The volatility has been one of the cores of the financial theory research, in addition to the stock markets
is an important part of modern financial markets. Research on volatility and contagion effect in stock
market is an important part of the theory of financial markets research. This book in-cludes the following
four parts.
Components of the Book:
- Head Page
- Copyright
- Brief Introduction to the Author
- Acknowledgements
- Preface
- Contents
- CHAPTER 1
Forecasting the Stock Market Volatility: Do Realized Skewness and Kurtosis Help?
- CHAPTER 2
Measuring Daily Value-at-Risk of SSEC Index: A New Approach Based on Multifractal Analysis and Extreme Value Theory
- CHAPTER 3
Financial Market Volatility and Contagion Effect: A Copula-Multifractal Volatility Approach
- CHAPTER 4
Quantitative Measurement of the Contagion Effect between U.S. and Chinese Stock Market during the Financial Crisis
- CHAPTER 5
Summary
- References
Readership:
Students, academics, teachers and other people attending or interested in stock
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Head Page
Dexiang Mei, Wang Chen, Yunyun Sun
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2
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Copyright
Dexiang Mei, Wang Chen, Yunyun Sun
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3
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Brief Introduction to the Author
Dexiang Mei, Wang Chen, Yunyun Sun
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4
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Acknowledgements
Dexiang Mei, Wang Chen, Yunyun Sun
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5
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Preface
Dexiang Mei, Wang Chen, Yunyun Sun
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9
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Contents
Dexiang Mei, Wang Chen, Yunyun Sun
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13
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CHAPTER 1
Forecasting the Stock Market Volatility: Do Realized Skewness and Kurtosis Help?
Dexiang Mei, Wang Chen, Yunyun Sun
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CHAPTER 2
Measuring Daily Value-at-Risk of SSEC Index: A New Approach Based on Multifractal Analysis and Extreme Value Theory
Dexiang Mei, Wang Chen, Yunyun Sun
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57
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CHAPTER 3
Financial Market Volatility and Contagion Effect: A Copula-Multifractal Volatility Approach
Dexiang Mei, Wang Chen, Yunyun Sun
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CHAPTER 4
Quantitative Measurement of the Contagion Effect between U.S. and Chinese Stock Market during the Financial Crisis
Dexiang Mei, Wang Chen, Yunyun Sun
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113
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CHAPTER 5
Summary
Dexiang Mei, Wang Chen, Yunyun Sun
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119
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References
Dexiang Mei, Wang Chen, Yunyun Sun
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Dexiang Mei
Dexiang Mei, researcher of Research Center for Economy of Upper Reaches of the Yangtse River Chongqing Technology and Business University of Key Research Institute of Humanities and Social Sciences by the Ministry of Education (KRI), associate professor of School of Finance, Chongqing Technology and Business University, graduated from Southwest Jiaotong University in 2016, obtained the Doctor’s degree in management, research area is financial risk management.
Wang Chen
Wang Chen, associate professor of College of Finance and Economics, Yangtze Normal University, graduated from Southwest Jiaotong University in 2015, obtained the Doctor's degree in management, research area is financial engineering and risk management, preside a research pro-ject supported by the Natural Science Foundation of China, publish more than twenty papers.
Yunyun Sun
Yunyun Sun, deputy principal of the central Kindergarten in Chongkan Town, Tongnan District, Chongqing. graduated from Xinjiang Normal University in 2017, obtained the Master' s degree in education. re-search direction is mental health education , participated in research pro-jects by the social science foundation of China.