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

Business & Finance, Industries & Professions, Insurance, Finance & Investing, Corporate Finance
Cover of the book Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures by , Palgrave Macmillan UK
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Author: ISBN: 9780230298101
Publisher: Palgrave Macmillan UK Publication: December 13, 2010
Imprint: Palgrave Macmillan Language: English
Author:
ISBN: 9780230298101
Publisher: Palgrave Macmillan UK
Publication: December 13, 2010
Imprint: Palgrave Macmillan
Language: English

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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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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