نوسانات بازار سهام ۲۰۰۹
Stock Market Volatility 2009

1. Front cover

2. Table of Contents

3. Acknowledgments

4. The Editor

5. The Contributors

6. Section I: Modeling Stock Market Volatility

7. Chapter 1. An Overview of the Issues Surrounding Stock Market Volatility

8. Chapter 2. Analysis of Stock Market Volatility by Continuous-Time GARCH Models

9. Chapter 3. Price Volatility in the Context of Market Microstructure

10. Chapter 4. GARCH Modeling of Stock Market Volatility

11. Chapter 5. Detecting and Exploiting Regime Switching ARCH Dynamics in U.S. Stock and Bond Returns

12. Chapter 6. A DCC-VARMA Model of Portfolio Risk: A Simple Approach to the Estimation of the Variance-Covariance Matrix of Large Stock Portfolios

13. Chapter 7. The Economic Implications of Volatility Scaling by the Square-Root-of-Time Rule

14. Chapter 8. Jumps and Microstructure Noise in Stock Price Volatility

15. Section II: Portfolio Management and Hedge Fund Volatility

16. Chapter 9. Mean-Variance versus Mean-VaR and Mean-Utility Spanning

17. Chapter 10. Cyclicality in Stock Market Volatility and Optimal Portfolio Allocation

18. Chapter 11. Robust Portfolio Selection with Endogenous Expected Returns and Asset Allocation Timing Strategies

19. Chaper 12. Alternative to the Mean-Variance Asset Allocation Analysis: A Scenario Methodology for Portfolio Selection

20. Chapter 13. The Black and Litterman Framework with Higher Moments: The Case of Hedge Funds

21. Chapter 14. Dampening Hedge Fund Volatility through Funds of Hedge Funds

22. Chapter 15. Information Transmission across Stock and Bond Markets: International Evidence

23. Section III: Developed Country Volatility

24. Chapter 16. Predictability of Risk Measures in International Stock Markets

25. Chapter 17. Surging OBS Activities and Bank Revenue Volatility: How to Explain the Declining Appeal of Bank Stocks in Canada

26. Chapter 18. Usage of Stock Index Options: Evidence from the Italian Market

27. Chapter 19. Cross-Sectional Return Dispersions and Risk in Global Equity Markets

28. Chapter 20. News, Trading, and Stock Return Volatility

29. Chapter 21. The Correlation of a Firm's Credit Spread with Its Stock Price: Evidence from Credit Default Swaps

30. Chapter 22. Modeling the Volatility of the FTSE100 Index Using High-Frequency Data Sets

31. Section IV: Emerging Market Volatility

32. Chapter 23. Economic Integration on the China Stock Market. before and after the Asian Financial Crisis

33. Chapter 24. Do Tigers Care About Dragons? Spillovers in Returns and Volatility between Chinese Stock Markets

34. Chapter 25. Optimal Settlement Lag for Securities Transactions: An Application to Southeast Stock Exchanges

35. Chapter 26. Seasonality and the Relaton between Volatility and Returns: Evidence from Turkish Financial Markets

36. Chapter 27. Are Macroeconomic Variables Important for the Stock Market Volatility? Evidence from the Istanbul Stock Exchange

37. Chapter 28. Forecasting Default Probability without Accounting Data: Evidence from Russia

38. Chapter 29. Recent Assessments on Mean Reversion in the Middle East Stock Markets

39. Chapter 30. Stock Market Volatility and Market Risk in Emerging Markets: Evidence from India

40. Chapter 31. Stock Market Volatility and Political Risk in Latin America: The Caes of Terrorism in Colombia

41. Index

42. Back cover