TY  - BOOK
AU  - Gregoriou,Greg N.
AU  - Pascalau,Razvan
TI  - Financial econometrics modeling: market microstructure, factor models and financial risk measures 
SN  - 9780230283626 (hbk.)
AV  - 332.01'5195 
U1  - HB141 
PY  - 2011///
CY  - Houndmills, Basingstoke, New York
PB  - Palgrave Macmillan
KW  - Econometrics
KW  - Finance
KW  - Mathematical models
KW  - Financial risk management -- Mathematical models.
N1  - Includes bibliographical references and index
N2  - 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
ER  -