Financial econometrics modeling: market microstructure, factor models and financial risk measures
Éditeur :
Palgrave Macmillan
ISBN :
9781349328901
Date de publication :
1 janv. 2011
Dimensions :
22,9 x 15,2 cm
Langue :
Anglais
Pays d'origine :
Grande Bretagne
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.