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

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

G. Gregoriou

Format: Print Book

ISBN: 9781349328901

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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.

Publication Year: 2011
Imprint: Palgrave Macmillan UK
Format: P
Weight (Gram): 390





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