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

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, Applies Asset-pricing Models To Emerging Markets, And Proposes New Econometric Methods For Portfolio Selection. Moreover, The Book Addresses The Issue Of Value Investing Using Three Modified Versions Of The Book-to-market Strategy And Shows How To Use Quantile-regression Methodology To Assess The Impact Of Liquidity And Trading Activity On Forecasting Downside Risk. Covariance Estimation And Dynamic Asset-allocation Under Microstructure Effects Via Fourier Methodology / Maria Elvira Mancino And Simona Sanfelici -- Market Liquidity, Stock Characteristics And Order Cancellations : The Case Of Fleeting Orders / Bidisha Chakrabarty And Konstantin Tyurin -- Market Microstructure Of The Foreign Exchange Markets : Evidence From The Electronic Broking System / Yuko Hashimoto And Takatoshi Ito -- The Intraday Analysis Of Volatility, Volume And Spreads : A Review With Application To Futures' Markets / Dean Fantazzini -- The Consumption-based Capital Asset-pricing Model (ccapm), Habit-based Consumption And The Equity Premium In An Australian Context / David E. Allen And Lurion Demello -- Testing The Lower Partial Moment Asset-pricing Models In Emerging Markets / Javed Iqbal, Robert D. Brooks And Don U.a. Galagedera -- Asset Pricing, The Fama-french Factor Model And The Implications Of Quantile-regression Analysis / David E. Allen, Abhay Kumar Singh And Robert Powell -- The Value Of Liquidity And Trading Activity In Forecasting Downside Risk / Lidia Sanchis-marco And Antonio Rubia -- Portfolio Selection With Time-varying Value-at-risk / Erick W. Rengifo And Jeroen V.k. Rombouts -- A Risk And Forecasting Analysis Of West Texas Intermediate Prices / David E. Allen And Abhay Kumar Singh. Edited By Greg N. Gregoriou And Razvan Pascalau. Includes Bibliographical References And Index.