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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.

카테고리:

Business & Economics

년:

2010

판:

2011

출판사:

Palgrave Macmillan

언어:

english

페이지:

279