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

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. GREG N. GREGORIOU is Professor of Finance at State University of New York at Plattsburgh, USA. He is also Research Associate at EDHEC Business School, Nice, France. He has published 50 books, over 55 refereed publications and 22 book chapters. His research interests focus on Hedge Funds, Funds of Hedge Funds and Managed Futures. RAZVAN PASCALAU is Assistant Professor of Economics at State University of New York at Plattsburgh, USA. His fields of interest are Applied Time Series Econometrics, Financial Risk Management, International Finance, and Managerial Finance/Economics. INDICE: PART I: MARKET MICROSTRUCTURE DYNAMICS - 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 IntradayAnalysis of Volatility, Volume and Spreads: A Review with Applications to Futures Markets; 'D.Fantazzini' - PART II: PRICING MODELS AND FINANCIAL RISK MEASURES - 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 Methodsfor 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'

• ISBN: 978-0-230-28362-6
• Editorial: Palgrave MacM
• Encuadernacion: Cartoné
• Páginas: 280
• Fecha Publicación: 14/12/2010
• Nº Volúmenes: 1
• Idioma: Desconocido