Syracuse

Stock market volatility / edited by Greg N. Gregoriou

Livre

Edited by CRC Press. Boca Raton - 2009

Sect. I. Modeling Stock Market Volatility. Ch. 1. An Overview of the Issues Surrounding Stock Market Volatility / Elena Kalotychou and Sotiris K. Staikouras. Ch. 2. Analysis of Stock Market Volatility by Continuous-Time GARCH Models / Gernot Muller, Robert B. Durand, Ross Maller and Claudia Kluppelberg. Ch. 3. Price Volatility in the Context of Market Microstructure 51 / Peter Lerner and Chunchi Wu. Ch. 4. GARCH Modeling of Stock Market Volatility / Rachel Carroll and Colm Kearney. Ch. 5. Detecting and Exploiting Regime Switching ARCH Dynamics in U.S. Stock and Bond Returns / Massimo Guidolin. Ch. 6. A DCC-VARMA Model of Portfolio Risk: A Simple Approach to the Estimation of the Variance-Covariance Matrix of Large Stock Portfolios / Valerio Poti. Ch. 7. The Economic Implications of Volatility Scaling by the Square-Root-of-Time Rule / Craig Ellis and Maike Sundmacher. Ch. 8. Jumps and Microstructure Noise in Stock Price Volatility / Rituparna Sen. Sect. II. Portfolio Management and Hedge Fund Volatility. Ch. 9. Mean-Variance versus Mean-VaR and Mean-Utility Spanning / Laurent Bodson and Georges Hubner. Ch. 10. Cyclicality in Stock Market Volatility and Optimal Portfolio Allocation / Jason C. Hsu and Feifei Li. Ch. 11. Robust Portfolio Selection with Endogenous Expected Returns and Asset Allocation Timing Strategies / Wolfgang Breuer, Marc Gurtler and Olaf Stotz. Ch. 12. Alternative to the Mean-Variance Asset Allocation Analysis: A Scenario Methodology for Portfolio Selection / Michael Schyns, Georges Hubner and Yves Crama. Ch. 13. The Black and Litterman Framework with Higher Moments: The Case of Hedge Funds / Giampaolo Gabbi, Andrea Limone and Roberto Reno. Ch. 14. Dampening Hedge Fund Volatility through Funds of Hedge Funds / Jodie Gunzberg and Audrey Wang. Ch. 15. Information Transmission across Stock and Bond Markets: International Evidence / CHARLIE X. CAl, Robert Faff, David Hillier and Suntharee Lhaopadchan. Sect. III. Developed Country Volatility. Ch. 16. Predictability of Risk Measures in International Stock Markets / Turan G. Bali and K. Ozgur Demirtas. Ch. 17. Surging OBS Activities and Bank Revenue Volatility: How to Explain the Declining Appeal of Bank Stocks in Canada / Christian Calmes and Raymond Theoret. Ch. 18. Usage of Stock Index Options: Evidence from the Italian Market / Rosa Cocozza. Ch. 19. Cross-Sectional Return Dispersions and Risk in Global Equity Markets / Thomas C. Chiang. Ch. 20. News, Trading, and Stock Return Volatility / Vladimir Zdorovisov. Ch. 21. The Correlation of a Firm's Credit Spread with Its Stock Price: Evidence from Credit Default Swaps / Martin Scheichfr. Ch. 22. Modeling the Volatility of the FTSE100 Index Using High-Frequency Data Sets / David E. Allen and Marcel Scharth. Sect. IV. Emerging Market Volatility. Ch. 23. Economic Integration on the China Stock Market, before and after the Asian Financial Crisis / Jack Penm and R. D. Terrell. Ch. 24. Do Tigers Care about Dragons? Spillovers in Returns and Volatility between Chinese Stock Markets / Bartosz Gebka. Ch. 25. Optimal Settlement Lag for Securities Transactions: An Application to Southeast Stock Exchanges / Marco Rossi and Raphael W. Lam. Ch. 26. Seasonality and the Relation between Volatility and Returns: Evidence from Turkish Financial Markets / Oktay Tas, Cumhur Ekinci and Zeynep Iltuzer Samur. Ch. 27. Are Macroeconomic Variables Important for the Stock Market Volatility? Evidence from the Istanbul Stock Exchange / M. Nihat Solakoglu, Nazmi Demir and Mehmet Orhan. Ch. 28. Forecasting Default Probability without Accounting Data: Evidence from Russia / Dean Fantazzini. Ch. 29. Recent Assessments on Mean Reversion in the Middle East Stock Markets / Sam Hakim and Simon Neaime. Ch. 29. Recent Assessments on Mean Reversion in the Middle East Stock Markets / Sam Hakim and Simon Neaime. Ch. 30. Stock Market Volatility and Market Risk in Emerging Markets: Evidence from India / Sumon Kumar Bhaumik, Suchismita Bose and Rudra Sensarma. Ch. 31. Stock Market Volatility and Political Risk in Latin America: The Case of Terrorism in Colombia / Ignacio Olmeda and Daniel Sotelsek.

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