Synopses & Reviews
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.
About the Author
GREG N. GREGORIOU Professor of Finance at State University of New York, USA. He has published 34 books, over 50 refereed publications in peer-reviewed journals and 20 book chapters. His research interests focus on hedge funds, funds of hedge funds and managed futures.
RAZVAN PASCALAU Assistant Professor of Economics at State University of New York, USA. His research interests include (applied) Time Series Econometrics, Financial Risk Management, International Finance, and Managerial Finance/Economics.
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, 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
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