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- W4244506918 abstract "Financial markets embed expectations of central bank policy into asset prices. This paper compares two approaches that extract a probability density of market beliefs. The first is a simulated moments estimator for option volatilities described in [Mizrach, B., 2002. When Did the Smart Money in Enron Lose Its’ Smirk? Rutgers University Working Paper #2002-24]; the second is a new approach developed by [Haas, M., Mittnik, S., Paolella, M.S., 2004a. Mixed normal conditional heteroskedasticity, J. Financial Econ. 2, 211–250] for fat-tailed conditionally heteroskedastic time series. In an application to the 1992–1993 European Exchange Rate Mechanism crises, we find that both the options and the underlying exchange rates provide useful information for policy makers." @default.
- W4244506918 created "2022-05-12" @default.
- W4244506918 date "1992-04-01" @default.
- W4244506918 modified "2023-09-26" @default.
- W4244506918 title "Author index" @default.
- W4244506918 doi "https://doi.org/10.1016/0165-1765(92)90040-6" @default.
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