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Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures PDF
Edited by G. Gregoriou, R. Pascalau
Description
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, applies asset-pricing models to emerging markets, and proposes new econometric methods for portfolio selection.
Moreover, the book addresses the issue of value investing using three modified versions of the Book-to-Market strategy and shows how to use quantile-regression methodology to assess the impact of liquidity and trading activity on forecasting downside risk.
Information
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Download - Immediately Available
- Format:PDF
- Pages:280 pages, 125, 55 black & white tables, 66 graphs, 4 figures
- Publisher:Palgrave Macmillan
- Publication Date:14/12/2010
- Category:
- ISBN:9780230298101
Information
-
Download - Immediately Available
- Format:PDF
- Pages:280 pages, 125, 55 black & white tables, 66 graphs, 4 figures
- Publisher:Palgrave Macmillan
- Publication Date:14/12/2010
- Category:
- ISBN:9780230298101