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