Financial econometrics modeling : market microstructure, factor models and financial risk measures / edited by Greg N. Gregoriou and Razvan Pascalau.

Contributor(s):

Material type: Text

TextPublication details: Houndmills, Basingstoke ; New York : Palgrave Macmillan, 2011.Description: xxii, 257 p. : ill. ; 24 cmISBN:

9780230283626 (hbk.)
0230283624 (hbk.)

Subject(s):

DDC classification:

HB141 .F55 2011

LOC classification:

332.01'5195

Summary: 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.

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Previous	330.01'5195 ECO Econometric theory and practice :	330.01'5195 EZI A Practical Guide on Data Analysis: using EViews	330.015'195 EZI Applied Econometrics: theory and empirical illustrations/	330.01'5195 FIN Financial econometrics modeling :	330.01'5195 FUR Further mathematics for economic analysis /	330.01'5195 GOU Financial econometrics :	330.01'5195 GRE Econometric analysis /	Next

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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