Stock Market Volatility Book

Modeling Stock Market Volatility

An Overview of the Issues Surrounding Stock Market Volatility

Elena Kalotychou and Sotiris K. Staikouras

Analysis of Stock Market Volatility by Continuous-Time GARCH Models

Gernot Müller, Robert B. Durand, Ross Maller, and Claudia Klüppelberg

Price Volatility in the Context of Market Microstructure

Peter Lerner and Chunchi Wu

GARCH Modeling of Stock Market Volatility

Rachael Carroll and Colm Kearney

Detecting and Exploiting Regime Switching ARCH Dynamics in U.S. Stock and Bond Returns

Massimo Guidolin

A DCC-VARMA Model of Portfolio Risk: A Simple Approach to the Estimation of the Variance-Covariance Matrix of Large Stock Portfolios

Valerio Potì

The Economic Implications of Volatility Scaling by the Square-Root-of-Time Rule

Craig Ellis and Maike Sundmacher

Jumps and Microstructure Noise in Stock Price Volatility

Rituparna Sen

Portfolio Management and Hedge Fund Volatility

Mean-Variance versus Mean-VaR and Mean-Utility Spanning

Laurent Bodson and Georges Hübner

Cyclicality in Stock Market Volatility and Optimal Portfolio Allocation

Jason C. Hsu and Feifei Li

Robust Portfolio Selection with Endogenous Expected Returns and Asset Allocation Timing Strategies

Wolfgang Breuer, Marc Gürtler, and Olaf Stotz

Alternative to the Mean-Variance Asset Allocation Analysis: A Scenario Methodology for Portfolio Selection

Michael Schyns, Georges Hübner, and Yves Crama

The Black and Litterman Framework with Higher Moments: The Case of Hedge Funds

Giampaolo Gabbi, Andrea Limone, and Roberto Renò

Dampening Hedge Fund Volatility through Funds of Hedge Funds

Jodie Gunzberg and Audrey Wang

Information Transmission across Stock and Bond Markets: International Evidence

Charlie X. Cai, Robert Faff, David Hillier, and Suntharee Lhaopadchan

Developed Country Volatility

Predictability of Risk Measures in International Stock Markets

Turan G. Bali and K. Ozgur Demirtas

Surging OBS Activities and Bank Revenue Volatility: How to Explain the Declining Appeal of Bank Stocks in Canada

Christian Calmès and Raymond Théoret

Usage of Stock Index Options: Evidence from the Italian Market

Rosa Cocozza

Cross-Sectional Return Dispersions and Risk in Global Equity Markets

Thomas C. Chiang

News, Trading, and Stock Return Volatility

Vladimir Zdorovtsov

The Correlation of a Firm’s Credit Spread with Its Stock Price: Evidence from Credit Default Swaps

Martin Scheicher

Modeling the Volatility of the FTSE100 Index Using High-Frequency Data Sets

David E. Allen and Marcel Scharth

Emerging Market Volatility

Economic Integration on the China Stock Market, before and after the Asian Financial Crisis

Jack Penm and R.D. Terrell

Do Tigers Care about Dragons? Spillovers in Returns and Volatility between Chinese Stock Markets

Bartosz Gebka

Optimal Settlement Lag for Securities Transactions: An Application to Southeast Stock Exchanges

Marco Rossi and Raphael W. Lam

Seasonality and the Relation between Volatility and Returns: Evidence from Turkish Financial Markets

Oktay Tas, Cumhur Ekinci, and Zeynep Iltüzer Samur

Are Macroeconomic Variables Important for the Stock Market Volatility? Evidence from the Istanbul Stock Exchange

M. Nihat Solakoglu, Nazmi Demir, and Mehmet Orhan

Forecasting Default Probability without Accounting Data: Evidence from Russia

Dean Fantazzini

Recent Assessments on Mean Reversion in the Middle East Stock Markets

Sam Hakim and Simon Neaime

Stock Market Volatility and Market Risk in Emerging Markets: Evidence from India

Sumon Kumar Bhaumik, Suchismita Bose, and Rudra Sensarma

Stock Market Volatility and Political Risk in Latin America: The Case of Terrorism in Colombia

Ignacio Olmeda and Daniel Sotelsek

Index