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