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George Chalamandaris

Personal Details

First Name:George
Middle Name:
Last Name:Chalamandaris
Suffix:
RePEc Short-ID:pch1065

Affiliation

Department of Accounting and Finance
Athens University of Economics and Business (AUEB)

Athens, Greece
https://www.dept.aueb.gr/loxri
RePEc:edi:dfauegr (more details at EDIRC)

Research output

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Jump to: Articles

Articles

  1. Chalamandaris, George & Pagratis, Spyros, 2019. "Limits to arbitrage and CDS–bond dynamics around the financial crisis," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 213-235.
  2. George Chalamandaris & Nikos E. Vlachogiannakis, 2018. "Are financial ratios relevant for trading credit risk? Evidence from the CDS market," Annals of Operations Research, Springer, vol. 266(1), pages 395-440, July.
  3. Georgios Chalamandaris & Andrianos E. Tsekrekos, 2014. "Predictability in implied volatility surfaces: evidence from the Euro OTC FX market," The European Journal of Finance, Taylor & Francis Journals, vol. 20(1), pages 33-58, January.
  4. Georgios Chalamandaris & Andrianos Tsekrekos, 2013. "Explanatory Factors and Causality in the Dynamics of Volatility Surfaces Implied from OTC Asian–Pacific Currency Options," Computational Economics, Springer;Society for Computational Economics, vol. 41(3), pages 327-358, March.
  5. Chalamandaris, Georgios & Rompolis, Leonidas S., 2012. "Exploring the role of the realized return distribution in the formation of the implied volatility smile," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1028-1044.
  6. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2011. "How important is the term structure in implied volatility surface modeling? Evidence from foreign exchange options," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 623-640, June.
  7. Georgios Chalamandaris & Andrianos Tsekrekos, 2010. "The correlation structure of FX option markets before and since the financial crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 20(1-2), pages 73-84.
  8. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2010. "Predictable dynamics in implied volatility surfaces from OTC currency options," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1175-1188, June.
  9. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2009. "Common Factors and Causality in the Dynamics of Implied Volatility Surfaces: Evidence from the FX OTC Market," The Journal of Economic Asymmetries, Elsevier, vol. 6(1), pages 49-74.
    RePEc:eme:mfipps:v:33:y:2007:i:5:p:292-308 is not listed on IDEAS

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.

Articles

  1. George Chalamandaris & Nikos E. Vlachogiannakis, 2018. "Are financial ratios relevant for trading credit risk? Evidence from the CDS market," Annals of Operations Research, Springer, vol. 266(1), pages 395-440, July.

    Cited by:

    1. Mathieu Mercadier & Jean-Pierre Lardy, 2019. "Credit spread approximation and improvement using random forest regression," Post-Print hal-03241566, HAL.
    2. Pranith Kumar Roy & Krishnendu Shaw & Alessio Ishizaka, 2023. "Developing an integrated fuzzy credit rating system for SMEs using fuzzy-BWM and fuzzy-TOPSIS-Sort-C," Annals of Operations Research, Springer, vol. 325(2), pages 1197-1229, June.
    3. Nidhaleddine Ben Cheikh & Oussama Ben Hmiden & Younes Ben Zaied & Sabri Boubaker, 2021. "Do sovereign credit ratings matter for corporate credit ratings?," Annals of Operations Research, Springer, vol. 297(1), pages 77-114, February.
    4. De Beule, Filip & Elia, Stefano & Garcia-Bernardo, Javier & Heemskerk, Eelke M. & Jaklič, Andreja & Takes, Frank W. & Zdziarski, Michal, 2022. "Proximity at a distance: The relationship between foreign subsidiary co-location and MNC headquarters board interlock formation," International Business Review, Elsevier, vol. 31(4).

  2. Georgios Chalamandaris & Andrianos E. Tsekrekos, 2014. "Predictability in implied volatility surfaces: evidence from the Euro OTC FX market," The European Journal of Finance, Taylor & Francis Journals, vol. 20(1), pages 33-58, January.

