Euribor is the benchmark rate at which around 18-panel banks lend or borrow from each other. This panel provides daily quotes on these rates rounded to three decimal figures. The lending or borrowing can vary from one week to 12 months. Moreover, it is often structured to maintain banks’...
To evaluate ex ante forecasting performance for particular rates, distinct forecast features, such as mean squared errors, directional accuracy and directional forecast value, are considered. It turns out that, relative to benchmark models, the adaptive approach offers additional forecast accuracy in ...
Our forecast shows that sales prices are likely to remain stable for the foreseeable future. One of the main reasons for this stability is the constant influx of new residents arriving in the country each year. The combination of a safe environment, an attractive tax system, and an exceptional...
Forecast densityInterest rate premiumState price densitiesIn this paper we study option-implied interest rate forecasts and the development of risk premium and state prices in the Euribor futures option market. Using parametric and non-parametric statistical calibration, we transform the risk-neutral ...