Information Spillover Effect And Autoregressive Conditional Duration Models by Xiangli LiuInformation Spillover Effect And Autoregressive Conditional Duration Models by Xiangli Liu

Information Spillover Effect And Autoregressive Conditional Duration Models

byXiangli Liu, Yanhui Liu, Yongmiao Hong

Hardcover | March 7, 2014

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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.

Xiangli Liureceived her PhD in Management Sciences and Engineering from the School of Management, Graduate University of the Chinese Academy of Sciences in 2008. She is currently Associate Professor of the School of Finance, Central University of Finance and Economics. She has published over 20 papers in domestic and international jour...
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Title:Information Spillover Effect And Autoregressive Conditional Duration ModelsFormat:HardcoverDimensions:228 pages, 9.41 × 7.24 × 0.98 inPublished:March 7, 2014Publisher:Taylor and FrancisLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0415721687

ISBN - 13:9780415721684

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