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

by G. Gregoriou

2020-11-24 13:42:42

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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 in... Read more
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. Less

Book Details

File size9.02 X 5.98 X 0.69 in
Print pages257
PublisherPalgrave Macmillan
Publication date December 14, 2010
LanguageEnglish
ISBN9780230283626
autor-image
G. Gregoriou
Author
...

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