東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Financial econometrics modeling = ma...

Gregoriou, Greg N., (1956-)

Linked to FindBook

Google Book

Amazon

博客來

Financial econometrics modeling = market microstructure, factor models and financial risk measures /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Financial econometrics modeling/ edited by Greg N. Gregoriou, Razvan Pascalau.
Reminder of title:	market microstructure, factor models and financial risk measures /
other author:	Gregoriou, Greg N.,
Published:	Basingstoke :Palgrave Macmillan, : 2010.,
Description:	1 online resource.
[NT 15003449]:	Fourier Method for Covariance Estimation and Dynamic Asset Allocation Under Microstructure Effects / M.E. Mancino & S. Sanfelici -- Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders / B. Chakrabarty & K. Tyurin -- Market Microstructure of Foreign Exchange Markets / Y. Hashimoto & T. Ito -- The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures Markets / D. Fantazzani -- The Consumption-Based Capital Asset Pricing Model (CCAPM), habit-based consumption, and the Equity Premium in an Australian Context / D.E. Allen & L. Demello -- Testing the Lower Partial Moment Asset Pricing Models in Emerging Markets / J. Iqbal, R.D. Brooks & D.U.A. Galagedera -- Asset Pricing, the Fama-French Factor Model and the implications of Quantile Regression Analysis / D.E. Allen, A. Kumar Singh & R. Powell -- On the Effects of Liquidity and Trading Activity to Forecast Downside Risk / L. Sanchis-Marco & A. Rubia -- Econometric Methods for Portfolio Selection with Time Varying Value-At-Risk / E.W. Rengifo & J.V.K. Rombouts -- A Risk and Forecasting Analysis of West Texas Intermediate Prices / D.E. Allen & A.K. Singh.
Subject:	Econometrics. -
Online resource:	http://www.palgraveconnect.com/doifinder/10.1057/9780230298101An electronic book accessible through the World Wide Web; click for information
ISBN:	9780230298101 (electronic bk.)

Financial econometrics modeling = market microstructure, factor models and financial risk measures /
Financial econometrics modelingmarket microstructure, factor models and financial risk measures /[electronic resource] :edited by Greg N. Gregoriou, Razvan Pascalau. - Basingstoke :Palgrave Macmillan,2010. - 1 online resource.

Fourier Method for Covariance Estimation and Dynamic Asset Allocation Under Microstructure Effects / M.E. Mancino & S. Sanfelici -- Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders / B. Chakrabarty & K. Tyurin -- Market Microstructure of Foreign Exchange Markets / Y. Hashimoto & T. Ito -- The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures Markets / D. Fantazzani -- The Consumption-Based Capital Asset Pricing Model (CCAPM), habit-based consumption, and the Equity Premium in an Australian Context / D.E. Allen & L. Demello -- Testing the Lower Partial Moment Asset Pricing Models in Emerging Markets / J. Iqbal, R.D. Brooks & D.U.A. Galagedera -- Asset Pricing, the Fama-French Factor Model and the implications of Quantile Regression Analysis / D.E. Allen, A. Kumar Singh & R. Powell -- On the Effects of Liquidity and Trading Activity to Forecast Downside Risk / L. Sanchis-Marco & A. Rubia -- Econometric Methods for Portfolio Selection with Time Varying Value-At-Risk / E.W. Rengifo & J.V.K. Rombouts -- A Risk and Forecasting Analysis of West Texas Intermediate Prices / D.E. Allen & A.K. Singh.

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, applies asset-pricing models to emerging markets, and proposes new econometric methods for portfolio selection. Moreover, 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.

ISBN: 9780230298101 (electronic bk.)

