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Financial econometrics modeling = market microstructure, factor models and financial risk measures /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Financial econometrics modeling/ edited by Greg N. Gregoriou, Razvan Pascalau.
Reminder of title:	market microstructure, factor models and financial risk measures /
other author:	Gregoriou, Greg N.,
Published:	Basingstoke :Palgrave Macmillan, : 2010.,
Description:	1 online resource.
Subject:	Econometrics. -
Online resource:	An electronic book accessible through the World Wide Web; click for information
ISBN:	9780230298101 (electronic bk.)

Financial econometrics modeling = market microstructure, factor models and financial risk measures /
Financial econometrics modelingmarket microstructure, factor models and financial risk measures /[electronic resource] :edited by Greg N. Gregoriou, Razvan Pascalau. - Basingstoke :Palgrave Macmillan,2010. - 1 online resource.

Fourier Method for Covariance Estimation and Dynamic Asset Allocation Under Microstructure Effects / M.E. Mancino & S. Sanfelici -- Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders / B. Chakrabarty & K. Tyurin -- Market Microstructure of Foreign Exchange Markets / Y. Hashimoto & T. Ito -- The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures Markets / D. Fantazzani -- The Consumption-Based Capital Asset Pricing Model (CCAPM), habit-based consumption, and the Equity Premium in an Australian Context / D.E. Allen & L. Demello -- Testing the Lower Partial Moment Asset Pricing Models in Emerging Markets / J. Iqbal, R.D. Brooks & D.U.A. Galagedera -- Asset Pricing, the Fama-French Factor Model and the implications of Quantile Regression Analysis / D.E. Allen, A. Kumar Singh & R. Powell -- On the Effects of Liquidity and Trading Activity to Forecast Downside Risk / L. Sanchis-Marco & A. Rubia -- Econometric Methods for Portfolio Selection with Time Varying Value-At-Risk / E.W. Rengifo & J.V.K. Rombouts -- A Risk and Forecasting Analysis of West Texas Intermediate Prices / D.E. Allen & A.K. Singh.

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, applies asset-pricing models to emerging markets, and proposes new econometric methods for portfolio selection. Moreover, the book addresses the issue of value investing using three modified versions of the Book-to-Market strategy and shows how to use quantile-regression methodology to assess the impact of liquidity and trading activity on forecasting downside risk.

ISBN: 9780230298101 (electronic bk.)

Source: 484452Palgrave Macmillanhttp://www.palgraveconnect.comSubjects--Topical Terms:

120795
Econometrics.
Index Terms--Genre/Form:

96803
Electronic books.

LC Class. No.: HB139 / .F56 2010

Dewey Class. No.: 332.015195

Financial econometrics modeling = market microstructure, factor models and financial risk measures /
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245 0 0 $a Financial econometrics modeling $h [electronic resource] : $b market microstructure, factor models and financial risk measures / $c edited by Greg N. Gregoriou, Razvan Pascalau.
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300 $a 1 online resource.
505 0 $a Fourier Method for Covariance Estimation and Dynamic Asset Allocation Under Microstructure Effects / M.E. Mancino & S. Sanfelici -- Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders / B. Chakrabarty & K. Tyurin -- Market Microstructure of Foreign Exchange Markets / Y. Hashimoto & T. Ito -- The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures Markets / D. Fantazzani -- The Consumption-Based Capital Asset Pricing Model (CCAPM), habit-based consumption, and the Equity Premium in an Australian Context / D.E. Allen & L. Demello -- Testing the Lower Partial Moment Asset Pricing Models in Emerging Markets / J. Iqbal, R.D. Brooks & D.U.A. Galagedera -- Asset Pricing, the Fama-French Factor Model and the implications of Quantile Regression Analysis / D.E. Allen, A. Kumar Singh & R. Powell -- On the Effects of Liquidity and Trading Activity to Forecast Downside Risk / L. Sanchis-Marco & A. Rubia -- Econometric Methods for Portfolio Selection with Time Varying Value-At-Risk / E.W. Rengifo & J.V.K. Rombouts -- A Risk and Forecasting Analysis of West Texas Intermediate Prices / D.E. Allen & A.K. Singh.
520 $a 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, applies asset-pricing models to emerging markets, and proposes new econometric methods for portfolio selection. Moreover, the book addresses the issue of value investing using three modified versions of the Book-to-Market strategy and shows how to use quantile-regression methodology to assess the impact of liquidity and trading activity on forecasting downside risk.
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650 0 $a Financial risk management $x Mathematical models. $3 231766
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