Information Spillover Effect and Autoregressive Conditional Duration Models

Business & Finance
Cover of the book Information Spillover Effect and Autoregressive Conditional Duration Models by Xiangli Liu, Yanhui Liu, Yongmiao Hong, Shouyang Wang, Taylor and Francis
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Author: Xiangli Liu, Yanhui Liu, Yongmiao Hong, Shouyang Wang ISBN: 9781317667650
Publisher: Taylor and Francis Publication: July 11, 2014
Imprint: Routledge Language: English
Author: Xiangli Liu, Yanhui Liu, Yongmiao Hong, Shouyang Wang
ISBN: 9781317667650
Publisher: Taylor and Francis
Publication: July 11, 2014
Imprint: Routledge
Language: English

This book studies the information spillover among financial markets and explores the intraday effect and ACD models with high frequency data. This book also contributes theoretically by providing a new statistical methodology with comparative advantages for analyzing comovements between two time series. It explores this new method by testing the information spillover between the Chinese stock market and the international market, futures market and spot market. Using the high frequency data, this book investigates the intraday effect and examines which type of ACD model is particularly suited in capturing financial duration dynamics.

The book will be of invaluable use to scholars and graduate students interested in comovements among different financial markets and financial market microstructure and to investors and regulation departments looking to improve their risk management.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

This book studies the information spillover among financial markets and explores the intraday effect and ACD models with high frequency data. This book also contributes theoretically by providing a new statistical methodology with comparative advantages for analyzing comovements between two time series. It explores this new method by testing the information spillover between the Chinese stock market and the international market, futures market and spot market. Using the high frequency data, this book investigates the intraday effect and examines which type of ACD model is particularly suited in capturing financial duration dynamics.

The book will be of invaluable use to scholars and graduate students interested in comovements among different financial markets and financial market microstructure and to investors and regulation departments looking to improve their risk management.

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