Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures 2011 Edition Contributor(s): Gregoriou, G. (Editor), Pascalau, R. (Editor) |
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ISBN: 1349328901 ISBN-13: 9781349328901 Publisher: Palgrave MacMillan OUR PRICE: $104.49 Product Type: Paperback - Other Formats Published: January 2011 |
Additional Information |
BISAC Categories: - Business & Economics | Econometrics - Business & Economics | Finance - Financial Risk Management - Business & Economics | Foreign Exchange |
Dewey: 332.015 |
Physical Information: 0.63" H x 6" W x 9" (0.91 lbs) 257 pages |
Descriptions, Reviews, Etc. |
Publisher Description: 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. |