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Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures by Greg N. Gregoriou 9781349328901
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Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures by Greg N. Gregoriou 9781349328901

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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.

Book Information
ISBN 9781349328901
Author Greg N. Gregoriou
Format Paperback
Page Count 257
Imprint Palgrave Macmillan
Publisher Palgrave Macmillan

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