Information spillover effect and autoregressive conditional duration models

by LIU, Xiangli

Type Book

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Title Statements

Full title :Information spillover effect and autoregressive conditional duration models / Xiangli Liu ...

Summary

"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. 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."

Edition Statements

Publication Date:2015.
Edition:1. publ

Publication Statements

Publisher(s):Routledge
Place of Publication:London
Language:eng
Publication Date:2015.

The Physical Object

Description:XVII, 209 Seiten : : Diagramme.

Edition Identifiers

ISBN:9780415721684, 0415721687, 9781315768847, 1315768844
oclc:ocn915417703
LC Classification:HG106
Dewey Decimal:332.01/154

Subjects

BUSINESS et ECONOMICS -- General Capital market -- Mathematical models Finance -- mathematical models Finances -- Modèles mathématiques Financial risk -- Mathematical models Finanzmarktökonometrie Finanzmathematik Information theory in finance Informationsverbreitung Marché financier -- Modèles mathématiqu… Risque financier -- Modèles mathématiqu… Spillover-Effekt Théorie de l'information dans les finan…