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, Yanhui Liu, Yongmiao Hong and Shouyang Wang.

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.

Publication Statements

Publisher(s):Routledge
Place of Publication:Abingdon, Oxon
Language:eng
Publication Date:2015.

The Physical Object

Description:xvii, 209 pages ; : 25 cm.

Edition Identifiers

ISBN:9780415721684, 0415721687
oclc:ocn854611230
LC Classification:HG106
Dewey Decimal:332.01/154

1, Introduction. Review of recent developments -- Organization and major conclusions -- 2, Methodology to detect extreme risk spillover. Granger causality in risk -- Method and test statistics -- Asymptotic theory -- Two-way Granger causality in risk -- Finite-sample performance -- 3, VaR estimation. Upside VaR and downside VaR -- Parametric conditional VaR estimation -- Semi-parametric VaR estimation based on volatility, skewness and kurtosis -- Nonparametric VaR estimation based on kernel function -- Backtest -- Data -- 4, Empirical analysis in Chinese futures market -- Extreme risk spillover between Chinese stock markets and international stock markets. The Chinese stock market -- Data -- Evidence on Granger causality in risk -- 5, Information spillover effects between Chinese futures market and spot market. Granger causality test -- Data -- VaR estimation -- Empirical results for information spillover between futures market and spot market -- 6, How well can autoregressive duration models capture the price durations dynamics of foreign exchanges? Nonparametric density forecast evaluation -- ACD models -- Data and estimation -- Empirical evidence -- 7, Intraday effect. Calendar…

Subjects

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