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

Editors: Gregoriou, G., Pascalau, R. (Eds.)

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About this book

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.

About the authors

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

Table of contents (10 chapters)

  • Covariance Estimation and Dynamic Asset-Allocation under Microstructure Effects via Fourier Methodology

    Mancino, Maria Elvira (et al.)

    Pages 3-32

  • Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders

    Chakrabarty, Bidisha (et al.)

    Pages 33-65

  • Market Microstructure of the Foreign Exchange Markets: Evidence from the Electronic Broking System

    Hashimoto, Yuko (et al.)

    Pages 66-91

  • The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures’ Markets

    Fantazzini, Dean

    Pages 92-131

  • The Consumption-Based Capital Asset-Pricing Model (CCAPM), Habit-Based Consumption and the Equity Premium in an Australian Context

    Allen, David E. (et al.)

    Pages 135-153

Buy this book

eBook $99.00
price for USA
  • ISBN 978-0-230-29810-1
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Download immediately after purchase
Hardcover $130.00
price for USA
  • ISBN 978-0-230-28362-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $125.00
price for USA
  • ISBN 978-1-349-32890-1
  • Free shipping for individuals worldwide
  • This title is currently reprinting. You can pre-order your copy now.

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Bibliographic Information

Bibliographic Information
Book Title
Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures
Editors
  • G. Gregoriou
  • R. Pascalau
Copyright
2011
Publisher
Palgrave Macmillan UK
Copyright Holder
Palgrave Macmillan, a division of Macmillan Publishers Limited
eBook ISBN
978-0-230-29810-1
DOI
10.1057/9780230298101
Hardcover ISBN
978-0-230-28362-6
Softcover ISBN
978-1-349-32890-1
Edition Number
1
Number of Pages
XXII, 257
Topics