    Cited by:

    1. Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
    2. Sudarshan Kumar & Sobhesh Kumar Agarwalla & Jayanth R. Varma & Vineet Virmani, 2023. "Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1615-1644, November.
    3. Cao, Yi & Liu, Xiaoquan & Zhai, Jia, 2021. "Option valuation under no-arbitrage constraints with neural networks," European Journal of Operational Research, Elsevier, vol. 293(1), pages 361-374.
    4. Connor J.A. Stuart & Sebastian A. Gehricke & Jin E. Zhang & Xinfeng Ruan, 2021. "Implied volatility smirk in the Australian dollar market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4573-4599, September.

  3. Georgios Chalamandaris & Andrianos Tsekrekos, 2013. "Explanatory Factors and Causality in the Dynamics of Volatility Surfaces Implied from OTC Asian–Pacific Currency Options," Computational Economics, Springer;Society for Computational Economics, vol. 41(3), pages 327-358, March.

    Cited by:

    1. Connor J.A. Stuart & Sebastian A. Gehricke & Jin E. Zhang & Xinfeng Ruan, 2021. "Implied volatility smirk in the Australian dollar market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4573-4599, September.
    2. Da Fonseca, José & Gottschalk, Katrin, 2014. "Cross-hedging strategies between CDS spreads and option volatility during crises," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 386-400.

  4. Chalamandaris, Georgios & Rompolis, Leonidas S., 2012. "Exploring the role of the realized return distribution in the formation of the implied volatility smile," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1028-1044.

    Cited by:

    1. Bernales, Alejandro & Guidolin, Massimo, 2014. "Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 326-342.
    2. Jarno Talponen, 2018. "Matching distributions: Recovery of implied physical densities from option prices," Papers 1803.03996, arXiv.org.
    3. silvia Muzzioli & Alessio Ruggieri, 2013. "Option Implied Trees and Implied Moments," Department of Economics (DEMB) 0015, University of Modena and Reggio Emilia, Department of Economics "Marco Biagi".
    4. Liu, Yi-Fang & Zhang, Wei & Xu, Hai-Chuan, 2014. "Collective behavior and options volatility smile: An agent-based explanation," Economic Modelling, Elsevier, vol. 39(C), pages 232-239.

  5. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2011. "How important is the term structure in implied volatility surface modeling? Evidence from foreign exchange options," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 623-640, June.

    Cited by:

    1. Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
    2. Chen, Ying & Han, Qian & Niu, Linlin, 2018. "Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method," IRTG 1792 Discussion Papers 2018-046, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    3. Shang, Han Lin & Kearney, Fearghal, 2022. "Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1025-1049.
    4. Guo, Biao & Han, Qian & Lin, Hai, 2015. "Forecasting the Term Structure of Implied Volatilities," Working Paper Series 20148, Victoria University of Wellington, School of Economics and Finance.
    5. Sudarshan Kumar & Sobhesh Kumar Agarwalla & Jayanth R. Varma & Vineet Virmani, 2023. "Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1615-1644, November.
    6. Anagnostopoulou, Seraina C. & Tsekrekos, Andrianos E., 2017. "Accounting quality, information risk and the term structure of implied volatility around earnings announcements," Research in International Business and Finance, Elsevier, vol. 41(C), pages 445-460.
    7. Markus Vogl, 2022. "Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019)," SN Business & Economics, Springer, vol. 2(12), pages 1-69, December.
    8. Pascal François & Rémi Galarneau‐Vincent & Geneviève Gauthier & Frédéric Godin, 2022. "Venturing into uncharted territory: An extensible implied volatility surface model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1912-1940, October.
    9. Ornelas, José Renato Haas & Mauad, Roberto Baltieri, 2019. "Implied volatility term structure and exchange rate predictability," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1800-1813.
    10. Jia, Xiaolan & Ruan, Xinfeng & Zhang, Jin E., 2023. "Carr and Wu’s (2020) framework in the oil ETF option market," Journal of Commodity Markets, Elsevier, vol. 31(C).
    11. Alexander Bogin & William Doerner, 2014. "Generating historically-based stress scenarios using parsimonious factorization," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 15(5), pages 591-611, November.
    12. Biao Guo & Qian Han & Hai Lin, 2018. "Are there gains from using information over the surface of implied volatilities?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 645-672, June.
    13. Massimo Guidolin & Kai Wang, 2022. "The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios," BAFFI CAREFIN Working Papers 22190, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    14. Xiaolan Jia & Xinfeng Ruan & Jin E. Zhang, 2021. "The implied volatility smirk of commodity options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 72-104, January.

