Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures [electronic resource] /
Gregoriou, G.editor.
Pascalau, R.editor.
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.
Description based upon print version of record.
Includes bibliographical references and index.
pt. 1. Market microstructure dynamics -- pt. 2. Factor models and financial risk measures.
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.
Risk management.
Business enterprises—Finance.
Business mathematics.
Econometrics.
Macroeconomics.
Risk Management.
Business Finance.
Business Mathematics.
Econometrics.
Macroeconomics/Monetary Economics//Financial Economics.