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This book is a slightly revised version of my doctoral dissertation which has been accepted by the Department of Economics and Business Administration of the Ju
Volatility and Time Series Econometrics
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A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricia
New Techniques to Extract Market Expectations from Financial Instruments
Language: en
Pages: 64
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This paper is a selective survey of new or recent methods to extract information about market expectations from asset prices for monetary policy purposes. Tradi
Options Markets
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Estimating Expectations of Shocks Using Option Prices
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