[PDF.17mc] Information Spillover Effect and Autoregressive Conditional Duration Models (Routledge Advances in Risk Management)

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

[PDF.jz08] Information Spillover Effect and Autoregressive Conditional Duration Models (Routledge Advances in Risk Management)

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 | #3733401 in eBooks |  2014-07-11 |  2014-07-11 | File type: PDF

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||About the Author||Xiangli Liu received 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, C

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, futu...

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