Are regime-shift sources of risk priced in the market?
Kyriakos Chourdakis; Yiannis Dendramis; Elias Tzavalis
| Year of publication: |
2014
|
|---|---|
| Authors: | Chourdakis, Kyriakos ; Dendramis, Yiannis ; Tzavalis, Elias |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 28.2014, p. 151-170
|
| Subject: | European call prices | Stock market regime shifts | Markov regime switching model | Risk neutral transition probabilities | Occupation time | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | Risiko | Risk | Aktienmarkt | Stock market | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011285074