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George A. Christodoulakis
Information about the author George A. Christodoulakis will soon be added to the site.
Found
4 papers
in total
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On the evolution of global style factors in the Morgan Stanley Capital International universe of assets
2002
We explore the effects of global style factors on the Morgan Stanley Capital...
Sharpe style analysis in the Morgan Stanley Capital International sector portfolios: A Monte Carlo Integration approach
2002
We examine a decision-theoretic Bayesian framework for the estimation of Sharpe Style...
Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns
2002
Although the time variation of the conditional correlations of asset returns is a well...
The simulation of option prices with application to London International Financial Futures Exchange options on futures
1999
We build a framework for modelling the deviation of observed option prices from the...
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