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

Edited by Greg N. Gregoriou and Razvan Pascalau

in Palgrave Macmillan Books from Palgrave Macmillan

Date: 2011
ISBN: 978-0-230-29810-1
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Chapters in this book:

Ch 1 Covariance Estimation and Dynamic Asset-Allocation under Microstructure Effects via Fourier Methodology

Maria Elvira Mancino and Simona Sanfelici

Ch 2 Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders

Bidisha Chakrabarty and Konstantin Tyurin

Ch 3 Market Microstructure of the Foreign Exchange Markets: Evidence from the Electronic Broking System

Yuko Hashimoto and Takatoshi Ito

Ch 4 The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures’ Markets

Dean Fantazzini

Ch 5 The Consumption-Based Capital Asset-Pricing Model (CCAPM), Habit-Based Consumption and the Equity Premium in an Australian Context

David Allen and Lurion Demello

Ch 6 Testing the Lower Partial Moment Asset-Pricing Models in Emerging Markets

Javed Iqbal, Robert D. Brooks and Don Galagedera

Ch 7 Asset Pricing, the Fama—French Factor Model and the Implications of Quantile-Regression Analysis

David Allen and Robert Powell

Ch 8 The Value of Liquidity and Trading Activity in Forecasting Downside Risk

Lidia Sanchis-Marco and Antonio Rubia

Ch 9 Portfolio Selection with Time-Varying Value-at-Risk

Erick W. Rengifo and Jeroen V. K. Rombouts

Ch 10 A Risk and Forecasting Analysis of West Texas Intermediate Prices

David Allen and Abhay Kumar Singh

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DOI: 10.1057/9780230298101

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