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Information Spillover Effect and Autoregressive Conditional Duration Models (Routledge Advances in Risk Management)
ISBN-13:
9780415721684
ISBN-10:
0415721687
Edition:
1
Author:
Yongmiao Hong, Shouyang Wang, Xiangli Liu, Yanhui Liu
Publication date:
2014
Publisher:
Routledge
Format:
Hardcover
210 pages
Category:
Finance
,
Risk Management
,
Insurance
FREE US shipping
Book details
ISBN-13:
9780415721684
ISBN-10:
0415721687
Edition:
1
Author:
Yongmiao Hong, Shouyang Wang, Xiangli Liu, Yanhui Liu
Publication date:
2014
Publisher:
Routledge
Format:
Hardcover
210 pages
Category:
Finance
,
Risk Management
,
Insurance
Summary
Information Spillover Effect and Autoregressive Conditional Duration Models (Routledge Advances in Risk Management) (ISBN-13: 9780415721684 and ISBN-10: 0415721687), written by authors
Yongmiao Hong, Shouyang Wang, Xiangli Liu, Yanhui Liu, was published by Routledge in 2014.
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Description
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 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. The 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.
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