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

Gregoriou, G.; Pascalau, R.

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.

Details

Published by: Palgrave Macmillan

Publication Date: 2010-12-14

Format: Hardcover

ISBN-13: 9780230283626

DOI: 10.1057/9780230298101

Dimensions: 229cm x152cm

Pages: 257