Gregoriou G.N., Pascalau R. Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures

Palgrave Macmillan, 2011. — 280 p. — ISBN: 0230283624, 9780230283626This 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.Contents
Market Microstructure Dynamics
Fourier Method for Covariance Estimation and Dynamic Asset Allocation Under Microstructure Effects
Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders
Market Microstructure of Foreign Exchange Markets
The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures Markets
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
Testing the Lower Partial Moment Asset Pricing Models in Emerging Markets
Asset Pricing, the Fama-French Factor Model and the implications of Quantile Regression Analysis
On the Effects of Liquidity and Trading Activity to Forecast Downside Risk
Econometric Methods for Portfolio Selection with Time Varying Value-At-Risk
A Risk and Forecasting Analysis of West Texas Intermediate Prices