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Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures: Market Microstructure, Factor Models and Financial Risk Measures (Electronic book text)
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Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures: Market Microstructure, Factor Models and Financial Risk Measures (Electronic book text)
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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.
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