Financial econometrics modeling : market microstructure, factor models and financial risk measures / edited by Greg N. Gregoriou and Razvan Pascalau.
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TextPublication details: Houndmills, Basingstoke ; New York : Palgrave Macmillan, 2011.Description: xxii, 257 p. : ill. ; 24 cmISBN: - 9780230283626 (hbk.)
- 0230283624 (hbk.)
- HB141 .F55 2011
- 332.01'5195
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| 920 POW The education of an idealist: a memoir | 920.973 OBA Becoming | 954.05'32 NIL Imagining India : | HB141 .F55 2011 Financial econometrics modeling : | HC59.7 .N3325 2013 NAY Catch up : |
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.
oif 16/09/14
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