Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153715
Authors: 
de Vincent-Humphreys, Rupert
Puigvert Gutiérrez, Josep Maria
Year of Publication: 
2010
Series/Report no.: 
ECB Working Paper 1281
Abstract: 
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.
Subjects: 
financial
financial market
options
probability density functions
JEL: 
C13
C14
G12
G13
Document Type: 
Working Paper

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