Stock market volatility:
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Boca Raton, Fla. [u.a.]
Chapman & Hall/CRC Press
2009
|
| Series: | Chapman & Hall - CRC finance series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturangaben |
| Physical Description: | XXIX, 621 S. graph. Darst. |
| ISBN: | 9781420099546 |
Staff View
MARC
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| 245 | 1 | 0 | |a Stock market volatility |c ed. by Greg N. Gregoriou |
| 264 | 1 | |a Boca Raton, Fla. [u.a.] |b Chapman & Hall/CRC Press |c 2009 | |
| 300 | |a XXIX, 621 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Chapman & Hall - CRC finance series | |
| 500 | |a Literaturangaben | ||
| 650 | 0 | |a Stock exchanges | |
| 650 | 0 | |a Stocks / Prices | |
| 650 | 4 | |a Stock exchanges | |
| 650 | 4 | |a Stocks |x Prices | |
| 650 | 0 | 7 | |a Aktienmarkt |0 (DE-588)4130931-5 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Volatilität |0 (DE-588)4268390-7 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Aktienmarkt |0 (DE-588)4130931-5 |D s |
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| 700 | 1 | |a Gregoriou, Greg N. |d 1956- |e Sonstige |0 (DE-588)132185016 |4 oth | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-017386848 | ||
Record in the Search Index
| _version_ | 1804138924479610880 |
|---|---|
| adam_text | Table
of
Contents
Acknowledgments
xi
The Editor
xiii
The Contributors
xv
Section I Modeling Stock Market Volatility
Chapter
1
«An Overview of the Issues Surrounding Stock
__________
Market
Volati
lity____________________________
3
Elena Kalotychou and Sotiris
К.
Staikouras
Chapter
2 ■
Analysis of Stock Market Volatility by
Continuous-Time GARCH Models
31
Gernot
Muller,
Robert
B. Durand,
Ross
Maller,
and Claudia
Kllippelberg
Chapter
3 ■
Price Volatility in the Context of Market
Microstructure
51
Peter
Lerner
and Chunchi Wu
Chapter
4 ■
GARCH Modeling of Stock Market Volatility
71
Rachael Carroll and Colm Kearney
Chapter
5 ■
Detecting and Exploiting Regime Switching
ARCH Dynamics in U.S. Stock and Bond
__________
Returns
__________________________________
91_
Massimo
Guidolin
vi
■
Table of Contents
Chapter
6 ■
A DCC-VARMA Model of Portfolio Risk
:
A Simple Approach to the Estimation
of theVariance-Covariance Matrix
_________
of Large Stock Portfolios
____________________135
Valerio
Potí
Chapter
7
«The Economic Implications of Volatility
Scaling by the Square-Root-of-Time Rule
147
Craig Ellis and Maike Sundmacher
Chapter
8 ■
Jumps and Microstructure Noise in Stock
Price Volatility
163
Rituparna Sen
Section II Portfolio Management and Hedge Fund Volatility
Chapter
9 ■
Mean-Variance versus Mean-VaR
and Mean-Utility Spanning
181
Laurent Bodson and
Georges Hübner
Chapter
10 ■
Cyclically in Stock Market
Volati lity
___________
and Optimal Portfolio Allocation
___________195
)ason C. Hsu and Feifei Li
Chapter
11 ■
Robust Portfolio Selection with Endogenous
Expected Returns and Asset Allocation
Timing Strategies
209
Wolfgang
Breuer, Marc Gürtler,
and
Olaf Stotz
Chapter
12
-Alternative to the Mean-Variance Asset
Allocation Analysis: A Scenario Methodology
for Portfolio Selection
231
Michael Schyns,
Georges Hübner,
and
Yves Crama
Chapter
13
»The Black and Litterman Framework with
___________
Higher Moments:The Case of Hedge Funds
255
Giampaolo
Gabbi,
Andrea
Limone,
and Roberto Reno
Table
of Contents
■
vii
Chapter
14 ·
Dampening Hedge Fund Volatility through
Funds of Hedge Funds
275
Jodie Gunzberg and Audrey Wang
Chapter
1 5 ■
Information Transmission across Stock and
Bond Markets: International Evidence
293
Charlie X.
Cai,
Robert Fafe, David Hilulr,
AND SUNTHAREE LhAOPADCHAN
Section III Developed Country Volatility
Chapter
16 ■
Predictability of Risk Measures
in International Stock Markets
313
Turan
G.
Baii
and
К.
