Josep Maria Puigvert Gutierrez

European Central Bank

Kaiserstrasse 29

D-60311 Frankfurt am Main

Germany

SCHOLARLY PAPERS

5

DOWNLOADS

556

CITATIONS

2

Scholarly Papers (5)

1.

Euro Area Banking Sector Integration - Using Hierarchical Cluster Analysis Techniques

ECB Working Paper No. 627
Number of pages: 43 Posted: 01 Jun 2006
Christoffer Kok and Josep Maria Puigvert Gutierrez
European Central Bank (ECB) and European Central Bank
Downloads 231 (106,079)
Citation 1

Abstract:

Financial integration, cluster analysis, banking sector

2.

Clustering Techniques Applied to Outlier Detection of Financial Market Series Using a Moving Window Filtering Algorithm

ECB Working Paper No. 948
Number of pages: 45 Posted: 20 Oct 2008
Josep Maria Puigvert Gutierrez and Josep Fortiana Gregori
European Central Bank and University of Barcelona
Downloads 185 (131,772)

Abstract:

Outliers, financial market, cluster analysis, moving filtering window algorithm

3.

A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions

ECB Working Paper No. 1281
Number of pages: 45 Posted: 04 Jan 2011
Rupert de Vincent-Humphreys and Josep Maria Puigvert Gutierrez
Bank of England and European Central Bank
Downloads 77 (255,530)

Abstract:

financial market, probability density functions, options, financial crisis

4.

Interest Rate Expectations and Uncertainty During ECB Governing Council Days: Evidence From Intraday Implied Densities of 3-Month EURIBOR

ECB Working Paper No. 1391
Number of pages: 40 Posted: 05 Nov 2011
Olivier Vergote and Josep Maria Puigvert Gutierrez
European Central Bank (ECB) and European Central Bank
Downloads 32 (362,938)
Citation 1

Abstract:

risk-neutral probability density functions, option-implied densities, interest rate expecta-tions, central bank communication, intraday analysis, announcement effects, tick data

5.

Getting Real Forecasts, State Price Densities and Risk Premium from Euribor Options

Posted: 22 Nov 2012 Last Revised: 27 Apr 2013
Vesela Ivanova and Josep Maria Puigvert Gutierrez
Goethe University Frankfurt - House of Finance and European Central Bank

Abstract:

Euribor futures, forecast density, interest rate premium, state price densities