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Home Forex and Stocks Trading Stock Market Volatility
Pattern, Price and Ttime using gann theory By James Hyerczyk
Pattern, Price and Time: Using Gann Theory in Technical Analysis $23.87
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New Frontiers in Technical Analysis By Paul Ciana
New Frontiers in Technical Analysis $21.20
Stock Market Volatility By Greg N. Gregoriou
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Stock Market Volatility

$29.68

Author(s)

Greg Gregoriou

Format

PDF

Pages

654

Publication Date

2009

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Category: Forex and Stocks Trading
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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 developed, emerging, and frontier economies. The expert contributors cover stock market volatility modeling, portfolio management, hedge fund volatility, and volatility in developed countries and emerging markets. They present some of the vocational aspects, emphasizing the equity markets. The book approaches the material from the practitioner’s viewpoint and familiarizes readers with how volatility is linked to speculation, trading volume, and information arrival. It also discusses recent trends in forecasting volatility, along with the newly cultivated trading platform of volatility derivatives.

Contents:

  • An Overview of the Issues Surrounding Stock Market Volatility
  • Analysis of Stock Market Volatility by Continuous-Time GARCH Models
  • Price Volatility in the Context of Market Microstructure
  • GARCH Modeling of Stock Market Volatility
  • Detecting and Exploiting Regime Switching ARCH Dynamics in U.S. Stock and Bond Returns
  • A DCC-VARMA Model of Portfolio Risk : A Simple Approach to the Estimation of the Variance-Covariance Matrix of Large Stock Portfolios
  • The Economic Implications of Volatility Scaling by the Square-Root-of-Time Rule
  • Jumps and Microstructure Noise in Stock Price Volatility
  • Mean-Variance versus Mean-VaR and Mean-Utility Spanning
  • Cyclicality in Stock Market Volatility and Optimal Portfolio Allocation
  • Robust Portfolio Selection with Endogenous Expected Returns and Asset Allocation Timing Strategies
  • Alternative to the Mean-Variance Asset Allocation Analysis: A Scenario Methodology for Portfolio Selection
  • The Black and Litterman Framework with Higher Moments:The Case of Hedge Funds
  • Dampening Hedge Fund Volatility through Funds of Hedge Funds
  • Information Transmission across Stock and Bond Markets: International Evidence
  • Predictability of Risk Measures in International Stock Markets
  • Surging OBS Activities and Bank Revenue Volatility: How to Explain the Declining Appeal of Bank Stocks in Canada
  • Usage of Stock Index Options: Evidence from the Italian Market
  • Cross-Sectional Return Dispersions and Risk in Global Equity Markets
  • News, Trading, and Stock Return Volatility
  • The Correlation of a Firm’s Credit Spread with Its Stock Price: Evidence from Credit Default Swaps
  • Modeling the Volatility of the FTSE100 Index Using High-Frequency Data Sets
  • Economic Integration on the China Stock Market, before and after the Asian Financial Crisis
  • Do Tigers Care about Dragons? Spillovers in Returns and Volatility between Chinese Stock Markets
  • Optimal Settlement Lag for Securities Transactions: An Application to Southeast Stock Exchanges
  • Seasonality and the Relation between Volatility and Returns: Evidence from Turkish Financial Markets
  • Are Macroeconomic Variables Important for the Stock Market Volatility? Evidence from the Istanbul Stock Exchange
  • Forecasting Default Probability without Accounting Data: Evidence from Russia
  • Recent Assessments on Mean Reversion in the Middle East Stock Markets
  • Stock Market Volatility and Market Risk in Emerging Markets: Evidence from India
  • Stock Market Volatility and Political Risk in Latin America: The Case of Terrorism in Colombia
Stock Market Volatility By Greg N. Gregoriou pdf

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