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Original Articles

Did markets expect Italy to join EMU? Evidence from options markets

Pages 481-484 | Published online: 06 Oct 2010

References

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  • Berk , J. M. 1998 . Recovering and using market expectations from options markets: an application to German and Italian interest rates and stage three of EMU , MEB Series 1998-08 Amsterdam : De Nederlandsche Bank .
  • Blinder , A. S. 1997 . What central bankers could learn from academics - and vice versa . Journal of Economic Perspectives , 11 : 3 – 19 .
  • Cox , J. and Ross , S. 1976 . The valuation of options for alternative stochastic processes . Journal of Financial Economics , 3 : 145 – 166 .
  • Das , S. R. and Sundaram , R. K. 1997 . Taming the skew: higher-order moments in modelling asset price processes in finance , Working Paper no 5976 Cambridge, MA : NBER .
  • Söderlind , P. and Svensson , L. E. 1997 . New techniques to extract market expectations from financial instruments , Working Paper no 5877 Cambridge, MA : NBER .

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