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Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures

Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures

ISBN: 9780230283626
Publisher: Palgrave Macmillan
Edition: 2011
Publication Date: 2010-12-14
Number of pages: 257
Any used item that originally included an accessory such as an access code, one time use worksheet, cd or dvd, or other one time use accessories may not be guaranteed to be included or valid. By purchasing this item you acknowledge the above statement.
$131.93

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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