TY  - UNPD
A1  - Haas, Markus
A1  - Mizrach, Bruce
T1  - Assessing Central Bank credibility during the ERM crises: comparing option and spot market-based forecasts
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2005,09
N2  - 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. JEL Klassifikation: G12, G14, F31.
T3  - CFS working paper series - 2005, 09 
KW  - Options
KW  - Implied Probability Densities
KW  - GARCH
KW  - Fat-tails
KW  - Exchange Rate Mechanism
KW  - Option
KW  - GARCH-Prozess
KW  - Wechselkurs
Y1  - 2005
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4406
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-10865
IS  - This Version: February 2005
ER  -