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Kyriakos Chourdakis

Personal Details

First Name:Kyriakos
Middle Name:
Last Name:Chourdakis
Suffix:
RePEc Short-ID:pch32
http://www.theponytail.net/

Affiliation

Department of Accountancy and Information Systems
College of Business and Economics
University of Canterbury

Christchurch, New Zealand
http://www.acis.canterbury.ac.nz/

:


RePEc:edi:dfcannz (more details at EDIRC)

Research output

as
Jump to: Working papers

Working papers

  1. Kyriakos Chourdakis, 2002. "Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps," Working Papers 464, Queen Mary University of London, School of Economics and Finance.
  2. Kyriakos Chourdakis, 2000. "Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains," Working Papers 430, Queen Mary University of London, School of Economics and Finance.
  3. Kyriakos Chourdakis & Elias Tzavalis, 2000. "Option Pricing under Discrete Shifts in Stock Returns," Working Papers 426, Queen Mary University of London, School of Economics and Finance.
  4. Kyriakos Chourdakis & Elias Tzavalis, 2000. "Option Pricing with a Dividend General Equilibrium Model," Working Papers 425, Queen Mary University of London, School of Economics and Finance.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Kyriakos Chourdakis, 2002. "Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps," Working Papers 464, Queen Mary University of London, School of Economics and Finance.

    Cited by:

    1. Patrick Assonken & G. S. Ladde, 2015. "Option Pricing With A Levy-Type Stochastic Dynamic Model For Stock Price Process Under Semi-Markovian Structural Perturbations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-72, December.
    2. Lim, Andrew E.B. & Watewai, Thaisiri, 2012. "Optimal investment and consumption when regime transitions cause price shocks," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 551-566.

  2. Kyriakos Chourdakis, 2000. "Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains," Working Papers 430, Queen Mary University of London, School of Economics and Finance.

    Cited by:

    1. Cajueiro, Daniel Oliveira & Yoneyama, Takashi, 2004. "Optimal Portfolio and Consumption in a Switching Diffusion Market," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 24(2), November.
    2. Xie, Shuxiang, 2009. "Continuous-time mean-variance portfolio selection with liability and regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 148-155, August.

  3. Kyriakos Chourdakis & Elias Tzavalis, 2000. "Option Pricing under Discrete Shifts in Stock Returns," Working Papers 426, Queen Mary University of London, School of Economics and Finance.

    Cited by:

    1. René Garcia & Richard Luger & Éric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO.
    2. En-Der Su & Feng-Jeng Lin, 2012. "Two-State Volatility Transition Pricing and Hedging of TXO Options," Computational Economics, Springer;Society for Computational Economics, vol. 39(3), pages 259-287, March.
    3. Andrea Cipollini & Kostas Mouratidis & Nicola Spagnolo, 2008. "Evaluating currency crises: the case of the European monetary system," Empirical Economics, Springer, vol. 35(1), pages 11-27, August.
    4. Wilkens, Sascha & Roder, Klaus, 2006. "The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market," Global Finance Journal, Elsevier, vol. 17(1), pages 50-74, September.
    5. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    6. Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias, 2014. "Are regime-shift sources of risk priced in the market?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 151-170.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FIN: Finance (2) 2001-02-21 2001-02-21
  2. NEP-FMK: Financial Markets (2) 2000-12-19 2000-12-19
  3. NEP-CFN: Corporate Finance (1) 2002-12-02
  4. NEP-ECM: Econometrics (1) 2002-12-10
  5. NEP-ETS: Econometric Time Series (1) 2002-12-02

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