Matthew Hurd

Bank of England - Monetary Analysis

Threadneedle Street

London EC2R 8AH

United Kingdom

  • Bank of England - Monetary Analysis

SCHOLARLY PAPERS

2

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1,434

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15

Scholarly Papers (2)

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1.

New Information from Inflation Swaps and Index-Linked Bonds

Quarterly Bulletin, Spring 2006
Number of pages: 11 Posted: 21 Mar 2006
Matthew Hurd
Bank of England - Monetary Analysis
Downloads 1,001 (46,171)
Citation 2

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2.

Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index

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Citation 13

Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index

Bank of England Working Paper No. 334
Number of pages: 39 Posted: 12 Aug 2005
Matthew Hurd, Mark Salmon and Christoph Schleicher
Bank of England - Monetary Analysis, University of Cambridge - Faculty of Economics and Politics and Bank of England
Downloads 407 (144,043)
Citation 13

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Option-implied distributions, effective exchange rate indices, copula functions, option pricing

Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index

CEPR Discussion Paper No. 5114
Number of pages: 35 Posted: 10 Aug 2005
Matthew Hurd, Mark Salmon and Christoph Schleicher
Bank of England - Monetary Analysis, University of Cambridge - Faculty of Economics and Politics and Bank of England
Downloads 26 (985,297)
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Exchange rates, copulae, option implied pdfs, triangular arbitrage