ISBN 13 : 978-0-230-28362-6

Sommaire : Contributors : Maria Elvira Mancino, Simona Sanfelici, Bidisha Chakrabart, Konstantin Tyurin, Yuko Hashimoto, Takatoshi Ito, Dean Fantazzani, David E.Allen, Lurion Demello, Javed Iqbal, Robert D.Brooks, Don U.A.Galagedera, Abhay Kumar Singh, Robert Powell, Lidia Sanchis-Marco, Antonio Rubia, Erick W.Rengifo, Jeroen V.K.Rombouts

PART I: Market microstructure dynamics
Covariance Estimation and Dynamic Asset Allocation Under Microstructure Effects via Fourier Methodology
Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders
Market Microstructure of Foreign Exchange Markets : evidence from the electronic broking system
The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures Markets

PART II: Factor models and financial risk measures

The Consumption-Based Capital Asset Pricing Model (CCAPM), habit-based consumption, and the Equity Premium in an Australian Context
Testing the Lower Partial Moment Asset Pricing Models in Emerging Markets
Asset Pricing, the Fama-French Factor Model and the implications of Quantile Regression Analysis
The value of liquidity and trading activity in forecasting
Portfolio Selection with Time Varying Value-At-Risk
A Risk and Forecasting Analysis of West Texas Intermediate Prices

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Professeur EDHEC : Oui

Propriétaire : Bibliothèque