Korean Economic Review.
    RePEc:kea:keappr:ker-20190701-35-2-08.

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24. Option Implied Risk-Neutral Density Estimation: A Robust and Flexible Method. (2019). Tomar, Nutan Kumar ; Kumar, Sumit ; Kundu, Arindam.
    In: Computational Economics.
    RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9846-1.

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25. A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion. (2019). Skiadopoulos, George ; Faccini, Renato ; Sarantopoulou-Chiourea, Sylvia ; Konstantinidi, Eirini.
    In: Management Science.
    RePEc:inm:ormnsc:v:65:y:2019:i:10:p:4927-4949.

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26. The Fisher puzzle, real rate anomaly, and Wicksell effect. (2019). Anari, Ali ; Kolari, James.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:52:y:2019:i:c:p:128-148.

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27. How to intervene in foreign exchange market without buying/selling dollars?. (2018). Pal, Sumantra.
    In: EconStor Preprints.
    RePEc:zbw:esprep:181880.

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28. Deciphering Monetary Policy Committee Minutes with Text Mining Approach: A Case of South Korea. (2018). Young, KI ; Kim, Soohyon ; Lee, Young Joon.
    In: Working papers.
    RePEc:yon:wpaper:2018rwp-132.

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29. A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures. (2018). Li, Yuyi ; Jawadi, Fredj ; Bu, Ruijun.
    In: Working Papers.
    RePEc:liv:livedp:20183.

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30. The Effects of the Bank of Japan fs Corporate and Government Bond Purchases on Credit Spreads. (2018). Ueno, Yoichi ; Suganuma, Kenji.
    In: IMES Discussion Paper Series.
    RePEc:ime:imedps:18-e-04.

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31. State-controlled companies and political risk: Evidence from the 2014 Brazilian election. (2018). guimaraes, bernardo ; Carvalho, Augusto.
    In: Journal of Public Economics.
    RePEc:eee:pubeco:v:159:y:2018:i:c:p:66-78.

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32. Option-implied objective measures of market risk. (2018). Leiss, Matthias ; Nax, Heinrich H.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:88:y:2018:i:c:p:241-249.

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33. Fear of Forward Guidance. (2018). Isakov, Alex ; Gorlinsky, Oleg ; Grishin, Petr.
    In: Russian Journal of Money and Finance.
    RePEc:bkr:journl:v:77:y:2018:i:4:p:84-106.

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35. Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions. (2017). Prigent, Jean-Luc ; Loisel, Stéphane ; Vedani, Julien ; el Karoui, Nicole.
    In: Post-Print.
    RePEc:hal:journl:hal-01242023.

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36. State-controlled companies and political risk: evidence from the 2014 Brazilian election. (2017). guimaraes, bernardo ; Carvalho, Augusto.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:86172.

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37. Generating options-implied probability densities to understand oil market events. (2017). Datta, Deepa Dhume ; Ross, Landon J ; Londono, Juan M.
    In: Energy Economics.
    RePEc:eee:eneeco:v:64:y:2017:i:c:p:440-457.

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38. .

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39. Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions. (2016). Söderlind, Paul ; Pozdeev, Igor ; Mirkov, Nikola.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2016:14.

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40. Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions. (2016). Söderlind, Paul ; Pozdeev, Igor ; Mirkov, Nikola ; Soderlind, Paul .
    In: Working Papers.
    RePEc:snb:snbwpa:2016-10.

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41. Central Bank Communication and Monetary Policy Effectiveness: Evidence from Thailand. (2016). Sethapramote, Yuthana ; Luangaram, Pongsak.
    In: PIER Discussion Papers.
    RePEc:pui:dpaper:20..

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42. Central Bank Communication and Monetary Policy Effectiveness: Evidence from Thailand. (2016). Sethapramote, Yuthana ; Luangaram, Pongsak .
    In: PIER Discussion Papers.
    RePEc:pui:dpaper:20.

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43. State-controlled companies and political risk: evidence from the 2014 Brazilian election. (2016). guimaraes, bernardo ; Guimares, Bernardo ; Carvalho, Augusto.
    In: Textos para discussão.
    RePEc:fgv:eesptd:435.

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44. Unsurprising shocks: information, Premia, and the Monetary Transmission. (2016). Miranda-Agrippino, Silvia.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:86234.

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45. Option-implied probability distributions: How reliable? How jagged?. (2016). Taboga, Marco.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:45:y:2016:i:c:p:453-469.

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46. State-controlled companies and political risk: Evidence from the 2014 Brazilian election. (2016). guimaraes, bernardo ; Carvalho, Augusto.
    In: Discussion Papers.
    RePEc:cfm:wpaper:1702.

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47. Unsurprising Shocks: Information, Premia, and the Monetary Transmission. (2016). Miranda-Agrippino, Silvia.
    In: Discussion Papers.
    RePEc:cfm:wpaper:1613.

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48. Unsurprising shocks: information, premia, and the monetary transmission. (2016). Miranda-Agrippino, Silvia.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0626.

