Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures
Download or Read eBook Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures PDF written by G. Gregoriou and published by Springer. This book was released on 2010-12-13 with total page 277 pages. Available in PDF, EPUB and Kindle.
| Author | : G. Gregoriou |
| Publisher | : Springer |
| Total Pages | : 277 |
| Release | : 2010-12-13 |
| ISBN-10 | : 9780230298101 |
| ISBN-13 | : 0230298109 |
| Rating | : 4/5 (01 Downloads) |
Book Synopsis Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures by : G. Gregoriou
Book excerpt: 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.
