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...

Full description

Bibliographic Details
Other Authors: Gregoriou, Greg N. (Editor), Pascalau, Razvan (Editor)
Format: eBook
Language:English
Published: London Palgrave Macmillan UK 2011, 2011
Subjects:
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Description
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
Physical Description:XXII, 257 p online resource
ISBN:9780230298101