Information Spillover Effect and Autoregressive Conditional Duration Models
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ISBN-13:
9780415721684
Veröffentl:
2014
Erscheinungsdatum:
14.07.2014
Seiten:
210
Autor:
Xiangli Liu
Gewicht:
454 g
Format:
234x155x18 mm
Sprache:
Englisch
Beschreibung:
This book will be of interest to researchers who are interested in comovements among different financial markets and financial market microstructure. Investors and regulation organizations looking to improve risk management will find the book of invaluable use.
1. Introduction, 2. Methodology to Detect Extreme Risk Spillover, 3. VaR Estimation, 4. Extreme Risk Spillover Between Chinese Stock Markets and International Stock Markets, 5. Information Spillover Effects Between Chinese Futures Market and Spot Market, 6. How Well Can Autoregressive Duration Models Capture the Price Durations Dynamics of Foreign Exchanges, 7. Intraday Effect, 8. Conclusions and Perspective Studies
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