Peter M. Lildholdt

Danske Bank

Senior Analyst

Holmens Kanal 2-12

DK-1092 Copenhagen K

Denmark

Bank of England - Monetary Analysis

Threadneedle Street

London EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 43,601

SSRN RANKINGS

Top 43,601

in Total Papers Downloads

1,369

SSRN CITATIONS
Rank 14,842

SSRN RANKINGS

Top 14,842

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, Peter M. Lildholdt and Peter M. Lildholdt
Board of Governors of the Federal Reserve System and Bank of England - Monetary AnalysisDanske Bank
Downloads 342 (112,875)
Citation 20

Abstract:

Loading...

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, Peter M. Lildholdt and Peter M. Lildholdt
Board of Governors of the Federal Reserve System and Bank of England - Monetary AnalysisDanske Bank
Downloads 256 (153,014)
Citation 6

Abstract:

Loading...

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, Peter M. Lildholdt and Steffen Sorensen
Bank of England - Monetary Analysis, Bank of England - Monetary AnalysisDanske Bank and Moody's Investor Services
Downloads 248 (157,962)
Citation 19

Abstract:

Loading...

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, Peter M. Lildholdt, Nikolaos Panigirtzoglou and Chris Peacock
Bank of England - Monetary AnalysisDanske Bank, Queen Mary, University of London and Bank of England - Monetary Analysis
Downloads 175 (217,891)
Citation 13

Abstract:

Loading...

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, Peter M. Lildholdt and Anne Vila
Bank of England - Monetary AnalysisDanske Bank and Bank of England
Downloads 107 (319,016)
Citation 11

Abstract:

Loading...

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, Niels Haldrup, Peter M. Lildholdt and Peter M. Lildholdt
CREATESAarhus University, School of Economics and Management and Bank of England - Monetary AnalysisDanske Bank
Downloads 85 (373,043)
Citation 8

Abstract:

Loading...

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, Niels Haldrup, Peter M. Lildholdt and Peter M. Lildholdt
CREATESAarhus University, School of Economics and Management and Bank of England - Monetary AnalysisDanske Bank
Downloads 14 (719,679)
  • Add to Cart

Abstract:

Loading...

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, Peter M. Lildholdt and Peter M. Lildholdt
Bank of England - Monetary Analysis, Bank of England and Bank of England - Monetary AnalysisDanske Bank
Downloads 88 (361,809)
Citation 11

Abstract:

Loading...

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, Niels Haldrup, Peter M. Lildholdt and Peter M. Lildholdt
CREATESAarhus University, School of Economics and Management and Bank of England - Monetary AnalysisDanske Bank
Downloads 54 (469,249)
Citation 5

Abstract:

Loading...

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