Stock Market Volatility
eBook - PDF

Stock Market Volatility

  1. 651 pages
  2. English
  3. PDF
  4. Available on iOS & Android
eBook - PDF

Stock Market Volatility

Book details
Table of contents
Citations

About This Book

Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel

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Yes, you can access Stock Market Volatility by Greg N. Gregoriou in PDF and/or ePUB format, as well as other popular books in Business & Finance. We have over one million books available in our catalogue for you to explore.

Information

Publisher
Chapman and Hall/CRC
Year
2009
ISBN
9781420099553
Edition
1
Topic
Business
Subtopic
Finance
Index
Business

Table of contents

  1. Front cover
  2. Table of Contents
  3. Acknowledgments
  4. The Editor
  5. The Contributors
  6. Section I: Modeling Stock Market Volatility
  7. Chapter 1. An Overview of the Issues Surrounding Stock Market Volatility
  8. Chapter 2. Analysis of Stock Market Volatility by Continuous-Time GARCH Models
  9. Chapter 3. Price Volatility in the Context of Market Microstructure
  10. Chapter 4. GARCH Modeling of Stock Market Volatility
  11. Chapter 5. Detecting and Exploiting Regime Switching ARCH Dynamics in U.S. Stock and Bond Returns
  12. Chapter 6. A DCC-VARMA Model of Portfolio Risk: A Simple Approach to the Estimation of the Variance-Covariance Matrix of Large Stock Portfolios
  13. Chapter 7. The Economic Implications of Volatility Scaling by the Square-Root-of-Time Rule
  14. Chapter 8. Jumps and Microstructure Noise in Stock Price Volatility
  15. Section II: Portfolio Management and Hedge Fund Volatility
  16. Chapter 9. Mean-Variance versus Mean-VaR and Mean-Utility Spanning
  17. Chapter 10. Cyclicality in Stock Market Volatility and Optimal Portfolio Allocation
  18. Chapter 11. Robust Portfolio Selection with Endogenous Expected Returns and Asset Allocation Timing Strategies
  19. Chaper 12. Alternative to the Mean-Variance Asset Allocation Analysis: A Scenario Methodology for Portfolio Selection
  20. Chapter 13. The Black and Litterman Framework with Higher Moments: The Case of Hedge Funds
  21. Chapter 14. Dampening Hedge Fund Volatility through Funds of Hedge Funds
  22. Chapter 15. Information Transmission across Stock and Bond Markets: International Evidence
  23. Section III: Developed Country Volatility
  24. Chapter 16. Predictability of Risk Measures in International Stock Markets
  25. Chapter 17. Surging OBS Activities and Bank Revenue Volatility: How to Explain the Declining Appeal of Bank Stocks in Canada
  26. Chapter 18. Usage of Stock Index Options: Evidence from the Italian Market
  27. Chapter 19. Cross-Sectional Return Dispersions and Risk in Global Equity Markets
  28. Chapter 20. News, Trading, and Stock Return Volatility
  29. Chapter 21. The Correlation of a Firm's Credit Spread with Its Stock Price: Evidence from Credit Default Swaps
  30. Chapter 22. Modeling the Volatility of the FTSE100 Index Using High-Frequency Data Sets
  31. Section IV: Emerging Market Volatility
  32. Chapter 23. Economic Integration on the China Stock Market. before and after the Asian Financial Crisis
  33. Chapter 24. Do Tigers Care About Dragons? Spillovers in Returns and Volatility between Chinese Stock Markets
  34. Chapter 25. Optimal Settlement Lag for Securities Transactions: An Application to Southeast Stock Exchanges
  35. Chapter 26. Seasonality and the Relaton between Volatility and Returns: Evidence from Turkish Financial Markets
  36. Chapter 27. Are Macroeconomic Variables Important for the Stock Market Volatility? Evidence from the Istanbul Stock Exchange
  37. Chapter 28. Forecasting Default Probability without Accounting Data: Evidence from Russia
  38. Chapter 29. Recent Assessments on Mean Reversion in the Middle East Stock Markets
  39. Chapter 30. Stock Market Volatility and Market Risk in Emerging Markets: Evidence from India
  40. Chapter 31. Stock Market Volatility and Political Risk in Latin America: The Caes of Terrorism in Colombia
  41. Index
  42. Back cover