Information Spillover Effect and Autoregressive Conditional Duration - Model

"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 advantagesfor analyzing co-movements 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. This book will be of invaluable use to scholars and graduate students interested in co-movements among different financial markets and financial market microstructure and to investors and regulation departments looking to improve their risk management. "--

Dettagli sul prodotto

• Autori: Yongmiao Hong, Yongmiao (Cornell University Hong, Hong Yongmiao, Xiangli Liu, Xiangli (Central University of Finance and Ec Liu, Xiangli (Central University of Finance and Economics Liu, Xiangli Liu Liu, Xiangli/ Liu Liu, Yanhui Liu, Liu Xiangli, Liu Yanhui, Shouyang Wang, Shouyang (Chinese Academy of Sciences Wang, Shouyang Liu Wang, Wang Shouyang
• Editore: Taylor & Francis Ltd.
• Lingue: Inglese
• Formato: Copertina rigida
• Pubblicazione: 03.07.2014
• EAN: 9780415721684
• ISBN: 978-0-415-72168-4
• Pagine: 210
• Serie: Routledge Advances in Risk Management; Routledge Advances in Risk Man; Routledge Advances in Risk Management; Routledge Advances in Risk Man
• Categorie: Scienze sociali, diritto, economia > Economia > Pubblicità, marketing; Business & Economics / General, Asia, Banking, Regional Studies, business strategy, Regional / International studies, Investment & securities, Econometrics, Investment and securities, Econometrics and economic statistics