Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures
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 ex...
Other Authors: | , |
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Format: | eBook |
Language: | English |
Published: |
London
Palgrave Macmillan UK
2011, 2011
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Subjects: | |
Online Access: | |
Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Summary: | 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 |
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Physical Description: | XXII, 257 p online resource |
ISBN: | 9780230298101 |