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Market Expectations in the UK Before and After the ERM Crisis
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Market Expectations in the UK Before and After the ERM Crisis (1999)Market Expectations in the UK Before and …Financial Market Analysis (1999)Financial Market AnalysisRecovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis (1997)Recovering an Asset's Implied…New Techniques to Extract Market Expectations from Financial Instruments (1997)New Techniques to Extract Mar…Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark (1996)Using option prices to estima…Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP (1996)Erratum: The likelihood ratio…Arbitrage-Based Tests of Target Zone Credibility: Evidence from ERM Cross-Rate Options (1995)Arbitrage-Based Tests of Targ…On the Expectations View of the Term Structure, Term Premia and Survey- Based Expectations (1994)On the Expectations View of t…Pricing interest rate futures options with futures‐style margining (1993)Pricing interest rate futures…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.CALL OPTION VALUATION FOR DISCRETE NORMAL MIXTURES (1990)CALL OPTION VALUATION FOR DIS…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…The valuation of options for alternative stochastic processes (1976)The valuation of options for …The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of Rational Option Pricing (1973)Reading the smile: the message conveyed by methods which infer risk neutral densities (2000)Option-Implied Risk-Neutral Distributions and Risk Aversion (2004)Theory of rational option pricing (2005)Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options (2007)Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Stock market volatility and the business cycle (1996)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The pricing of commodity contracts (1976)Recovering Risk Aversion from Option Prices and Realized Returns (1996)Density forecasting: a survey (2000)Testing the stability of implied probability density functions (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Option pricing when underlying stock returns are discontinuous (1976)The Pricing of Options on Assets with Stochastic Volatilities (1987)LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES (2002)Closed-form transformations from risk-neutral to real-world distributions (2007)Does it Matter What Type of Pension Scheme You Have? (2000)Market integration and market efficiency: The case of 19th century Italy (2006)How much do we know about market integration in Europe?1 (2011)An options-based analysis of emerging market exchange rate expectations: Brazil's Real Plan, 1994–1999 (2002)Redenomination Risk (2018)The Two-Pillar Policy for the RMB (2019)Estimating the Probability Distribution of the Future Exchange Rate from Option Prices (1997)
this work references cited by second hop

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1996Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP645 cited
  • 1997Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis380 cited
  • 1997New Techniques to Extract Market Expectations from Financial Instruments233 cited
  • 1990CALL OPTION VALUATION FOR DISCRETE NORMAL MIXTURES168 cited
  • 1999Financial Market Analysis166 cited
  • 1996Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark135 cited
  • 1995Arbitrage-Based Tests of Target Zone Credibility: Evidence from ERM Cross-Rate Options56 cited
  • 1993Pricing interest rate futures options with futures‐style margining49 cited
  • 1994On the Expectations View of the Term Structure, Term Premia and Survey- Based Expectations33 cited

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