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Palgrave Macmillan

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

ISBN 9780230283626
Publication Date January 2011
Formats Hardcover Ebook (EPUB) Ebook (PDF) 
Publisher Palgrave Macmillan

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, applies asset-pricing models to emerging markets, and proposes new econometric methods for portfolio selection. Moreover, the book addresses the issue of value investing using three modified versions of the Book-to-Market strategy and shows how to use quantile-regression methodology to assess the impact of liquidity and trading activity on forecasting downside risk.

GREG N. GREGORIOU is Professor of Finance at State University of New York at Plattsburgh, USA. He is also Research Associate at EDHEC Business School, Nice, France. He has published 50 books, over 55 refereed publications and 22 book chapters. His research interests focus on Hedge Funds, Funds of Hedge Funds and Managed Futures.

RAZVAN PASCALAU is Assistant Professor of Economics at State University of New York at Plattsburgh, USA. His fields of interest are Applied Time Series Econometrics, Financial Risk Management, International Finance, and Managerial Finance/Economics.

Fourier Method for Covariance Estimation and Dynamic Asset Allocation Under Microstructure Effects; M.E.Mancino& S.Sanfelici
Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders; B.Chakrabarty& K.Tyurin
Market Microstructure of Foreign Exchange Markets; Y.Hashimoto& T.Ito
The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures Markets; D.Fantazzini
The Consumption-Based Capital Asset Pricing Model (CCAPM), habit-based consumption, and the Equity Premium in an Australian Context; D.E.Allen& L. Demello
Testing the Lower Partial Moment Asset Pricing Models in Emerging Markets; J.Iqbal, R.D.Brooks& D.U.A.Galagedera
Asset Pricing, the Fama-French Factor Model and the implications of Quantile Regression Analysis; D.E.Allen, A.Kumar Singh & R.Powell
On the Effects of Liquidity and Trading Activity to Forecast Downside Risk; L. Sanchis-Marco& A.Rubia
Econometric Methods for Portfolio Selection with Time Varying Value-At-Risk; E.W.Rengifo& J.V.K.Rombouts
A Risk and Forecasting Analysis of West Texas Intermediate Prices; D.E.Allen & A.K.Singh

DAVID E. ALLEN Professor of Finance at Edith Cowan University, Perth, Western Australia
ROBERT D. BROOKS Professor in the Department of Econometrics and Business Statistics at Monash University, Australia
BIDISHA CHAKRABARTY Associate Professor of Finance at the John Cook Business School, Saint Louis University, USA
LURION DE MELLO Ph.D student in Economics at Macquarie University in Sydney, Australia
DEAN FANTAZZINI Associate Professor in Econometrics and Finance at the Moscow School of Economics, Moscow State University, Russia
DON U.A. GALAGEDERA Senior Lecturer in the Department of Econometrics and Business Statistics at Monash University, Australia
PHILIPP GRUEBER doctoral research assistant at the European Business School (EBS) International University, Germany
YUKO HASHIMOTO Associate Professor of Economics at Toyo University in Tokyo, Japan
ULRICH HOMMEL Professor of Finance as well as the Director of the Strategic Finance Institute (SFI) at the European Business School (EBS) International University, Germany
JAVED IQBAL Lecturer in the Department of Statistics at Karachi University, Pakistan
TAKATOSHI ITO Professor at the Graduate School of Economics, University of Tokyo, Japan
MARIA ELVIRA MANCINO Full Professor of Mathematical Finance and Actuarial Sciences at the Faculty of Economics, University of Firenze, Italy
MICHAEL MCALEER Fellow of the Academy of the Social Sciences in Australia (FASSA)
ROBERT POWELL 20 years banking experience in South Africa, New Zealand and Australia
ERICK W. RENGIFO Assistant Professor at the Department of Economics at Fordham University, New York, USA
JEROEN V.K. ROMBOUTS Assistant Professor at the Institute of Applied Economics at HEC, Montreal, Canada
ANTONIO RUBIA Associate Professor at the University of Alicante, Spain
LIDIA SANCHIS-MARCO working at the Department of Quantitative Modelling in the Caja de Ahorros del Mediterraneo (CAM), Spain
SIMONA SANFELICI Associate Professor of Mathematical Methods for Economics, Actuarial Sciences and Finance at the Faculty of Economics, University of Parma, Italy
ABHAY KUMAR SINGH Research Associate in the School of Accounting, Finance and Economics at Edith Cowan University, Australia
KONSTANTIN TYURIN Vice President of Financial Engineering at Investment Technology Group (ITG)
MARTIN D. WIETHÜCHTER Research Assistant at the European Business School (EBS) International University, Germany
HOLGER WOHLENBERG is Managing Director of Deutsche Börse


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