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49. Inflation Expectations and Monetary Policy in Thailand. (2015). Sethapramote, Yuthana ; Luangaram, Pongsak ; Tontivanichnon, Chutiorn .
    In: PIER Discussion Papers.
    RePEc:pui:dpaper:3..

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50. Inflation Expectations and Monetary Policy in Thailand. (2015). Tontivanichanon, Chutiorn ; Sethapramote, Yuthana ; Luangaram, Pongsak .
    In: PIER Discussion Papers.
    RePEc:pui:dpaper:3.

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51. Brent nefti opsiyonlarından neytral riskli ehtimal paylanmasının əldə olunması. (2015). Mammadov, Fuad ; Karimli, Tural ; Huseynov, Salman ; Ahmadov, Vugar.
    In: MPRA Paper.
    RePEc:pra:mprapa:65704.

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52. Nonparametric Estimates of Option Prices Using Superhedging. (2015). Cassese, Gianluca.
    In: Working Papers.
    RePEc:mib:wpaper:293.

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53. Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions. (2015). Prigent, Jean-Luc ; Loisel, Stéphane ; el Karoui, Nicole ; Vedani, Julien .
    In: Working Papers.
    RePEc:hal:wpaper:hal-01242023.

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54. Non Parametric Estimates of Option Prices Using Superhedging. (2015). Cassese, Gianluca.
    In: Papers.
    RePEc:arx:papers:1502.03978.

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55. Forward‐Looking Monetary Policy Rules and Option‐Implied Interest Rate Expectations. (2014). Vähämaa, Sami ; Sihvonen, Jukka ; Vahamaa, Sami.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:34:y:2014:i:4:p:346-373.

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56. Fractional Cointegration Rank Estimation. (2014). Velasco, Carlos ; Łasak, Katarzyna ; Lasak, Katarzyna .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140021.

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57. Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing. (2014). Poon, Ser-Huang ; Vitiello, Luiz.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:17:y:2014:i:2:p:241-259.

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58. The Signalling Channel of Central Bank Interventions: Modelling the Yen/US Dollar Exchange Rate. (2014). Glanemann, Nicole ; Funke, Michael ; Chen, Yu-Fu.
    In: Open Economies Review.
    RePEc:kap:openec:v:25:y:2014:i:2:p:311-336.

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59. Generating Options-Implied Probability Densities to Understand Oil Market Events. (2014). Datta, Deepa Dhume ; Ross, Landon J ; Londono, Juan M..
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:1122.

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60. Inflation and interest rate derivatives for FX risk management: Implications for exporting firms under real wealth. (2014). Koziol, Philipp.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:54:y:2014:i:4:p:459-472.

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61. Anchoring expectations of inflation. (2014). Quinzii, Martine ; Magill, Michael.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:50:y:2014:i:c:p:86-105.

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62. Interest rate forecasts, state price densities and risk premium from Euribor options. (2014). Puigvert Gutierrez, Josep Maria, ; Ivanova, Vesela .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:48:y:2014:i:c:p:210-223.

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63. Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts? Evidence from Intraday Forei. (2013). LI, HAITAO ; Hong, Yongmiao ; Zhao, Feng.
    In: Working Papers.
    RePEc:wyi:wpaper:001959.

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64. Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited. (2013). Kuersteiner, Guido ; Jorda, Oscar ; Angrist, Joshua.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19355.

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65. Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited. (2013). Kuersteiner, Guido ; Jorda, Oscar ; Angrist, Joshua.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2013-24.

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66. Does the euro area forward rate provide accurate forecasts of the short rate?. (2013). Galvão, Ana ; Costa, Sónia ; Galvao, Ana Beatriz.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:29:y:2013:i:1:p:131-141.

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67. Forecasting with Option-Implied Information. (2013). Christoffersen, Peter ; Young, BO ; Jacobs, Kris.
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-581.

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68. Fractional cointegration rank estimation. (2013). Velasco, Carlos ; Łasak, Katarzyna ; Lasak, Katarzyna .
    In: CREATES Research Papers.
    RePEc:aah:create:2013-08.

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69. Effective Use of Survey Information in Estimating the Evolution of Expected Inflation. (2012). Tinsley, P A ; Kozicki, Sharon.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:44:y:2012:i:1:p:145-169.

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70. A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions. (2012). Vincent-Humphreys, Rupert ; Puigvert-Gutierrez, Josep .
    In: Eurasian Economic Review.
    RePEc:spr:eurase:v:2:y:2012:i:1:p:1-31.

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71. Market expectations of the short rate and the term structure of interest rates: a new perspective from the classic model. (2012). Ye, Xiaoxia.
    In: MPRA Paper.
    RePEc:pra:mprapa:41093.

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72. The Signalling Channel of Central Bank Interventions: Modelling the Yen/US Dollar Exchange Rate. (2012). Glanemann, Nicole ; Funke, Michael ; Chen, Yu-Fu.
    In: SIRE Discussion Papers.
    RePEc:edn:sirdps:369.

