Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures |
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| Editor:
| Gregoriou, G.
Pascalau, R. |
| ISBN: | 978-1-349-32890-1 |
| Publication Date: | Jan 2011 |
| Publisher: | Palgrave Macmillan Limited
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| Imprint: | Palgrave Macmillan |
| Book Format: | Paperback |
| List Price: | USD $125.00USD $109.99 |
Book Description:
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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.
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.