EVI-Emerging Asia - EDHEC-Risk

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References • Black, F. (1976). Studies in Stock Price Volatility Changes. In American Statistical Association, Proceedings of the Business and Economic Statistics Section, pp. 177–181. • French, K.R., Schwert, G.W., Stambaugh, R.F., (1987) Expected stock returns and volatility. Journal of Financial Economics 19, pp. 3–30. • Garcia, R., D. Mantilla-Garcia, and L. Martellini (2011) Idiosyncratic <strong>Risk</strong> and the Cross-Section of Stock Returns, <strong>EDHEC</strong> Working Paper • Goltz, F., R. Guobuzaite, L. Martellini, S. Stoyanov (2012) Introducing a new form of volatility index: The cross-sectional volatility index, Bankers, Markets, Investors No. 117, March-April, pp. 19-27.
Page 1 and 2: EDHEC-Risk Days Europe 2012 May 10,
Page 3 and 4: Outline • Volatility Indicators -
Page 5 and 6: Introduction • Information about
Page 7 and 8: Volatility Indices • Since inform
Page 9 and 10: Problems with Option-Implied Volati
Page 11 and 12: Introducing a New Volatility Index
Page 13 and 14: 1 Day Before Fukushima • The cros
Page 15 and 16: Cross-Sectional Volatility • We p
Page 17 and 18: • Volatility Indicators - Backgro
Page 19 and 20: Interpretations of CSV • Among al
Page 23 and 24: Methodology: Liquidity • Lack of
Page 25 and 26: Value-Added of Robustness 1.4 1.2 1
Page 27 and 28: Introducing EVI • The methodology
Page 31 and 32: Pan-Asian Volatility Indicators 1 0
Page 33 and 34: EVI-Developed Asia ex Japan vs VKOS
Page 35 and 36: Correlations between Asian Option-
Page 37 and 38: 1 0.8 0.6 0.4 0.2 0 -0.2 -0.4 -0.6
Page 39: Conclusions • We introduce a new

EVI-Emerging Asia - EDHEC-Risk

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