Financial Econometrics Modeling: Market Microstructure, Factor Models And Financial Risk Measures by G. GregoriouFinancial Econometrics Modeling: Market Microstructure, Factor Models And Financial Risk Measures by G. Gregoriou

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

byG. Gregoriou

Hardcover | December 14, 2010

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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.
DAVID E. ALLEN Professor of Finance at Edith Cowan University, Perth, Western Australia ROBERT D. BROOKS Professor in the Department of Econometrics and Business Statistics at Monash University, Australia BIDISHA CHAKRABARTY Associate Professor of Finance at the John Cook Business School, Saint Louis University, USA LURION DE MELLO Ph....
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Title:Financial Econometrics Modeling: Market Microstructure, Factor Models And Financial Risk MeasuresFormat:HardcoverDimensions:257 pages, 9.02 × 5.98 × 0.69 inPublished:December 14, 2010Publisher:Palgrave MacmillanLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0230283624

ISBN - 13:9780230283626

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Table of Contents

PART I: MARKET MICROSTRUCTURE DYNAMICS Fourier Method for Covariance Estimation and Dynamic Asset Allocation Under Microstructure Effects; M.E.Mancino& S.Sanfelici Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders; B.Chakrabarty& K.Tyurin Market Microstructure of Foreign Exchange Markets; Y.Hashimoto& T.Ito The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures Markets; D.Fantazzini PART II: PRICING MODELS AND FINANCIAL RISK MEASURES The Consumption-Based Capital Asset Pricing Model (CCAPM), habit-based consumption, and the Equity Premium in an Australian Context; D.E.Allen& L. Demello Testing the Lower Partial Moment Asset Pricing Models in Emerging Markets; J.Iqbal, R.D.Brooks& D.U.A.Galagedera Asset Pricing, the Fama-French Factor Model and the implications of Quantile Regression Analysis; D.E.Allen, A.Kumar Singh & R.Powell On the Effects of Liquidity and Trading Activity to Forecast Downside Risk; L. Sanchis-Marco& A.Rubia Econometric Methods for Portfolio Selection with Time Varying Value-At-Risk; E.W.Rengifo& J.V.K.Rombouts A Risk and Forecasting Analysis of West Texas Intermediate Prices; D.E.Allen & A.K.Singh