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Gregoriou, Greg N.

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

Gregoriou, Greg N. - Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, ebook

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ISBN: 9780230298101
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Table of contents

Part I. Market Microstructure Dynamics

1. Covariance Estimation and Dynamic Asset-Allocation under Microstructure Effects via Fourier Methodology
Maria Elvira Mancino, Simona Sanfelici

2. Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders
Bidisha Chakrabarty, Konstantin Tyurin

3. Market Microstructure of the Foreign Exchange Markets: Evidence from the Electronic Broking System
Yuko Hashimoto, Takatoshi Ito

4. The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures’ Markets
Dean Fantazzini

Part II. Factor Models and Financial Risk Measures

5. The Consumption-Based Capital Asset-Pricing Model (CCAPM), Habit-Based Consumption and the Equity Premium in an Australian Context
David E. Allen, Lurion Demello

6. Testing the Lower Partial Moment Asset-Pricing Models in Emerging Markets
Javed Iqbal, Robert D. Brooks, Don U. A. Galagedera

7. Asset Pricing, the Fama—French Factor Model and the Implications of Quantile-Regression Analysis
David E. Allen, Singh Robert Powell

8. The Value of Liquidity and Trading Activity in Forecasting Downside Risk
Lidia Sanchis-Marco, Antonio Rubia

9. Portfolio Selection with Time-Varying Value-at-Risk
Erick W. Rengifo, Jeroen V. K. Rombouts

10. A Risk and Forecasting Analysis of West Texas Intermediate Prices
David E. Allen, Abhay Kumar Singh

Keywords: Finance, Risk Management, Business Finance, Business Mathematics, Econometrics, Macroeconomics/Monetary Economics//Financial Economics

Editor
 
Publisher
Springer
Publication year
2011
Language
en
Edition
1
Page amount
279 pages
Category
Economy
Format
Ebook
eISBN (PDF)
9780230298101
Printed ISBN
978-1-349-32890-1

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