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

[NT 42944] Record Type:	[NT 8598] Electronic resources : [NT 40817] monographic
[NT 47348] Title Information:	market microstructure, factor models and financial risk measures
[NT 47353] Alternative Intellectual Responsibility:	GregoriouGreg N., 1956-
[NT 47353] Alternative Intellectual Responsibility:	PascalauRazvan.,
[NT 47356] Secondary Intellectual Responsibility:	Palgrave Connect (Online service)
[NT 47351] Place of Publication:	Basingstoke
[NT 47263] Published:	Palgrave Macmillan;
[NT 47352] Year of Publication:	2010
[NT 47264] Description:	1 online resource.
[NT 47266] Subject:	Econometrics. -
[NT 47266] Subject:	Finance - Mathematical models. -
[NT 47266] Subject:	Financial risk management - Mathematical models. -
[NT 51458] Online resource:	http://www.palgraveconnect.com/doifinder/10.1057/9780230298101An electronic book accessible through the World Wide Web; click for information
[NT 47265] Notes:	Description based on print version record.
[NT 51398] Summary:	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.
[NT 50961] ISBN:	9780230298101electronic bk.
[NT 50961] ISBN:	0230298109electronic bk.
[NT 50961] ISBN:	1282999109
[NT 50961] ISBN:	9781282999107
[NT 60779] Content Note:	Fourier Method for Covariance Estimation and Dyclmic 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.

Financial econometrics modeling : market microstructure, factor models and financial risk measures
Financial econometrics modeling : market microstructure, factor models and financial risk measures / edited by Greg N. Gregoriou, Razvan Pascalau. - Basingstoke : Palgrave Macmillan, 2010. - 1 online resource..
Fourier Method for Covariance Estimation and Dyclmic Asset Allocation Under Microstructure Effects / M.E. Mancino & S. Sanfelici.
Description based on print version record..
ISBN 9780230298101ISBN 0230298109ISBN 1282999109ISBN 9781282999107
Econometrics.FinanceFinancial risk management -- Mathematical models. -- Mathematical models.

Gregoriou, Greg N.

Financial econometrics modeling : market microstructure, factor models and financial risk measures
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200 1 $a Financial econometrics modeling $e market microstructure, factor models and financial risk measures $f edited by Greg N. Gregoriou, Razvan Pascalau.
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327 1 $a Fourier Method for Covariance Estimation and Dyclmic Asset Allocation Under Microstructure Effects / M.E. Mancino & S. Sanfelici $a Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders / B. Chakrabarty & K. Tyurin $a Market Microstructure of Foreign Exchange Markets / Y. Hashimoto & T. Ito $a The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures Markets / D. Fantazzani $a The Consumption-Based Capital Asset Pricing Model (CCAPM), habit-based consumption, and the Equity Premium in an Australian Context / D.E. Allen & L. Demello $a Testing the Lower Partial Moment Asset Pricing Models in Emerging Markets / J. Iqbal, R.D. Brooks & D.U.A. Galagedera $a Asset Pricing, the Fama-French Factor Model and the implications of Quantile Regression Analysis / D.E. Allen, A. Kumar Singh & R. Powell $a On the Effects of Liquidity and Trading Activity to Forecast Downside Risk / L. Sanchis-Marco & A. Rubia $a Econometric Methods for Portfolio Selection with Time Varying Value-At-Risk / E.W. Rengifo & J.V.K. Rombouts $a A Risk and Forecasting Analysis of West Texas Intermediate Prices / D.E. Allen & A.K. Singh.
330 $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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606 $a Financial risk management $x Mathematical models. $2 lc $3 275579
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856 4 0 $3 Palgrave Connect $u http://www.palgraveconnect.com/doifinder/10.1057/9780230298101 $z An electronic book accessible through the World Wide Web; click for information