Information Spillover Effect and Autoregressive Conditional Duration Models

This book PDF is perfect for those who love Business & Economics genre, written by Xiangli Liu and published by Routledge which was released on 11 July 2014 with total hardcover pages 246. You could read this book directly on your devices with pdf, epub and kindle format, check detail and related Information Spillover Effect and Autoregressive Conditional Duration Models books below.

Information Spillover Effect and Autoregressive Conditional Duration Models
Information Spillover Effect and Autoregressive Conditional Duration Models
Author : Xiangli Liu
File Size : 47,8 Mb
Publisher : Routledge
Language : English
Release Date : 11 July 2014
ISBN : 9781317667650
Pages : 246 pages
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Information Spillover Effect and Autoregressive Conditional Duration Models by Xiangli Liu Book PDF 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 comovements 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 comovements among different financial markets and financial market microstructure and to investors and regulation departments looking to improve their risk management.

Information Spillover Effect and Autoregressive Conditional Duration Models

Information Spillover Effect and Autoregressive Conditional Duration Models by Xiangli Liu,Yanhui Liu,Yongmiao Hong,Shouyang Wang

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 comovements between two time series. It explores this new method by testing the

Get Book
Information Spillover Effect and Autoregressive Conditional Duration Models

Information Spillover Effect and Autoregressive Conditional Duration Models by Xiangli Liu,Yanhui Liu,Yongmiao Hong,Shouyang Wang

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 comovements between two time series. It explores this new method by testing the

Get Book
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