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

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

Financial Econometrics Modeling : Market Microstructure, Factor Models and Financial Risk Measures.cGreg N. Gregoriou

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Author: Greg N. Gregoriou
Page Count: 279 pages
Published Date: 15 Jan 2011
Publisher: Palgrave MacMillan
Publication Country: Basingstoke, United Kingdom
Language: English
Format: Pdf
ISBN: 9780230283626
File size: 49 Mb
Download Link: Financial Econometrics Modeling Market Microstructure, Factor Models and Financial Risk Measures
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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.

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