Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures
1st ed. 2011
Book Details
Format
Paperback / Softback
ISBN-10
1349328901
ISBN-13
9781349328901
Edition
1st ed. 2011
Publisher
Palgrave Macmillan
Imprint
Palgrave Macmillan
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Jan 1st, 2011
Print length
257 Pages
Ksh 16,200.00
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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.
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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