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Financial econometrics modeling = ma...

Gregoriou, Greg N., (1956-)

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

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Financial econometrics modeling/ edited by Greg N. Gregoriou, Razvan Pascalau.
其他題名:	market microstructure, factor models and financial risk measures /
其他作者:	Gregoriou, Greg N.,
出版者:	Basingstoke :Palgrave Macmillan, : 2010.,
面頁冊數:	1 online resource.
內容註:	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.
標題:	Econometrics. -
電子資源:	http://www.palgraveconnect.com/doifinder/10.1057/9780230298101An 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:

542934
Econometrics.
Index Terms--Genre/Form:

542853
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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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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