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

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

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Beschreibung

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...

Beschreibung

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.

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

14.12.2010

Abbildungen

XXII, 257 p.

Herausgeber G. Gregoriou + weitere

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

14.12.2010

Abbildungen

XXII, 257 p.

Herausgeber
Verlag Palgrave Macmillan UK
Seitenzahl

257

Maße (L/B/H)

21.6/13.7/2 cm

Gewicht

476 g

Auflage

2011 edition

Sprache

Englisch

ISBN

978-0-230-28362-6

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: gpsr@libri.de

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  • Produktbild: Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures
  • PART I: MARKET MICROSTRUCTURE DYNAMICS Fourier Method for Covariance Estimation and Dynamic Asset Allocation Under Microstructure Effects; M.E.Mancino& S.Sanfelici Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders; B.Chakrabarty& K.Tyurin Market Microstructure of Foreign Exchange Markets; Y.Hashimoto& T.Ito The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures Markets; D.Fantazzini PART II: PRICING MODELS AND FINANCIAL RISK MEASURES The Consumption-Based Capital Asset Pricing Model (CCAPM), habit-based consumption, and the Equity Premium in an Australian Context; D.E.Allen& L. Demello Testing the Lower Partial Moment Asset Pricing Models in Emerging Markets; J.Iqbal, R.D.Brooks& D.U.A.Galagedera Asset Pricing, the Fama-French Factor Model and the implications of Quantile Regression Analysis; D.E.Allen, A.Kumar Singh & R.Powell On the Effects of Liquidity and Trading Activity to Forecast Downside Risk; L. Sanchis-Marco& A.Rubia Econometric Methods for Portfolio Selection with Time Varying Value-At-Risk; E.W.Rengifo& J.V.K.Rombouts A Risk and Forecasting Analysis of West Texas Intermediate Prices; D.E.Allen & A.K.Singh