Financial Econometrics Modeling: Market Microstructure,...

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Financial Econometrics Modeling: Market...

Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures

Name: Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures
ISBN: 9781349328901

G. Gregoriou, R. Pascalau

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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.

Categories:

Business & Economics

Year:

2010

Edition:

2011

Publisher:

Palgrave Macmillan

Language:

english

Pages:

279