Financial econometrics modeling :
Financial econometrics modeling : market microstructure, factor models and financial risk measures /
edited by Greg N. Gregoriou and Razvan Pascalau.
- Houndmills, Basingstoke ; New York : Palgrave Macmillan, 2011.
- xxii, 257 p. : ill. ; 24 cm.
Includes bibliographical references and index.
This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
9780230283626 (hbk.) 0230283624 (hbk.)
2011280084
GBB094978 bnb
015623279 Uk
Econometrics.
Finance--Mathematical models.
Financial risk management -- Mathematical models.
332.01'5195
HB141 / .F55 2011
Includes bibliographical references and index.
This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
9780230283626 (hbk.) 0230283624 (hbk.)
2011280084
GBB094978 bnb
015623279 Uk
Econometrics.
Finance--Mathematical models.
Financial risk management -- Mathematical models.
332.01'5195
HB141 / .F55 2011