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73. The 2007 emerging corn price surge revisited – Was it expected or a large surprise?. (2012). Schmitz, Jochen ; von Ledebur, Oliver.
    In: 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil.
    RePEc:ags:iaae12:123971.

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74. Measuring expectations in options markets: an application to the S&P500 index. (2011). Rodriguez, Abel ; Horst, Enrique Ter.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2011:i:9:p:1393-1405.

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75. Market Timing with Option-Implied Distributions: A Forward-Looking Approach. (2011). Skiadopoulos, George ; KOSTAKIS, ALEXANDROS ; Panigirtzoglou, Nikolaos .
    In: Management Science.
    RePEc:inm:ormnsc:v:57:y:2011:i:7:p:1231-1249.

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76. The Signalling Channel of Central Bank Interventions: Modelling the Yen / US Dollar Exchange Rate. (2011). Glanemann, Nicole ; Funke, Michael ; Chen, Yu-Fu.
    In: Quantitative Macroeconomics Working Papers.
    RePEc:ham:qmwops:21110.

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77. How arbitrage-free is the Nelson-Siegel model?. (2011). Coroneo, Laura ; Nyholm, Ken ; Vidova-Koleva, Rositsa .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:3:p:393-407.

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78. The Signalling Channel of Central Bank Interventions: Modelling the Yen/US Dollar Exchange Rate. (2011). Glanemann, Nicole ; Funke, Michael ; Chen, Yu-Fu.
    In: SIRE Discussion Papers.
    RePEc:edn:sirdps:340.

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79. The Signalling Channel of Central Bank Interventions: Modelling the Yen/US Dollar Exchange Rate. (2011). Glanemann, Nicole ; Funke, Michael ; Chen, Yu-Fu.
    In: Dundee Discussion Papers in Economics.
    RePEc:dun:dpaper:260.

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80. The Signalling Channel of Central Bank Interventions: Modelling the Yen / US Dollar Exchange Rate. (2011). Glanemann, Nicole ; Funke, Michael ; Chen, Yu-Fu.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3610.

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81. Giving Flexibility to the Nelson-Siegel Class of Term Structure Models. (2011). De Rezende, Rafael.
    In: Brazilian Review of Finance.
    RePEc:brf:journl:v:9:y:2011:i:1:p:27-49.

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82. Recovering Risk-Neutral Densities from Exchange Rate Options: Evidence in Turkey (Kur Opsiyonlarindan Riske Duyarsiz Yogunluk Fonksiyonu Cikarimi: Turkiye Ornegi). (2010). Özbay Özlü, Pınar ; Değerli, Ahmet ; Aydin, Halil ; Degerli, Ahmet ; Ozlu, Pinar .
    In: Working Papers.
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83. Reaction of Swiss Term Premia to Monetary Policy Surprises. (2010). Söderlind, Paul.
    In: Swiss Journal of Economics and Statistics (SJES).
    RePEc:ses:arsjes:2010-i-17.

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84. State-uncertainty preferences and the risk premium in the exchange rate market. (2010). Novales, Alfonso ; Jimenez-Martin, Juan ; Cinca, Alfonso Novales .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:27:y:2010:i:5:p:1043-1053.

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85. ASSESSING EUROPEAN CENTRAL BANKS CREDIBILITY DURING THE FIRST YEARS OF THE EUROSYSTEM: A BAYESIAN EMPIRICAL INVESTIGATION. (2010). amisano, gianni ; Tronzano, Marco.
    In: Manchester School.
    RePEc:bla:manchs:v:78:y:2010:i:5:p:437-459.

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86. Reaction of Swiss Term Premia to Monetary Policy Surprises. (2009). Söderlind, Paul.
    In: University of St. Gallen Department of Economics working paper series 2009.
    RePEc:usg:dp2009:2009-33.

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87. ISOLATING A MEASURE OF INFLATION EXPECTATIONS FOR THE SOUTH AFRICAN FINANCIAL MARKET USING FORWARD INTEREST RATES. (2009). Reid, Monique.
    In: South African Journal of Economics.
    RePEc:bla:sajeco:v:77:y:2009:i:3:p:399-413.

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88. A Semiparametric Analysis of the Term Structure of the US Interest Rates. (2009). Iacone, Fabrizio.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:71:y:2009:i:4:p:475-490.

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89. Long-horizon yield curve projections: comparison of semi-parametric and parametric approaches. (2008). Nyholm, Ken ; Rebonato, Riccardo.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:18:y:2008:i:20:p:1597-1611.

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90. An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model. (2008). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, .
    In: NBER Working Papers.
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91. Testing the martingale restriction for option implied densities. (2008). Busch, Thomas.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:11:y:2008:i:1:p:61-81.

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92. Valuing foreign currency options with a mean-reverting process: a study of Hong Kong dollar. (2008). Lo, C. F. ; Yeung, V. ; Fung, L. ; Hui, C. H..
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:13:y:2008:i:1:p:118-134.

