Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures
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Published By Palgrave Macmillan UK

9781349328901, 9780230298101

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Portfolio Selection with Time-Varying Value-at-Risk

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

10.1057/9780230298101_9 ◽

2011 ◽

pp. 213-234

Author(s):

Erick W. Rengifo ◽

Jeroen V. K. Rombouts

Keyword(s):

At Risk ◽

Portfolio Selection ◽

Value At Risk ◽

Time Varying

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

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

10.1057/9780230298101_4 ◽

2011 ◽

pp. 92-131

Author(s):

Dean Fantazzini

Keyword(s):

Futures Markets ◽

Intraday Analysis

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A Risk and Forecasting Analysis of West Texas Intermediate Prices

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

10.1057/9780230298101_10 ◽

2011 ◽

pp. 235-254

Author(s):

David E. Allen ◽

Abhay Kumar Singh

Keyword(s):

West Texas ◽

Forecasting Analysis

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

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

10.1057/9780230298101_6 ◽

2011 ◽

pp. 154-175

Author(s):

Javed Iqbal ◽

Robert D. Brooks ◽

Don U. A. Galagedera

Keyword(s):

Asset Pricing ◽

Emerging Markets ◽

Pricing Models ◽

Asset Pricing Models

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

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

10.1057/9780230298101_1 ◽

2011 ◽

pp. 3-32 ◽

Cited By ~ 4

Author(s):

Maria Elvira Mancino ◽

Simona Sanfelici

Keyword(s):

Asset Allocation ◽

Covariance Estimation ◽

Dynamic Asset Allocation ◽

Microstructure Effects

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

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

10.1057/9780230298101_5 ◽

2011 ◽

pp. 135-153

Author(s):

David E. Allen ◽

Lurion Demello

Keyword(s):

Asset Pricing ◽

Equity Premium ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model ◽

Australian Context

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

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

10.1057/9780230298101_2 ◽

2011 ◽

pp. 33-65 ◽

Cited By ~ 2

Author(s):

Bidisha Chakrabarty ◽

Konstantin Tyurin

Keyword(s):

Market Liquidity

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

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

10.1057/9780230298101_7 ◽

2011 ◽

pp. 176-193 ◽

Cited By ~ 8

Author(s):

David E. Allen ◽

Singh Robert Powell

Keyword(s):

Regression Analysis ◽

Asset Pricing ◽

Quantile Regression ◽

Factor Model ◽

Quantile Regression Analysis

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The Value of Liquidity and Trading Activity in Forecasting Downside Risk

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

10.1057/9780230298101_8 ◽

2011 ◽

pp. 194-212

Author(s):

Lidia Sanchis-Marco ◽

Antonio Rubia

Keyword(s):

Downside Risk ◽

Trading Activity

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

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

10.1057/9780230298101_3 ◽

2011 ◽

pp. 66-91

Author(s):

Yuko Hashimoto ◽

Takatoshi Ito

Keyword(s):

Foreign Exchange ◽

Market Microstructure ◽

Foreign Exchange Markets ◽

Exchange Markets

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Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk MeasuresLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Palgrave Macmillan UK

Portfolio Selection with Time-Varying Value-at-Risk

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

A Risk and Forecasting Analysis of West Texas Intermediate Prices

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

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

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

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

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

The Value of Liquidity and Trading Activity in Forecasting Downside Risk

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

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