Kyriakos Chourdakis

Nomura International Plc

1 Angel Lane

London, EC4R 3AB

United Kingdom

SCHOLARLY PAPERS

1

DOWNLOADS

110

CITATIONS

0

Scholarly Papers (1)

1.

Are Regime Shift Risks Priced in Asset Markets?

Number of pages: 37 Posted: 29 Jan 2011
Kyriakos Chourdakis, Yiannis Dendramis and Elias Tzavalis
Nomura International Plc, University of Cyprus - Department of Accounting and Finance and Athens University of Economics and Business - Department of Economics
Downloads 102 (198,049)

Abstract:

European call prices, market regime shifts, Markov regime switching model, implied volatility, occupation time, price of risk