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93. Monetary policy with signal extraction from the bond market. (2008). Nimark, Kristoffer.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:55:y:2008:i:8:p:1389-1400.

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94. Do interventions in foreign exchange markets modify investors expectations? The experience of Japan between 1992 and 2004. (2008). Morel, Christophe ; Teiletche, Jerome .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:2:p:211-231.

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95. Interest rate option pricing and volatility forecasting: An application to Brazil. (2008). Tabak, Benjamin ; Takami, Marcelo Yoshio.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:38:y:2008:i:3:p:755-763.

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96. Extracting market expectations from yield curves augmented by money market interest rates: the case of Japan. (2008). Baba, Naohiko ; Nagano, Teppei .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2008980.

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97. Do interventions in foreign exchange markets modify investors expectations? The experience of Japan between 1992 and 2004. (2008). Morel, Christophe ; Teiletche, Jerome .
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/12956.

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98. Measuring expectations in options markets: An application to the SP500 index. (2008). ter Horst, Enrique ; Rodriguez, Abel .
    In: Papers.
    RePEc:arx:papers:0901.0033.

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99. A Bayesian Framework for the Expectations Hypothesis. How to Extract Additional Information from the Term Structure of Interest Rates. (2007). Carriero, Andrea.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp591.

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100. A Bayesian Framework for the Expectations Hypothesis. How to Extract Additional Information from the Term Structure of Interest Rates. (2007). Carriero, Andrea.
     In: Working Papers.
     RePEc:qmw:qmwecw:591.

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101. The Forward Premium of Euro Interest Rates. (2007). Galvão, Ana ; Costa, Sónia ; Galvo, Ana Beatriz.
     In: Working Papers.
     RePEc:ptu:wpaper:w200702.

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102. Konstrukce výnosové křivky pomocí vládních dluhopisů v České republice. (2007). Radová, Jarmila ; Malek, Jii ; trba, Filip .
     In: Politická ekonomie.
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103. Imposing No-Arbitrage Conditions In Implied Volatility Surfaces Using Constrained Smoothing Splines. (2007). Laurini, Márcio.
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104. Index options : Pricing, implied densities and returns. (2006). Boes, M. J..
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105. Do emerging financial markets react to monetary policy announcements? Evidence from Poland. (2006). Serwa, Dobromił.
     In: Applied Financial Economics.
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106. Market Reactions to Central Bank Communication Policies :Reading Interest Rate Options Smiles.. (2006). Brière, Marie.
     In: Working Papers CEB.
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107. What are the odds? option-based forecasts of FOMC target changes. (2006). Neely, Christopher ; Lakdawala, Aeimit ; Emmons, William.
     In: Review.
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108. The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market. (2006). Roder, Klaus ; Wilkens, Sascha.
     In: Global Finance Journal.
     RePEc:eee:glofin:v:17:y:2006:i:1:p:50-74.

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109. Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?. (2006). LI, HAITAO ; Hong, Yongmiao ; Egorov, Alexei.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:135:y:2006:i:1-2:p:255-284.

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110. Forecasting the term structure of government bond yields. (2006). Diebold, Francis ; Li, Canlin.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:130:y:2006:i:2:p:337-364.

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111. Monetary policy and rejections of the expectations hypothesis. (2006). Ravenna, Federico ; Seppala, Juha .
     In: Research Discussion Papers.
     RePEc:bof:bofrdp:2006_025.

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112. The Liquidity Premium in the Money Market: A Comparison of the German Mark Period and the Euro Area. (2006). Durre, Alain.
     In: German Economic Review.
     RePEc:bla:germec:v:7:y:2006:i:2:p:163-187.

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113. Survey-Based Estimates of the Term Structure of Expected U.S. Inflation. (2006). Tinsley, Peter ; Kozicki, Sharon.
     In: Staff Working Papers.
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114. Investigating the Relationships between the Yield Curve, Output and Inflation using an Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models. (2005). Krippner, Leo.
     In: Working Papers in Economics.
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115. An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models. (2005). Krippner, Leo.
     In: Working Papers in Economics.
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116. Comparing Density Forecsts via Weighted Likelihood Ratio Tests. (2005). Giacomini, Raffaella ; amisano, gianni.
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117. Extracting expectations from currency option prices: a comparison of methods. (2005). Micu, Marian .
     In: Computing in Economics and Finance 2005.
     RePEc:sce:scecf5:226.

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118. Estimating the Risk Neutral Probability Density Functions Natural Spline versus Hypergeometric Approach Using European Style Options. (2005). Hadri, Kaddour ; Bu, Ruijun.
     In: Research Papers.
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119. Identifying the Interdependence between US Monetary Policy and the Stock Market. (2005). Leitemo, Kai ; Bjørnland, Hilde.
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120. Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB. (2005). Vähämaa, Sami.
     In: Journal of Economics and Business.
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121. Evaluating implied RNDs by some new confidence interval estimation techniques. (2005). Andersson, Magnus ; Lomakka, Magnus.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:29:y:2005:i:6:p:1535-1557.

