Information spillover effect and autoregressive conditional duration models/

By:

Liu, Xiangli

Contributor(s):

Material type: Text

TextSeries: Routledge advances in risk managementPublication details: London: Routledge, 2015.Description: xvii, 209pISBN:

9780415721684

DDC classification:

332.01154 LIU

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.

Item type:

Book

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Holdings
Item type	Current library	Call number	Status	Date due	Barcode
Book	IIM Kashipur	332.01154 LIU (Browse shelf(Opens below))	Available		5794

Includes index.

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.

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