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

More books from Taylor and Francis

Cover of the book Thinking Critically about Media and Politics by Xiangli Liu, Yanhui Liu, Yongmiao Hong, Shouyang Wang
Cover of the book Green Festival Reader by Xiangli Liu, Yanhui Liu, Yongmiao Hong, Shouyang Wang
Cover of the book The Theory and Practice of Strategic Environmental Assessment by Xiangli Liu, Yanhui Liu, Yongmiao Hong, Shouyang Wang
Cover of the book Ancient History from Coins by Xiangli Liu, Yanhui Liu, Yongmiao Hong, Shouyang Wang
Cover of the book The Autobiography of Alexander Luria by Xiangli Liu, Yanhui Liu, Yongmiao Hong, Shouyang Wang
Cover of the book Industrial Societies (Routledge Revivals) by Xiangli Liu, Yanhui Liu, Yongmiao Hong, Shouyang Wang
Cover of the book Negotiating the Glass Ceiling by Xiangli Liu, Yanhui Liu, Yongmiao Hong, Shouyang Wang
Cover of the book Art Therapy, Trauma, and Neuroscience by Xiangli Liu, Yanhui Liu, Yongmiao Hong, Shouyang Wang
Cover of the book Employment Relations under Coalition Government by Xiangli Liu, Yanhui Liu, Yongmiao Hong, Shouyang Wang
Cover of the book Effective Intervention in Primary Schools by Xiangli Liu, Yanhui Liu, Yongmiao Hong, Shouyang Wang
Cover of the book International Trade by Xiangli Liu, Yanhui Liu, Yongmiao Hong, Shouyang Wang
Cover of the book Chinese Investment in Africa by Xiangli Liu, Yanhui Liu, Yongmiao Hong, Shouyang Wang
Cover of the book Routledge Revivals: Ideology and Cultural Production (1979) by Xiangli Liu, Yanhui Liu, Yongmiao Hong, Shouyang Wang
Cover of the book International Trade and Carriage of Goods by Xiangli Liu, Yanhui Liu, Yongmiao Hong, Shouyang Wang
Cover of the book Lenin and the End of Politics by Xiangli Liu, Yanhui Liu, Yongmiao Hong, Shouyang Wang
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy