Name: Information Spillover Effect and Autoregressive Conditional Duration Models (Routledge Advances in Risk Management) (en Inglés)
Price: 870394.00 COP
Availability: InStock
Author: Xiangli Liu Yanhui Liu Yongmiao Hong Shouyang Wang
ISBN: 9780415721684

portada Information Spillover Effect and Autoregressive Conditional Duration Models (Routledge Advances in Risk Management) (en Inglés)

Formato

Libro Físico

Editorial

Routledge

Autor

Xiangli Liu Yanhui Liu Yongmiao Hong Shouyang Wang

Idioma

Inglés

N° páginas

210

Encuadernación

Tapa Dura

ISBN13

9780415721684

N° edición

Information Spillover Effect and Autoregressive Conditional Duration Models (Routledge Advances in Risk Management) (en Inglés)

Xiangli Liu Yanhui Liu Yongmiao Hong Shouyang Wang (Autor) · Routledge · Tapa Dura

Libro Físico

$ 870.394

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Reseña del libro "Information Spillover Effect and Autoregressive Conditional Duration Models (Routledge Advances in Risk Management) (en Inglés)"

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.