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.

Autres documents dans la collection «Chapman & Hall/CRC finance series (Print)»

Vérification des exemplaires disponibles ...

Se procurer le document

Vérification des exemplaires disponibles ...

Suggestions

Du même sujet

Comprendre la bourse avec Captain €conomics / Thomas Renault | Renault, Thomas (1986-....). Auteur

Comprendre la bourse avec Captain €conomics / Thomas Renault

Livre | Renault, Thomas (1986-....). Auteur | 2022

Vous ne comprenez rien - ou pas grand-chose - à la Bourse ? Pas d'inquiétude, c'est normal : la Bourse est devenue en quelques dizaines d'années un univers aussi gigantesque que complexe. Mais ça, c'était avant. Avant de suivre le...

L' essentiel de la bourse et des marchés de capitaux / Catherine Karyotis | Karyotis, Catherine (1961-....). Auteur

L' essentiel de la bourse et des marchés de capitaux / Catherine Karyotis

Livre | Karyotis, Catherine (1961-....). Auteur | 2021 - 9e édition

La bourse en 110 exercices / Gérard Blandin | Blandin, Gérard (1958-....). Auteur

La bourse en 110 exercices / Gérard Blandin

Livre | Blandin, Gérard (1958-....). Auteur | 2006 - 2e édition

Tout savoir sur l'analyse technique / sous la coordination de Monique Walker |

Tout savoir sur l'analyse technique / sous la coordination de Monique Walke...

Livre | 2008 - 2e édition

Swing trading : Easy Swing : une méthode à la portée de tous / Michel Cataneo | Cataneo, Michel (17..-....). Auteur

Swing trading : Easy Swing : une méthode à la portée de tous / Michel Catan...

Livre | Cataneo, Michel (17..-....). Auteur | 2005

Le guide complet du trading : scalping, day trading, swing trading : analyse fondamentale, analyse technique, trading virtuel, money management, backtesting / Anthony Busière | Busière, Anthony (19..-....). Auteur

Le guide complet du trading : scalping, day trading, swing trading : analys...

Livre | Busière, Anthony (19..-....). Auteur | 2019 - 2e édition

Destiné aux particuliers comme aux professionnels, cet ouvrage permettra à chacun, selon ses moyens et en fonction de ses objectifs, d'être actif avec sérénité et confiance dans le monde du trading pour améliorer et sécuriser ses ...

Chargement des enrichissements...