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122. Risk Neutral Investors Do Not Acquire Information¤. (2005). Muendler, Marc-Andreas.
     In: University of California at San Diego, Economics Working Paper Series.
     RePEc:cdl:ucsdec:qt8fg5g853.

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123. Forecasting with a forward-looking DGE model : combining long-run views of financial markes with macro forecasting. (2005). Mannisto, Hanna-Leena.
     In: Research Discussion Papers.
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124. Identifying the interdependence between US monetary policy and the stock market. (2005). Bjørnland, Hilde ; Bjornland, Hilde C ; Leitemo, Kai .
     In: Research Discussion Papers.
     RePEc:bof:bofrdp:2005_017.

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125. Globalisation and monetary operations in emerging economies. (2005). Hawkins, John .
     In: BIS Papers chapters.
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126. The Nobel Memorial Prize for Robert F. Engle. (2004). Diebold, Francis.
     In: CFS Working Paper Series.
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127. Macroeconomic and policy uncertainty and Exchange rate risk Premium. (2004). Jimenez-Martin, Juan ; Urrea, Rodrigo Peruga .
     In: Documentos de Trabajo del ICAE.
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128. The term structure of real interest rates: theory and evidence from UK index-linked bonds. (2004). Seppala, Juha.
     In: Journal of Monetary Economics.
     RePEc:eee:moneco:v:51:y:2004:i:7:p:1509-1549.

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129. Identifying VARS based on high frequency futures data. (2004). Wright, Jonathan ; Swanson, Eric ; Faust, Jon.
     In: Journal of Monetary Economics.
     RePEc:eee:moneco:v:51:y:2004:i:6:p:1107-1131.

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130. A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options. (2004). Skiadopoulos, George ; Panigirtzoglou, Nikolaos .
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:28:y:2004:i:7:p:1499-1520.

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131. Policy commitment and expectation formation: Japans experience under zero interest rates. (2004). Shiratsuka, Shigenori ; Okina, Kunio .
     In: The North American Journal of Economics and Finance.
     RePEc:eee:ecofin:v:15:y:2004:i:1:p:75-100.

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132. Policy Duration Effect under Zero Interest Rates: An Application of Wavelet Analysis. (2004). Shiratsuka, Shigenori ; Okina, Kunio .
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133. Forward-Looking Information in VAR Models and the Price Puzzle. (2004). Brissimis, Sophocles ; Magginas, Nicholas S..
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134. Forecasting the term structure of government bond yields. (2003). Diebold, Francis ; Li, Canlin.
     In: CFS Working Paper Series.
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135. Consistent Estimation of Pricing Kernels from Noisy Price Data. (2003). Kargin, Vladislav.
     In: Finance.
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136. Modelling the Yield Curve with Orthonormalised Laguerre Polynomials: A Consistent Cross-Sectional and Inter-Temporal Approach. (2003). Krippner, Leo.
     In: Working Papers in Economics.
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137. Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation. (2003). Krippner, Leo.
     In: Working Papers in Economics.
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138. Were the peseta exchange rate crises forecastable during target zone period?. (2003). Campos, Isabel M. ; Jimenez-Ridruejo, Zenon .
     In: Applied Economics.
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139. Forecasting the Term Structure of Government Bond Yields. (2003). Diebold, Francis ; Li, Canlin.
     In: NBER Working Papers.
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140. Estimation of risk-neutral densities using positive convolution approximation. (2003). Bondarenko, Oleg.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:116:y:2003:i:1-2:p:85-112.

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141. Interpreting implied risk-neutral densities: the role of risk premia. (2003). Vestin, David ; Hördahl, Peter ; Hordahl, Peter.
     In: Working Paper Series.
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142. Estimating risk premia in money market rates. (2003). Durré, Alain ; Pilegaard, Rasmus ; Evjen, Snorre ; Durre, Alain.
     In: Working Paper Series.
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143. Consistent Estimation of Pricing Kernels from Noisy Price Data. (2003). Kargin, Vladislav.
     In: Papers.
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144. Forecasting the Term Structure of Government Bond Yields. (2002). Diebold, Francis ; Li, Canlin.
     In: Center for Financial Institutions Working Papers.
     RePEc:wop:pennin:02-34.

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145. Bond Risk Premia. (2002). Piazzesi, Monika ; Cochrane, John.
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146. Identifying vars based on high frequency futures data. (2002). Wright, Jonathan ; Swanson, Eric ; Faust, Jon.
     In: International Finance Discussion Papers.
     RePEc:fip:fedgif:720.

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147. Testing the stability of implied probability density functions. (2002). Panigirtzoglou, Nikolaos ; Bliss, Robert R..
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:26:y:2002:i:2-3:p:381-422.

