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Cover image for book Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures

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

By:G. Gregoriou
Publisher:Springer Nature
Print ISBN:9780230283626
eText ISBN:9780230298101
Edition:0
Copyright:2011
Format:Page Fidelity

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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.