Matthew Hurd

Bank of England - Monetary Analysis

Threadneedle Street

London EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS
Rank 45,779

SSRN RANKINGS

Top 45,779

in Total Papers Downloads

1,241

SSRN CITATIONS
Rank 46,208

SSRN RANKINGS

Top 46,208

in Total Papers Citations

0

CROSSREF CITATIONS

15

Scholarly Papers (2)

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 891 (33,161)

Abstract:

Loading...

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 324 (116,311)
Citation 13

Abstract:

Loading...

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 (613,561)
  • Add to Cart

Abstract:

Loading...

Exchange rates, copulae, option implied pdfs, triangular arbitrage