Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures
Editor
- Greg N. Gregoriou(State University of New York (Plattsburgh)
EDHEC Business School)Razvan Pascalau(State University of New York (Plattsburgh))
Abstract
Individual chapters are listed in the "Chapters" tab
Suggested Citation
DOI: 10.1057/9780230298101
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Book Chapters
The following chapters of this book are listed in IDEAS- Maria Elvira Mancino & Simona Sanfelici, 2011. "Covariance Estimation and Dynamic Asset-Allocation under Microstructure Effects via Fourier Methodology," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, chapter 1, pages 3-32, Palgrave Macmillan.
- Bidisha Chakrabarty & Konstantin Tyurin, 2011. "Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, chapter 2, pages 33-65, Palgrave Macmillan.
- Yuko Hashimoto & Takatoshi Ito, 2011. "Market Microstructure of the Foreign Exchange Markets: Evidence from the Electronic Broking System," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, chapter 3, pages 66-91, Palgrave Macmillan.
- Dean Fantazzini, 2011. "The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures’ Markets," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, chapter 4, pages 92-131, Palgrave Macmillan.
- David E. Allen & Lurion Demello, 2011. "The Consumption-Based Capital Asset-Pricing Model (CCAPM), Habit-Based Consumption and the Equity Premium in an Australian Context," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, chapter 5, pages 135-153, Palgrave Macmillan.
- Javed Iqbal & Robert D. Brooks & Don U. A. Galagedera, 2011. "Testing the Lower Partial Moment Asset-Pricing Models in Emerging Markets," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, chapter 6, pages 154-175, Palgrave Macmillan.
- David E. Allen & Singh Robert Powell, 2011. "Asset Pricing, the Fama—French Factor Model and the Implications of Quantile-Regression Analysis," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, chapter 7, pages 176-193, Palgrave Macmillan.
- Lidia Sanchis-Marco & Antonio Rubia, 2011. "The Value of Liquidity and Trading Activity in Forecasting Downside Risk," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, chapter 8, pages 194-212, Palgrave Macmillan.
- Erick W. Rengifo & Jeroen V. K. Rombouts, 2011. "Portfolio Selection with Time-Varying Value-at-Risk," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, chapter 9, pages 213-234, Palgrave Macmillan.
- David E. Allen & Abhay Kumar Singh, 2011. "A Risk and Forecasting Analysis of West Texas Intermediate Prices," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, chapter 10, pages 235-254, Palgrave Macmillan.
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