Details about George Chalamandaris

Access statistics for papers by George Chalamandaris.

Last updated 2020-02-13. Update your information in the RePEc Author Service.

Short-id: pch1065

Journal Articles

2019

1. Limits to arbitrage and CDS–bond dynamics around the financial crisis
   Journal of Empirical Finance, 2019, 54, (C), 213-235

2018

2. Are financial ratios relevant for trading credit risk? Evidence from the CDS market
   Annals of Operations Research, 2018, 266, (1), 395-440 View citations (6)

2014

3. Predictability in implied volatility surfaces: evidence from the Euro OTC FX market
   The European Journal of Finance, 2014, 20, (1), 33-58 View citations (6)

2013

4. Explanatory Factors and Causality in the Dynamics of Volatility Surfaces Implied from OTC Asian–Pacific Currency Options
   Computational Economics, 2013, 41, (3), 327-358 View citations (2)

2012

5. Exploring the role of the realized return distribution in the formation of the implied volatility smile
   Journal of Banking & Finance, 2012, 36, (4), 1028-1044 View citations (5)

2011

6. How important is the term structure in implied volatility surface modeling? Evidence from foreign exchange options
   Journal of International Money and Finance, 2011, 30, (4), 623-640 View citations (19)

2010

7. Predictable dynamics in implied volatility surfaces from OTC currency options
   Journal of Banking & Finance, 2010, 34, (6), 1175-1188 View citations (22)
8. The correlation structure of FX option markets before and since the financial crisis
   Applied Financial Economics, 2010, 20, (1-2), 73-84 View citations (3)

2009

9. Common Factors and Causality in the Dynamics of Implied Volatility Surfaces: Evidence from the FX OTC Market
   The Journal of Economic Asymmetries, 2009, 6, (1), 49-74 View citations (2)