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

Name: Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures
ISBN: 9781349328901

G. Gregoriou, R. Pascalau

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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.

种类:

Business & Economics

年:

2010

出版:

2011

出版社:

Palgrave Macmillan

语言:

english

页:

279