Peter M. Lildholdt

Bank of England - Monetary Analysis

Threadneedle Street

London EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

8

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1,352

SSRN CITATIONS
Rank 14,353

SSRN RANKINGS

Top 14,353

in Total Papers Citations

13

CROSSREF CITATIONS

65

Scholarly Papers (8)

1.

Return-Based and Range-Based (Co)Variance Estimation - with an Application to Foreign Exchange Markets

Number of pages: 48 Posted: 14 Jan 2002
Celso Brunetti and Peter M. Lildholdt
Board of Governors of the Federal Reserve System and Bank of England - Monetary Analysis
Downloads 338 (104,652)
Citation 17

Abstract:

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Co-range, foreign exchange rates, price range, high and low prices, covariance estimation, volatility dynamics

2.

Time Series Modelling of Daily Log-Price Ranges for Sf/Usd and Usd/Gbp

Number of pages: 35 Posted: 23 Jul 2002
Celso Brunetti and Peter M. Lildholdt
Board of Governors of the Federal Reserve System and Bank of England - Monetary Analysis
Downloads 256 (140,146)
Citation 6

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Daily Price Range, Foreign Exchange Rate Volatility, Persistency, CARR, FICARR

3.

Extracting Inflation Expectations and Inflation Risk Premia from the Term Structure: A Joint Model of the UK Nominal and Real Yield Curves

Bank of England Working Paper No. 360
Number of pages: 48 Posted: 17 Feb 2009
Michael Joyce, Peter M. Lildholdt and Steffen Sorensen
Bank of England - Monetary Analysis, Bank of England - Monetary Analysis and Moody's Investor Services
Downloads 243 (147,500)
Citation 16

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Inflation expectations, inflation risk premia, affine term structure model

4.

An Affine Macro-Factor Model of the UK Yield Curve

Bank of England Working Paper No. 322
Number of pages: 47 Posted: 29 Aug 2007
Peter M. Lildholdt, Nikolaos Panigirtzoglou and Chris Peacock
Bank of England - Monetary Analysis, Queen Mary, University of London and Bank of England - Monetary Analysis
Downloads 174 (200,937)
Citation 13

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Term structure models, factor models, interest rates, risk premium

5.

Anticipation of Monetary Policy in UK Financial Markets

Bank of England Working Paper No. 241
Number of pages: 54 Posted: 22 Feb 2005
Peter M. Lildholdt and Anne Vila
Bank of England - Monetary Analysis and Bank of England
Downloads 105 (297,830)
Citation 10

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On the Robustness of Unit Root Tests in the Presence of Double Unit Roots

UCSD Department of Econ. Discussion Paper No. 2000-13
Number of pages: 21 Posted: 27 Dec 2000
Niels Haldrup and Peter M. Lildholdt
Aarhus University, School of Economics and Management and Bank of England - Monetary Analysis
Downloads 80 (357,000)
Citation 8

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Unit Root Tests, Dickey-Fuller Test, Phillips-Perron Test, I(1) versus I(2)

On the Robustness of Unit Root Tests in the Presence of Double Unit Roots

Number of pages: 17 Posted: 18 Nov 2002
Niels Haldrup and Peter M. Lildholdt
Aarhus University, School of Economics and Management and Bank of England - Monetary Analysis
Downloads 14 (667,785)
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7.

Understanding the Real Rate Conundrum: An Application of No-Arbitrage Finance Models to the UK Real Yield Curve

Bank of England Working Paper No. 358
Number of pages: 46 Posted: 23 Dec 2008
Michael Joyce, Iryna Kaminska and Peter M. Lildholdt
Bank of England - Monetary Analysis, Bank of England and Bank of England - Monetary Analysis
Downloads 88 (333,824)
Citation 11

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Yield curve, term premia, conundrum

8.

Local Power Functions of Tests for Double Unit Roots

UCSD Economics Discussion Paper No. 2000-12
Number of pages: 33 Posted: 01 Dec 2000
Niels Haldrup and Peter M. Lildholdt
Aarhus University, School of Economics and Management and Bank of England - Monetary Analysis
Downloads 54 (433,762)
Citation 5

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Asymptotic Local Power Function, Brownian Motion, Ornstein-Uhlenbeck Process