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Financial Econometrics Modeling Market Microstructure Factor Models and Financial Risk Measures 2011th Edition by G Gregoriou, R Pascalau ISBN 1349328901 9781349328901

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Financial Econometrics Modeling Market Microstructure Factor Models and Financial Risk Measures 2011th Edition G. Gregoriou Digital Instant Download

Author(s): G. Gregoriou, R. Pascalau
ISBN(s): 9781349328901, 1349328901
Edition: 2011
File Details: PDF, 2.71 MB
Year: 2010
Language: english
SKU: EB-2256834 Category: Tags: ,

Financial Econometrics Modeling Market Microstructure Factor Models and Financial Risk Measures 2011th Edition by G Gregoriou, R Pascalau – Ebook PDF Instant Download/Delivery: 1349328901, 9781349328901
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Product details:

ISBN 10: 1349328901 
ISBN 13: 9781349328901
Author: G Gregoriou, R Pascalau

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.

Financial Econometrics Modeling Market Microstructure Factor Models and Financial Risk Measures 2011th Table of contents:

Part I: Market Microstructure Dynamics

  • Fourier Method for Covariance Estimation and Dynamic Asset Allocation Under Microstructure Effects — Maria Elvira Mancino & Simona Sanfelici

  • Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders — Bidisha Chakrabarty & Konstantin Tyurin

  • Market Microstructure of Foreign Exchange Markets — Yuko Hashimoto & Takatoshi Ito

  • The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures Markets — Dean 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 — David E. Allen & Lurion Demello

  • Testing the Lower Partial Moment Asset‑Pricing Models in Emerging Markets — Javed Iqbal, Robert D. Brooks & Don U.A. Galagedera

  • Asset Pricing, the Fama–French Factor Model and the Implications of Quantile‑Regression Analysis — David E. Allen, Abhay Kumar Singh & Robert Powell

  • The Value of Liquidity and Trading Activity in Forecasting Downside Risk — Lidia Sanchis‑Marco & Antonio Rubia

  • Portfolio Selection with Time‑Varying Value‑at‑Risk — Erick W. Rengifo & Jeroen V.K. Rombouts

  • A Risk and Forecasting Analysis of West Texas Intermediate Prices — David E. Allen & Abhay Kumar Singh

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Tags: G Gregoriou, R Pascalau, Financial Econometrics, Market Microstructure