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

1. Front Matter

   Pages i-xxii

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2. Market Microstructure Dynamics

   1. Front Matter

      Pages 1-1

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

      • Maria Elvira Mancino, Simona Sanfelici

      Pages 3-32

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

      • Bidisha Chakrabarty, Konstantin Tyurin

      Pages 33-65

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

      • Yuko Hashimoto, Takatoshi Ito

      Pages 66-91

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

      • Dean Fantazzini

      Pages 92-131

3. Factor Models and Financial Risk Measures

   1. Front Matter

      Pages 133-133

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

      • David E. Allen, Lurion Demello

      Pages 135-153

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

      • Javed Iqbal, Robert D. Brooks, Don U. A. Galagedera

      Pages 154-175

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

      • David E. Allen, Singh Robert Powell

      Pages 176-193

   5. The Value of Liquidity and Trading Activity in Forecasting Downside Risk

      • Lidia Sanchis-Marco, Antonio Rubia

      Pages 194-212

   6. Portfolio Selection with Time-Varying Value-at-Risk

      • Erick W. Rengifo, Jeroen V. K. Rombouts

      Pages 213-234

   7. A Risk and Forecasting Analysis of West Texas Intermediate Prices

      • David E. Allen, Abhay Kumar Singh

      Pages 235-254

4. Back Matter

   Pages 255-257

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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.

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

• State University of New York (Plattsburgh), USA

  Greg N. Gregoriou, Razvan Pascalau

• EDHEC Business School, Nice, France

  Greg N. Gregoriou

DAVID E. ALLEN Professor of Finance at Edith Cowan University, Perth, Western Australia ROBERT D. BROOKS Professor in the Department of Econometrics and Business Statistics at Monash University, Australia BIDISHA CHAKRABARTY Associate Professor of Finance at the John Cook Business School, Saint Louis University, USA LURION DE MELLO Ph.D student in Economics at Macquarie University in Sydney, Australia DEAN FANTAZZINI Associate Professor in Econometrics and Finance at the Moscow School of Economics, Moscow State University, Russia DON U.A. GALAGEDERA Senior Lecturer in the Department of Econometrics and Business Statistics at Monash University, Australia PHILIPP GRUEBER doctoral research assistant at the European Business School (EBS) International University, Germany YUKO HASHIMOTO Associate Professor of Economics at Toyo University in Tokyo, Japan ULRICH HOMMEL Professor of Finance as well as the Director of the Strategic Finance Institute (SFI) at the European Business School (EBS) International University, Germany JAVED IQBAL Lecturer in the Department of Statistics at Karachi University, Pakistan TAKATOSHI ITO Professor at the Graduate School of Economics, University of Tokyo, Japan MARIA ELVIRA MANCINO Full Professor of Mathematical Finance and Actuarial Sciences at the Faculty of Economics, University of Firenze, Italy MICHAEL MCALEER Fellow of the Academy of the Social Sciences in Australia (FASSA) ROBERT POWELL 20 years banking experience in South Africa, New Zealand and Australia ERICK W. RENGIFO Assistant Professor at the Department of Economics at Fordham University, New York, USA JEROEN V.K. ROMBOUTS Assistant Professor at the Institute of Applied Economics at HEC, Montreal, Canada ANTONIO RUBIA Associate Professor at the University of Alicante, Spain LIDIA SANCHIS-MARCO working at the Department of Quantitative Modelling in the Caja de Ahorros del Mediterraneo (CAM), Spain SIMONA SANFELICI Associate Professor of Mathematical Methods for Economics, Actuarial Sciences and Finance at the Faculty of Economics, University of Parma, Italy ABHAY KUMAR SINGH Research Associate in the School of Accounting, Finance and Economics at Edith Cowan University, Australia KONSTANTIN TYURIN Vice President of Financial Engineering at Investment Technology Group (ITG) MARTIN D. WIETHÜCHTER Research Assistant at the European Business School (EBS) International University, Germany HOLGER WOHLENBERG is Managing Director of Deutsche Börse.

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