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148. Is the European Central Bank (and the United States Federal Reserve) predictable?. (2002). Perez Quiros, Gabriel ; Sicilia, Jorge ; Perezquiros, Gabriel .
     In: Working Paper Series.
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149. Estimating Market Probabilities of Future Interest Rate Changes. (2002). Hlusek, Martin.
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150. Distributions Implied by Exchange Traded Options: A Ghost’s Smile?. (2002). Cincibuch, Martin.
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151. Is the European Central Bank (and the United States Federal Reserve) predictable?. (2002). Perez Quiros, Gabriel ; Perezquiros, Gabriel ; Sicilia, Jorge .
     In: Working Papers.
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152. Forecasting inflation via electronic markets: Results from a prototype market. (2001). Berlemann, Michael.
     In: Dresden Discussion Paper Series in Economics.
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153. Working Paper 47. (2001). Perez-Quiros, Gabriel ; Gaspar, Vtor ; Sicilia, Jorge .
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154. The ECB monetary policy strategy and the money market. (2001). Perez Quiros, Gabriel ; Perez-Quiros, Gabriel ; Gaspar, Vitor ; Sicilia, Jorge .
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155. Extracting Risk-Neutral Probability Distributions from Option Prices Using Trading Volume as a Filter. (2001). Dupont, Dominique Y..
     In: Economics Series.
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156. What Have We Learned from Empirical Tests of the Monetary Transmission Effect. (2001). Norrbin, Stefan.
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157. CHANGING TIDES FOR THE WELFARE STATE. (2001). Lindbeck, Assar.
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158. Central banking and the economics of information. (2001). Green, Edward.
     In: Economic Perspectives.
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159. Reading PIBOR futures options smiles: The 1997 snap election. (2001). Rockinger, Michael ; Jondeau, Eric ; Coutant, Sophie .
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:25:y:2001:i:11:p:1957-1987.

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160. Does Macroeconomics Help Us To Understand the Term Structure of Interest Rates?. (2001). Favero, Carlo.
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161. Heterogeneous Expectations, Currency Options and the Euro / Dollar Exchange Rate. (2001). Rzepkowski, Bronka .
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162. Interest rate spreads implicit in options: Spain and Italy against Germany. (2000). Adao, Bernardino ; Luis, Jorge Barros .
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163. The Estimation of Risk Premium Implicit in Oil Prices. (2000). Luis, Jorge Barros .
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164. Information on inflation expectations contained in the prices of financial assets. (2000). Monteiro, Jose ; Maria de Fatima Silva, .
     In: Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies.
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165. Uncovering financial markets beliefs about inflation targets. (2000). Ruge-Murcia, Francisco.
     In: Journal of Applied Econometrics.
     RePEc:jae:japmet:v:15:y:2000:i:5:p:483-512.

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166. Five Fallacies in the Social Security Debate. (2000). Persson, Mats.
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167. Pensions and Contemporary Socioeconomic Change. (2000). Lindbeck, Assar.
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168. The first Year of the Eurosystem: Inflation Targeting or Not?. (2000). Svensson, Lars.
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169. Were the Peseta Exchange Rate Crises Forecastable During Target Zone Period?. (2000). Campos, Isabel M. ; Zenón Jiménez-Ridruejo, .
     In: Working Papers on International Economics and Finance.
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170. Crises and Credibility in a Target Zone: A Logit From a Markov-Switching Model. (2000). Rodríguez, María Araceli ; Campos, Isabel M. ; M. Araceli Rodríguez, .
     In: Working Papers on International Economics and Finance.
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171. Reading the smile: the message conveyed by methods which infer risk neutral densities. (2000). Rockinger, Michael ; Jondeau, Eric.
     In: Journal of International Money and Finance.
     RePEc:eee:jimfin:v:19:y:2000:i:6:p:885-915.

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172. Towards a global financial architecture: capital mobility and risk management issues. (2000). Christoffersen, Peter ; Errunza, Vihang.
     In: Emerging Markets Review.
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173. Extracting information from asset prices: The methodology of EMU calculators. (2000). Tabellini, Guido ; Iacone, Fabrizio ; Giavazzi, Francesco ; Favero, Carlo.
     In: European Economic Review.
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174. Econometric specification of the risk neutral valuation model. (2000). Monfort, Alain ; gourieroux, christian ; Clement, E..
     In: Journal of Econometrics.
     RePEc:eee:econom:v:94:y:2000:i:1-2:p:117-143.

