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

G. Gregoriou (Editor) and R. Pascalau (Editor)

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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.
  • ISBN13 9780230283626
  • Publish Date 14 December 2010
  • Publish Status Active
  • Publish Country GB
  • Imprint Palgrave Macmillan
  • Format Hardcover
  • Pages 257
  • Language English