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Financial Econometrics Modeling : Market Microstructure, Factor Models and Financial Risk Measures
by G. Gregoriou and R. Pascalau
Other Available Formats
Overview
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.
This item is Non-Returnable
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Details
- ISBN-13: 9780230283626
- ISBN-10: 0230283624
- Publisher: Palgrave MacMillan
- Publish Date: December 2010
- Dimensions: 8.5 x 5.4 x 0.8 inches
- Shipping Weight: 1.05 pounds
- Page Count: 257
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