Have a personal or library account? Click to login
Stock Market Volatility Measure Using Non-Traditional Tool Case of Germany Cover

Stock Market Volatility Measure Using Non-Traditional Tool Case of Germany

Open Access
|Jul 2018

References

  1. Assaf, A. (2009). Extreme Observations and Risk Assessment in the Equity Markets of MENA Region: Tail measures and Value-at-Risk. International Review of Financial Analysis, 18(3), 109-116. https://doi.org/10.1016/j.irfa.2009.03.007 10.1016/j.irfa.2009.03.007
  2. Benartzi, S. & Thaler, R. (1995). Myopic Loss Aversion and the Equity Premium Puzzle. Quarterly Journal of Economics, 110, 73-92. 10.2307/2118511
  3. Bogle, J. C. (2008). Black Monday and Black Swans. Financial Analysts Journal, 64, 30-40. 10.2469/faj.v64.n2.9
  4. Burnie, D., & De Ridder, A. (2010). Far tail or extreme day returns, mutual fund cash flows and investment behaviour. Applied Financial Economics, 20 (16), 1241-1256. 10.1080/09603107.2010.489885
  5. Campbell, R. (2004). Harvey Duke University, Durham, NC 27708, USA.
  6. Dubauskas, G., & Teresienė, D. (2015). Autoregressive Conditional Skewness, Kurtosis and Jarque-bera in Lithuanian Stock Market Measurement. Engineering Economics, 45, 25-30. https://doi.org/10.5755/j01.ee.45.5.11329 10.5755/j01.ee.45.5.11329
  7. Estrada, J. (2008). Investing in Emerging Markets: A Black Swan Perspective. Retrieved from http://ssrn.com/abstract=1308082. 10.2139/ssrn.1308082
  8. Field, A. P. (2009). Discovering statistics using SPSS: and Sex and Drugs and Rock ‘n’ Roll (3rd edition). London: Sage.
  9. Harvey, C. R., & Siddique, A. (1999). Autoregressive Conditional Skewness. The Journal of Financial and Quantitative Analysis, 34, 465-487. https://doi.org/10.2307/2676230 10.2307/2676230
  10. Jondeau, E. & Rockinger, M. (2003). Testing for differences in the tails of stock-market returns. Journal of Empirical Finance, 10 (5), 559-581. https://doi.org/10.1016/S0927-5398(03)00005-7 10.1016/S0927-5398(03)00005-7
  11. Jones, C. P., Walker M. D. & Wilson J. W. (2004). Analyzing Stock Market Volatility Using Extreme-Day Measures. Journal of Financial Research, 27 (4), 585-601. 10.1111/j.1475-6803.2004.00109.x
  12. Longin, F. M. (1996). The asymptotic distribution of extreme stock returns, Journal of Business, 69, 383-408. 10.1086/209695
  13. Nelken, I. (1997). Volatility in the Capital Markets: State Of-The-Art Techniques for Modelling, Managing and Trading Volatility, illustrated March edn, Eric Dobby Publishing.
  14. Pactwa, T. E. (2001). Using Extreme Value Theory to Value Stock Market Returns. ProQuest ETD Collection for FIU, 1-129.
  15. De Ridder, A., & Djehiche, B. (2007). Extreme Day Returns on Stocks: Evidence from Sweden.
  16. Switzer, L. N., Wang, J. & Lee, S. (2017). Extreme Risk and Small Investor Behavior in Developed Markets. Journal of Asset Management, 1-19. https://doi.org/10.1057/s41260-017-0047-6 10.1057/s41260-017-0047-6
  17. Veld, C., & Veld-Merkoulova, Y. V. (2008). The Risk Perceptions of Individual Investors. Journal of Economic Psychology, 29(2), 226-252. 10.1016/j.joep.2007.07.001
  18. Wander, B. H. & Vari R. D. (2003). The Limitations of Standard Deviation as a Measure of Bond Portfolio Risk. The Journal of Wealth Management 6, 3(1), 35-38.10.3905/jwm.2003.320488
Language: English
Page range: 126 - 135
Published on: Jul 5, 2018
In partnership with: Paradigm Publishing Services
Publication frequency: 1 issue per year

© 2018 Naeem Ahmed, Mudassira Sarfraz, published by Riga Technical University
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.