Source: 484452Palgrave Macmillanhttp://www.palgraveconnect.comSubjects--Topical Terms:

542934
Econometrics.
Index Terms--Genre/Form:

542853
Electronic books.

LC Class. No.: HB139 / .F56 2010

Dewey Class. No.: 332.015195

Financial econometrics modeling = market microstructure, factor models and financial risk measures /
LDR:03667cmm 2200409Ka 4500 001 1881867
003 OCoLC
005 20130621114703.0
006 m o d
007 cr cn|||||||||
008 130927s2010 enka o 000 0 eng d
019 $a 746579304 $a 816643061 $a 821633876 $a 823850153 $a 823920105
020 $a 9780230298101 (electronic bk.)
020 $a 0230298109 (electronic bk.)
020 $a 1282999109
020 $a 9781282999107
029 1 $a AU@ $b 000046932664
035 $a (OCoLC)696332330 $z (OCoLC)746579304 $z (OCoLC)816643061 $z (OCoLC)821633876 $z (OCoLC)823850153 $z (OCoLC)823920105
035 $a ocn696332330
037 $a 484452 $b Palgrave Macmillan $n http://www.palgraveconnect.com
040 $a UKPGM $b eng $c UKPGM $d EBLCP $d YDXCP $d OCLCQ $d IDEBK $d OCLCQ $d CDX $d OCLCO
049 $a TEFA
050 4 $a HB139 $b .F56 2010
072 7 $a KFF $2 bicssc
082 0 4 $a 332.015195 $2 22
245 0 0 $a Financial econometrics modeling $h [electronic resource] : $b market microstructure, factor models and financial risk measures / $c edited by Greg N. Gregoriou, Razvan Pascalau.
260 $a Basingstoke : $b Palgrave Macmillan, $c 2010.
300 $a 1 online resource.
505 0 $a Fourier Method for Covariance Estimation and Dynamic Asset Allocation Under Microstructure Effects / M.E. Mancino & S. Sanfelici -- Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders / B. Chakrabarty & K. Tyurin -- Market Microstructure of Foreign Exchange Markets / Y. Hashimoto & T. Ito -- The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures Markets / D. Fantazzani -- The Consumption-Based Capital Asset Pricing Model (CCAPM), habit-based consumption, and the Equity Premium in an Australian Context / D.E. Allen & L. Demello -- Testing the Lower Partial Moment Asset Pricing Models in Emerging Markets / J. Iqbal, R.D. Brooks & D.U.A. Galagedera -- Asset Pricing, the Fama-French Factor Model and the implications of Quantile Regression Analysis / D.E. Allen, A. Kumar Singh & R. Powell -- On the Effects of Liquidity and Trading Activity to Forecast Downside Risk / L. Sanchis-Marco & A. Rubia -- Econometric Methods for Portfolio Selection with Time Varying Value-At-Risk / E.W. Rengifo & J.V.K. Rombouts -- A Risk and Forecasting Analysis of West Texas Intermediate Prices / D.E. Allen & A.K. Singh.
520 $a 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, applies asset-pricing models to emerging markets, and proposes new econometric methods for portfolio selection. Moreover, 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.
588 $a Description based on print version record.
650 0 $a Econometrics. $3 542934
650 0 $a Finance $x Mathematical models. $3 578740
650 0 $a Financial risk management $x Mathematical models. $3 910589
655 4 $a Electronic books. $2 lcsh $3 542853
700 1 $a Gregoriou, Greg N., $d 1956- $3 763690
700 1 $a Pascalau, Razvan. $3 1973342
710 2 $a Palgrave Connect (Online service) $3 1081578
776 0 8 $i Print version: $t Financial econometrics modeling. $d Basingstoke : Palgrave Macmillan, 2010 $z 9780230283626 $w (OCoLC)655652347
856 4 0 $3 Palgrave Connect $u http://www.palgraveconnect.com/doifinder/10.1057/9780230298101 $z An electronic book accessible through the World Wide Web; click for information
938 $a EBL - Ebook Library $b EBLB $n EBL652520
938 $a YBP Library Services $b YANK $n 3615114
938 $a Ingram Digital eBook Collection $b IDEB $n 299910
938 $a Coutts Information Services $b COUT $n 24003722
994 $a C0 $b TEF