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

  • Greg N. Gregoriou
  • Razvan Pascalau

Table of contents

  1. Front Matter
    Pages i-xxii
  2. Market Microstructure Dynamics

  3. Factor Models and Financial Risk Measures

    1. Front Matter
      Pages 133-133
    2. Javed Iqbal, Robert D. Brooks, Don U. A. Galagedera
      Pages 154-175
    3. Lidia Sanchis-Marco, Antonio Rubia
      Pages 194-212
    4. Erick W. Rengifo, Jeroen V. K. Rombouts
      Pages 213-234
    5. David E. Allen, Abhay Kumar Singh
      Pages 235-254
  4. Back Matter
    Pages 255-257

About this book


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.


asset pricing calculus dynamics econometrics futures liquidity methods regression regression analysis value at risk value-at-risk volatility

Editors and affiliations

  • Greg N. Gregoriou
    • 1
    • 2
  • Razvan Pascalau
    • 1
  1. 1.State University of New York (Plattsburgh)USA
  2. 2.EDHEC Business SchoolNiceFrance

Bibliographic information