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Results for implied volatility surfaces

Publications & Outputs

  1. Predictability in implied volatility surfaces: evidence from the Euro OTC FX market

    Chalamandaris, G. & Tsekrekos, A., 2014, In : European Journal of Finance. 20, 1, p. 33-58 26 p.

    Research output: Contribution to journalJournal article

  2. Explanatory factors and causality in the dynamics of volatility surfaces implied from OTC Asian–Pacific currency options

    Chalamandaris, G. & Tsekrekos, A., 03/2013, In : Computational Economics. 41, 3, p. 327-358 42 p.

    Research output: Contribution to journalJournal article

  3. How important is the term structure in implied volatility modelling: evidence from foreign exchange options

    Chalamandaris, G. & Tsekrekos, A., 06/2011, In : Journal of International Money and Finance. 30, 4, p. 623-640 18 p.

    Research output: Contribution to journalJournal article

  4. Predictable dynamics in implied volatility surfaces from OTC currency options

    Chalamandaris, G. & Tsekrekos, A., 06/2010, In : Journal of Banking and Finance. 34, 6, p. 1175-1188 14 p.

    Research output: Contribution to journalJournal article

  5. Common factors and causality in the dynamics of implied volatility surfaces: evidence from the FX OTC market

    Chalamandaris, G. & Tsekrekos, A., 06/2009, In : Journal of Economic Asymmetries. 6, 1, p. 49-74 26 p.

    Research output: Contribution to journalJournal article