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175. Density Forecasting: A Survey. (2000). Wallis, Kenneth ; Tay, Anthony S.
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176. The Term Structure of Real Interest Rates: Theory and Evidence from the U.K. Index-Linked Bonds. (2000). Seppala, Juha.
     In: Econometric Society World Congress 2000 Contributed Papers.
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177. Estimating the implied distribution of the future short term interest rate using the Longstaff-Schwartz model. (2000). Hördahl, Peter ; Hordahl, Peter.
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178. The Expectations of Hong Kong Dollar Devaluation and Their Determinants. (2000). Rzepkowski, Bronka .
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179. The term structure of real interest rates : Theory and evidence form UK index-linked bonds. (2000). Seppala, Juha .
     In: Research Discussion Papers.
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180. Testing the stability of implied probability density functions. (2000). Panigirtzoglou, Nikolaos ; Bliss, Robert R.
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181. Were The Peseta Exchange Rate Crises Forecastable During Target Zone Period?. (2000). Jimenez-Ridruejo, Zenon ; Campos, Isabel M..
     In: Working Papers.
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182. Crises and Credibility in a Target Zone: A Logit from a Markov-Switching Model. (2000). Rodríguez, María Araceli ; Campos, Isabel M. ; Rodriguez, Araceli M..
     In: Working Papers.
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183. Censured Exchange Rates in a Discrete Time Target Zones Model: The Spanish Peseta/Deutsche Mark Case. (1999). Campos, Isabel M. ; Jimenez-Ridruejo, Zenon ; Herrera, Julio.
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184. Forecasting French and German long-term rates using a rational expectations model. (1999). Sedillot, Franck ; Jondeau, Eric.
     In: Review of World Economics (Weltwirtschaftliches Archiv).
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185. Twenty-five years of post-Bretton Woods experience: some lessons. (1999). Askari, Hossein.
     In: Banca Nazionale del Lavoro Quarterly Review.
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186. Twenty-five years of post-Bretton Woods experience: some lessons. (1999). Askari, Hossein.
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187. Financial Markets Assessment of EMU. (1999). Bates, David S..
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188. Predicting monetary policy using federal funds future prices. (1999). Söderström, Ulf.
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189. The ICT Revolution in Consumer Product Markets. (1999). Lindbeck, Assar ; Wikstrom, Solveig .
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190. Extracting market expectations from option prices: case studies in Japanese option markets. (1999). Shiratsuka, Shigenori ; Nakamura, Hisashi .
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191. Information from financial markets and VAR measures of monetary policy. (1999). Favero, Carlo ; Bagliano, Fabio.
     In: European Economic Review.
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192. Financial markets assessments of EMU : A comment. (1999). Favero, Carlo.
     In: Carnegie-Rochester Conference Series on Public Policy.
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193. Financial markets assessments of EMU. (1999). Bates, David S..
     In: Carnegie-Rochester Conference Series on Public Policy.
     RePEc:eee:crcspp:v:51:y:1999:i::p:229-269.

