Information Spillover Effect and Autoregressive Conditional Duration Models

Name: Information Spillover Effect and Autoregressive Conditional Duration Models
Brand: Taylor & Francis Ltd
SKU: 9781138316874
Price: 66.87 EUR
Availability: InStock

Автор: LIU

Език:

Корици: С меки корици

Издател: Taylor & Francis Ltd

Наличност: 50% вероятност

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66.87 € 130.79 лв

This book studies the information spillover among financial markets and explores the intraday effect...

Информация за книгата

Автор

LIU

Език

Английски език

Корици

Книга - С меки корици

Издадена

2018

страници

210

EAN

9781138316874

ISBN

9781138316874

Enbook ID

19412523

Издател

Taylor & Francis Ltd

Теглоt

350

Размери

232 x 155 x 25

Пълно описание

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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Information Spillover Effect and Autoregressive Conditional Duration Models

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