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

PART I: MARKET MICROSTRUCTURE DYNAMICS Fourier Method for Covariance Estimation and Dynamic Asset Allocation Under Microstructure Effects; M.E.Mancino& S.Sanfelici Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders; B.Chakrabarty& K.Tyurin Market Microstructure of Foreign Exchange Markets; Y.Hashimoto& T.Ito The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures Markets; D.Fantazzini PART II: PRICING MODELS AND FINANCIAL RISK MEASURES The Consumption-Based Capital Asset Pricing Model (CCAPM), habit-based consumption, and the Equity Premium in an Australian Context; D.E.Allen& L. Demello Testing the Lower Partial Moment Asset Pricing Models in Emerging Markets; J.Iqbal, R.D.Brooks& D.U.A.Galagedera Asset Pricing, the Fama-French Factor Model and the implications of Quantile Regression Analysis; D.E.Allen, A.Kumar Singh & R.Powell On the Effects of Liquidity and Trading Activity to Forecast Downside Risk; L. Sanchis-Marco& A.Rubia Econometric Methods for Portfolio Selection with Time Varying Value-At-Risk; E.W.Rengifo& J.V.K.Rombouts A Risk and Forecasting Analysis of West Texas Intermediate Prices; D.E.Allen & A.K.Singh