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Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures
 
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Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures
 
 
Palgrave Macmillan
 
 
 
 
 
14 Dec 2010
|
£75.00
|Hardback Print on Demand
  
9780230283626
||
 
 
eBooks ebook on Palgrave Connect  ebook available via library subscriptions ebook on ebooks.com 
 
 


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DescriptionContentsAuthors

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.


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, 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.


Contents

PART I: MARKET MICROSTRUCTURE DYNAMICS
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
PART II: PRICING MODELS AND FINANCIAL RISK MEASURES
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


Authors

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.