Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25418
Authors: 
Haas, Markus
Mittnik, Stefan
Mizrach, Bruce
Year of Publication: 
2005
Series/Report no.: 
CFS Working Paper 2005/09
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 simulatedmoments estimator for option volatilities described in Mizrach (2002); the second is a new approach developed by Haas, Mittnik and Paolella (2004a) for fat-tailed conditionally heteroskedastic time series. In an application to the 1992-93 European Exchange Rate Mechanism crises, that both the options and the underlying exchange rates provide useful information for policy makers.
Subjects: 
Options
Implied Probability Densities
GARCH
Fat-tails
Exchange Rate Mechanism
JEL: 
G12
G14
F31
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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