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In the time domain people can look at: - regressions of all sorts - ARMA - GARCH - PCA/ICA - cointegration Otherwise, frequency domain and all the entertaining Fourier stuff.

I think his spirit lingers still... He will also live in our hearts forever.

Lots of discussion of this issue here: http://www.nuclearphynance.com/Show%20Post.aspx?PostIDKey=135553 I priced up some high strike structures in yen and they are crazily expensive. It's almost like a bi-modal distribution or a massively fat tail on the high rates side. Maybe it's just...

Well, ideally, you would need to calculate the EURIBOR leg yield as a weighted average of a number of ER contracts (7 at the moment). However, the 4th and/or 5th contract should serve OK as a proxy. You should take the spread, which will give you the EUR version of the 2y TED spread.

You won't be able to observe things moving this fast, IMHO... BTW, I also don't quite understand what this has to do with dispersion.

Just draw a graph of the implied vol of a few options vs either their strike, delta or moneyness.

Firstly, what's the underlying? Secondly, I don't think this is likely to work.

Firstly, it can provide you information about the risk-neutral probability distribution implied by the mkt. Secondly, if you disagree with how skew is priced (e.g. you think puts are too expensive), you can put on a position to express this view (1x2s, ladders etc).

Implied correlation is also periodically used in rates contexts. Not so much in the vanilla world, but more for various CMS options.

But you're looking at prices, rather than yields? It's not really going to work in any intuitive fashion this way... Can you see the schatz yield somehow?

Bond prices go down, rates go up, all else equal, ccy appreciates, by interest rate parity.

achilles, I do see your argument, but I am not sure what you're advocating... If the central bank makes their backstop/insurance explicit, as you seem to suggest, the result would be excessive risk, moral hazard and financial institutions engaging in proper brinkmanship. That, to me, is...

Yes and NNs are of no interest to me, for a variety of reasons... The beauty of simple regression is its intuitiveness. Normally, people are happy to sacrifice some degree of robustness.

Si, signore...

The ATM vol and the price of the 25-delta RR (i.e. the measure of skew) can help you generate the mkt-implied risk-neutral distribution of the value of the underlying. Think of it as helping you generate a fan chart... It's not entirely clear what this has to do with the charts you show...

Yes... If the Fed music stops (or the mkt thinks they can't play forever), the party can come to a sudden and painful halt.

Huh? The question doesn't make sense... The paper suggests that the 25-delta RR is used as a measure of skew (or vol of vol, although I am not sure this is used in the world of equities), rather than the level of vol per se.

I prefer to buy cheap options rather than sell expensive ones, fwiw...

IMHO, the main things that prevented a further spiral after Leh were the MMIFF and the CPFF.

Are you just using the price of a single Euribor contract? Which one?