  6. Georgios Chalamandaris & Andrianos Tsekrekos, 2010. "The correlation structure of FX option markets before and since the financial crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 20(1-2), pages 73-84.

    Cited by:

    1. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2010. "Predictable dynamics in implied volatility surfaces from OTC currency options," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1175-1188, June.
    2. Gao, Hai-Ling & Mei, Dong-Cheng, 2019. "The correlation structure in the international stock markets during global financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    3. Zhang, Yiting & Lee, Gladys Hui Ting & Wong, Jian Cheng & Kok, Jun Liang & Prusty, Manamohan & Cheong, Siew Ann, 2011. "Will the US economy recover in 2010? A minimal spanning tree study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2020-2050.

  7. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2010. "Predictable dynamics in implied volatility surfaces from OTC currency options," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1175-1188, June.

    Cited by:

    1. Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
    2. Dunis, Christian & Kellard, Neil M. & Snaith, Stuart, 2013. "Forecasting EUR–USD implied volatility: The case of intraday data," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4943-4957.
    3. Shang, Han Lin & Kearney, Fearghal, 2022. "Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1025-1049.
    4. Georgios Chalamandaris & Andrianos Tsekrekos, 2013. "Explanatory Factors and Causality in the Dynamics of Volatility Surfaces Implied from OTC Asian–Pacific Currency Options," Computational Economics, Springer;Society for Computational Economics, vol. 41(3), pages 327-358, March.
    5. Guo, Biao & Han, Qian & Lin, Hai, 2015. "Forecasting the Term Structure of Implied Volatilities," Working Paper Series 20148, Victoria University of Wellington, School of Economics and Finance.
    6. Branger, Nicole & Muck, Matthias, 2012. "Keep on smiling? The pricing of Quanto options when all covariances are stochastic," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1577-1591.
    7. Tanha, Hassan & Dempsey, Michael, 2016. "The evolving dynamics of the Australian SPI 200 implied volatility surface," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 44-57.
    8. Shackleton, Mark B. & Taylor, Stephen J. & Yu, Peng, 2010. "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2678-2693, November.
    9. Bernales, Alejandro & Guidolin, Massimo, 2014. "Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 326-342.
    10. Chalamandaris, Georgios & Rompolis, Leonidas S., 2012. "Exploring the role of the realized return distribution in the formation of the implied volatility smile," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1028-1044.
    11. Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015. "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers 2015-13, Department of Economics and Business Economics, Aarhus University.
    12. Connor J.A. Stuart & Sebastian A. Gehricke & Jin E. Zhang & Xinfeng Ruan, 2021. "Implied volatility smirk in the Australian dollar market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4573-4599, September.
    13. Ornelas, José Renato Haas & Mauad, Roberto Baltieri, 2019. "Implied volatility term structure and exchange rate predictability," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1800-1813.
    14. Wang, Jinzhong & Chen, Shijiang & Tao, Qizhi & Zhang, Ting, 2017. "Modelling the implied volatility surface based on Shanghai 50ETF options," Economic Modelling, Elsevier, vol. 64(C), pages 295-301.
    15. Da Fonseca, José & Gottschalk, Katrin, 2014. "Cross-hedging strategies between CDS spreads and option volatility during crises," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 386-400.
    16. Biao Guo & Qian Han & Hai Lin, 2018. "Are there gains from using information over the surface of implied volatilities?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 645-672, June.
    17. Bernales, Alejandro & Guidolin, Massimo, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Journal of Financial Markets, Elsevier, vol. 26(C), pages 1-37.

  8. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2009. "Common Factors and Causality in the Dynamics of Implied Volatility Surfaces: Evidence from the FX OTC Market," The Journal of Economic Asymmetries, Elsevier, vol. 6(1), pages 49-74.

    Cited by:

    1. Connor J.A. Stuart & Sebastian A. Gehricke & Jin E. Zhang & Xinfeng Ruan, 2021. "Implied volatility smirk in the Australian dollar market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4573-4599, September.
    2. Echaust, Krzysztof, 2021. "Asymmetric tail dependence between stock market returns and implied volatility," The Journal of Economic Asymmetries, Elsevier, vol. 23(C).

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