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 Politicat;P>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 Politica;P>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.