Central Bank Research Hub - JEL classification G13: Contingent Pricing; Futures Pricing

Title Author(s)

Exchange Rate Changes and Net Positions of Speculators in the Futures Market

New York Fed Economic policy review [View] (Paper: 0405klit, 01.06.2004)

JEL: F31, G13, G15

The Yield Curve, Recessions, and the Credibility of the Monetary Regime: Long-run Evidence, 1875-1997

Cleveland Fed Working papers [View] (Paper: 0402, 07.05.2004)

JEL: E43, E44, E52, G13

The Empirical Performance of Option-Based Densities of Foreign Exchange

Cleveland Fed Working papers [View] (Paper: 0313, 14.04.2004)

JEL: G13, G15

The Forecasting Performance of German Stock Option Densities

Cleveland Fed Working papers [View] (Paper: 0312, 14.04.2004)

JEL: C22, C52, G13, G15

Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB

European Central Bank Working papers [View] (Paper: 0315, 13.04.2004)

JEL: E44, E52, G10, G13

Counterparty Credit Risk in Interest Rate Swaps during Times of Market Stress

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2003-9, 06.06.2003)

JEL: G12, G13

Modelling the implied probability of stock market movements

European Central Bank Working papers [View] (Paper: 0212, 02.04.2003)

JEL: C22, C51, G13, G15

Time variation in the tail behaviour of bunds futures returns

European Central Bank Working papers [View] (Paper: 0199, 02.04.2003)

JEL: C14, G13

The functional form of yield curves

European Central Bank Working papers [View] (Paper: 0148, 02.04.2003)

JEL: G10, G12, G13

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