Financial Econometrics Modeling (Innbundet)

Market Microstructure, Factor Models and Financial Risk Measures

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Innbinding: Innbundet
Utgivelsesår: 2010
Antall sider: 279
Forlag: Palgrave Macmillan
Språk: Engelsk
ISBN/EAN: 9780230283626
Kategori: Økonomi og ledelse
Omtale: Financial Econometrics Modeling
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.

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