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194. The Information Content of Interest Rate Futures Options. (1999). Mc Manus, Des, .
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195. Yield Curve Modelling at the Bank of Canada. (1999). Bolder, David ; Streliski, David.
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197. Central bank policy in a more perfect financial system. (1998). von Hagen, Juergen ; Fender, Ingo.
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198. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange. (1998). Tay, Anthony S ; Hahn, Jinyong ; Diebold, Francis.
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199. Information on expectations about the escudo convergence from the volatility implied in currency options. (1998). Adao, Bernardino ; Ado, Bernardino ; Cassola, Nuno ; Luis, Jorge Barros .
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200. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange. (1998). Tay, Anthony S ; Hahn, Jinyong ; Diebold, Francis.
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201. Central Bank Policy in a More Perfect Financial System. (1998). von Hagen, Juergen ; Fender, Ingo.
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202. The Robustness and Efficiency of Monetary Policy Rules as Guidelines for Interest Rate Setting by the European Central Bank. (1998). Taylor, John.
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203. International Experiences With Different Monetary Policy Regimes. (1998). Mishkin, Frederic.
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204. Swedish Lessons for Post-Socialist Countries. (1998). Lindbeck, Assar.
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205. Interbank interest rates as term structure indicators. (1998). Malz, Allan M..
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206. Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral. (1998). Rockinger, Michael ; Jondeau, Eric.
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207. Evaluating Density Forecasts. (1997). Tay, Anthony S ; Diebold, Francis ; Gunther, Todd A..
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208. Extracting information from options premia: the case of the return of the Italian lira to the ERM of the EMS. (1997). Adao, Bernardino ; Ado, Bernardino ; Cassola, Nuno ; Luis, Jorge Barros .
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209. Evaluating Density Forecasts. (1997). Tay, Anthony S ; Diebold, Francis ; Gunther, Todd A..
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210. Derivatives regulation: Implications for central banks. (1997). Hentschel, Ludger ; Smith, Clifford Jr., .
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211. Information from financial markets and VAR measures of monetary policy. (). Favero, Carlo ; Bagliano, Fabio.
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212. Extracting Information from Asset Prices: the Methodology of EMU Calculators. (). Tabellini, Guido ; Iacone, Fabrizio ; Giavazzi, Francesco ; Favero, Carlo.
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1. Pricing the Bund term structure with linear regressions – without an observable short rate. (2023). Speck, Christian.
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2. Currency Carry Trade Regimes: Beyond the Fama Regression. (2009). Clarida, Richard ; Davis, Josh ; Pedersen, Niels .
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3. Crash Risk in Currency Markets. (2009). Verdelhan, Adrien ; Ranciere, Romain ; Gabaix, Xavier ; Farhi, Emmanuel ; Fraiberger, Samuel Paul .
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4. International Asset Markets and Real Exchange Rate Volatility. (2008). Bodenstein, Martin.
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5. Common Risk Factors in Currency Markets. (2008). Verdelhan, Adrien ; Roussanov, Nikolai ; Lustig, Hanno.
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6. International Asset Markets and Real Exchange Rate Volatility. (2008). Bodenstein, Martin.
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7. A Joint Characterization of German Monetary Policy and the Dynamics of the German Term Structure of Interest Rates. (2008). Fendel, Ralf.
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8. Stochastic Discount Factor Approach to International Risk-Sharing:A Robustness Check of the Bilateral Setting. (2007). Kool, Clemens ; Hadzi-Vaskov, Metodij ; Clemens J. M. Kool, .
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9. Stochastic Discount Factor Approach to International Risk-Sharing: Evidence from Fixed Exchange Rate Episodes. (2007). Kool, Clemens ; Hadzi-Vaskov, Metodij ; Clemens J. M. Kool, .
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10. The Forward Market in Emerging Currencies: Less Biased Than in Major Currencies. (2006). Frankel, Jeffrey ; Poonawala, Jumana .
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11. A Study of Inaction in Investment Games via the Early Exercise Premium Representation. (2006). Ruffino, Doriana ; Treussard, Jonathan .
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12. Affine term structure models for the foreign exchange risk premium. (2006). Benati, Luca.
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13. The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk.. (2006). Verdelhan, Adrien ; Lustig, Hanno.
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14. Unbalanced Cointegration. (2005). Hualde, Javier.
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15. Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets. (2005). Wu, Shu.
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16. The Exchange Rate and Purchasing Power Parity in Arbitrage-Free Models of Asset Pricing. (2005). Sercu, P.
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17. Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution (joint with Adrien Verdelhan, BU, forthcoming in Papers and Proceedings JEEA). (2005). Lustig, Hanno.
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18. Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates. (2004). Fendel, Ralf.
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19. The Forward Premium Puzzle in a Model of Imperfect Information: Theory and Evidence. (2004). Albuquerque, Rui.
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20. Exchange rate volatility and international trade: A general-equilibrium analysis. (2003). Uppal, Raman ; Sercu, Piet.
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21. Exchange Rate Puzzles and Distorted Beleifs (June 2003), with Pierre-Olivier Gourinchas. (2003). Tornell, Aaron.
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22. Asset Pricing with Observable Stochastic Discount Factors.. (2002). Wickens, Michael ; Smith, Peter.
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23. Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans. (2002). Sorensen, Carsten ; Richter, Martin .
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24. Stochastic Discount Factor Approach to International Risk-Sharing: A Trilateral Framework. (2002). Kool, Clemens ; Clemens J. M. Kool, ; Hadzi-Vaskov, Metodij .
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25. The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests. (2002). Uppal, Raman ; Sercu, Piet ; Apte, Prakesh.
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26. Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets. (2001). Santa-Clara, Pedro ; Brandt, Michael W..
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27. Term structure views of monetary policy under alternative models of agent expectations. (2001). Tinsley, Peter ; Kozicki, Sharon.
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28. The Foreign Exchange Risk Premium: Real and Nominal Factors. (2001). Hollifield, Burton ; Yaron, Amir.
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29. Gain, Loss, and Asset Pricing. (2000). Ledoit, Olivier ; Bernardo, Antonio E..
    In: Journal of Political Economy.
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30. Endogeneity in European money demand. (2000). de Vries, Casper ; Arnold, Ivo.
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31. The forward premium anomaly is not as bad as you think. (2000). Bollerslev, Tim ; Baillie, Richard.
    In: Journal of International Money and Finance.
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32. The forward premium puzzle: different tales from developed and emerging economies. (2000). Bansal, Ravi ; Dahlquist, Magnus.
    In: Journal of International Economics.
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33. The Potential Approach to Bond and Currency Pricing. (1999). Wu, Liuren ; Leippold, Markus.
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34. The Exchange Rate and the Term Structure of Interest Rates in Mexico. (1999). Ogaki, Masao ; Santaella, Julio .
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35. Endogenous term premia and anomalies in the term structure of interest rates: Explaining the predictability smile. (1999). Whiteman, Charles ; Roberds, William.
    In: Journal of Monetary Economics.
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36. Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets. (1999). Remolona, Eli ; Fung, Ben.
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37. Discrete-Time Models of Bond Pricing. (1998). Telmer, Chris ; Backus, David ; Foresi, Silverio .
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38. Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange Rate Market. (1998). Ito, Takatoshi ; Elliott, Graham.
    In: University of California at San Diego, Economics Working Paper Series.
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39. Specification Analysis of Affine Term Structure Models. (1997). Singleton, Kenneth ; Dai, Qiang.
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40. New Techniques to Extract Market Expectations from Financial Instruments. (1997). Svensson, Lars ; Söderlind, Paul.
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41. New techniques to extract market expectations from financial instruments. (1997). Svensson, Lars ; Söderlind, Paul.
    In: Journal of Monetary Economics.
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