Edhec-Risk
Portfolio Management
Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures

Authors: Edited by Greg N. Gregoriou and Razvan Pascalau
Editions: Palgrave Macmillan
Pages: 257 pages
Date: December 2010
 
 
 
Summary
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, the book 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.

In addition, 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.

About the Editors:

Greg N. Gregoriou is Professor of Finance at State University of New York at Plattsburgh, USA. He is also Research Associate at EDHEC-Risk Institute, Nice, France.He has published 50 books, more than 55 refereed publications and 22 book chapters. His research interests focus on Hedge Funds, Funds of Hedge Funds and Managed Futures.

Razvan Pascalau is Assistant Professor of Economics at State University of New York at Plattsburgh, USA. His fields of interest include Applied Time Series Econometrics, Financial Risk Management, International Finance, and Managerial Finance/Economics.
 
 

URL for this document:
http://www.edhec-risk.com/edhec_publications/books/RISKBook.2010-09-01.3943

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