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

Posted By: libr
Date: 8 Dec 2012 23:28:55
Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures (repost)

Greg N. Gregoriou, "Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures"
2011 | ISBN: 0230283624 | PDF | 224 pages | 2,7 MB

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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