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

by G. Gregoriou (Editor), R. Pascalau (Editor)

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.

Product Details

ISBN-13:	9781349328901
Publisher:	Palgrave Macmillan UK
Publication date:	01/01/2011
Edition description:	1st ed. 2011
Pages:	257
Product dimensions:	5.98(w) x 9.02(h) x (d)

About the Author

DAVID E. ALLEN Professor of Finance at Edith Cowan University, Perth, Western Australia ROBERT D. BROOKS Professor in the Department of Econometrics and Business Statistics at Monash University, Australia BIDISHA CHAKRABARTY Associate Professor of Finance at the John Cook Business School, Saint Louis University, USA LURION DE MELLO Ph.D student in Economics at Macquarie University in Sydney, Australia DEAN FANTAZZINI Associate Professor in Econometrics and Finance at the Moscow School of Economics, Moscow State University, Russia DON U.A. GALAGEDERA Senior Lecturer in the Department of Econometrics and Business Statistics at Monash University, Australia PHILIPP GRUEBER doctoral research assistant at the European Business School (EBS) International University, Germany YUKO HASHIMOTO Associate Professor of Economics at Toyo University in Tokyo, Japan ULRICH HOMMEL Professor of Finance as well as the Director of the Strategic Finance Institute (SFI) at the European Business School (EBS) International University, Germany JAVED IQBAL Lecturer in the Department of Statistics at Karachi University, Pakistan TAKATOSHI ITO Professor at the Graduate School of Economics, University of Tokyo, Japan MARIA ELVIRA MANCINO Full Professor of Mathematical Finance and Actuarial Sciences at the Faculty of Economics, University of Firenze, Italy MICHAEL MCALEER Fellow of the Academy of the Social Sciences in Australia (FASSA) ROBERT POWELL 20 years banking experience in South Africa, New Zealand and Australia ERICK W. RENGIFO Assistant Professor at the Department of Economics at Fordham University, New York, USA JEROEN V.K. ROMBOUTS Assistant Professor at the Institute of Applied Economics at HEC, Montreal, Canada ANTONIO RUBIA Associate Professor at the University of Alicante, Spain LIDIA SANCHIS-MARCO working at the Department of Quantitative Modelling in the Caja de Ahorros del Mediterraneo (CAM), Spain SIMONA SANFELICI Associate Professor of Mathematical Methods for Economics, Actuarial Sciences and Finance at the Faculty of Economics, University of Parma, Italy ABHAY KUMAR SINGH Research Associate in the School of Accounting, Finance and Economics at Edith Cowan University, Australia KONSTANTIN TYURIN Vice President of Financial Engineering at Investment Technology Group (ITG) MARTIN D. WIETHÜCHTER Research Assistant at the European Business School (EBS) International University, Germany HOLGER WOHLENBERG is Managing Director of Deutsche Börse.

Table of Contents

PART I: MARKET MICROSTRUCTURE DYNAMICS Fourier Method for Covariance Estimation and Dynamic Asset Allocation Under Microstructure Effects; M.E.Mancino& S.Sanfelici Market Liquidity, Sk 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.Fantazzini PART II: PRICING MODELS AND FINANCIAL RISK MEASURES 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