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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.

Categorias:

Business & Economics

Ano:

2010

Edição:

2011

Editora:

Palgrave Macmillan

Idioma:

english

Páginas:

279