Ozgur Dfmirias
Chapter
1 7 ■
Surging
OBS
Activities and Bank Revenue
Volatility: How to Explain the Declining
Appeal of Bank Stocks in Canada
323
Christian
Calmes
and Ravmond
Тнѓокп
Chapter
18 ■
Usage of Stock Index Options:
Evidence from the Italian Market
343
Rosa Cocozza
Chapter
19 ■
Cross-Sectional Return Dispersions and Risk
in Global Equity Markets
361
Thomas
С
Chiang
Chapter
20 ■
News, Trading, and Stock Return Volatility
377
Vladimir Zdoro tso
Chapter
21
»The Correlation of a Firm s Credit Spread with
Its Stock Price: Evidence from Credit Default
Swaps
405
Martin Scheicher
viii
■
Table of
Contents
Chapter
22 -
Modeling the Volatility of the FTSE1
00
Index
Using High-Frequency Data Sets
419
David E. Allen and Marcel Scharth
Section IV Emerging Market Volatility
Chapter
23 ■
Economic Integration on the China
Stock Market, before and after the Asian
Financial Crisis
441
Jack Penm and R. D. Terrell
Chapter
24 ■
Do Tigers Care about Dragons? Spillovers in
Returns and Volatility between Chinese Stock
___________
Markets
___________________________457
Bartosz Gebka
Chapter
25 ■
Optimal Settlement Lag for Securities
Transactions: An Application to Southeast
Stock Exchanges
483
Marco Rossi and Raphael W. Lam
Chapter
26
»Seasonally and the Relation between
Volatility and Returns: Evidence from Turkish
Financial Markets
499
OktayTaş,
Cumhur
Ekinci,
and
Zeynep Íltüzer
Samur
Chapter
27 ■
Are
Macroeconomic
Variables Important for
the Stock Market Volatility? Evidence from
the Istanbul Stock Exchange
519
M. Nihat Solakoglu, Nazmi Demir, and
Mehmet Orhan
Table
of Contents
■ ix
Chapter
28 ■
Forecasting Default Probability without
Accounting Data: Evidence from Russia
535
Dean Fantazzini
Chapter
29 ■
Recent Assessments on Mean Reversion
in the Middle East Stock Markets
557
Sam Hakim and Simon Neaime
Chapter
30 ■
Stock Market Volatility and Market Risk
in Emerging Markets: Evidence from India
571
Sumon Kumar Bhaumik, Suchismita
Bose,
and Rudra
Sensarma
Chapter
31 ■
Stock Market Volatility and Political Risk in
Latin America: The Case of Terrorism
in Colombia
587
Ignacio Olmeda
and Daniel Soteisek
INDEX
607
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| illustrated | Illustrated |
| indexdate | 2024-07-09T21:35:55Z |
| institution | BVB |
| isbn | 9781420099546 |
| language | English |
| lccn | 2008048116 |
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| physical | XXIX, 621 S. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Chapman & Hall/CRC Press |
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| series2 | Chapman & Hall - CRC finance series |
| spelling | Stock market volatility ed. by Greg N. Gregoriou Boca Raton, Fla. [u.a.] Chapman & Hall/CRC Press 2009 XXIX, 621 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Chapman & Hall - CRC finance series Literaturangaben Stock exchanges Stocks / Prices Stocks Prices Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Aktienmarkt (DE-588)4130931-5 s Volatilität (DE-588)4268390-7 s b DE-604 Gregoriou, Greg N. 1956- Sonstige (DE-588)132185016 oth Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017386848&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Stock market volatility Stock exchanges Stocks / Prices Stocks Prices Aktienmarkt (DE-588)4130931-5 gnd Volatilität (DE-588)4268390-7 gnd |
| subject_GND | (DE-588)4130931-5 (DE-588)4268390-7 |
| title | Stock market volatility |
| title_auth | Stock market volatility |
| title_exact_search | Stock market volatility |
| title_full | Stock market volatility ed. by Greg N. Gregoriou |
| title_fullStr | Stock market volatility ed. by Greg N. Gregoriou |
| title_full_unstemmed | Stock market volatility ed. by Greg N. Gregoriou |
| title_short | Stock market volatility |
| title_sort | stock market volatility |
| topic | Stock exchanges Stocks / Prices Stocks Prices Aktienmarkt (DE-588)4130931-5 gnd Volatilität (DE-588)4268390-7 gnd |
| topic_facet | Stock exchanges Stocks / Prices Stocks Prices Aktienmarkt Volatilität |
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