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Information Spillover Effect and Autoregressive Conditional Duration Models
ISBN-13:
9781317667650
Veröffentl:
2014
Seiten:
208
Autor:
Xiangli Liu
eBook Typ:
EPUB
eBook Format:
EPUB
Kopierschutz:
2 - DRM Adobe
Sprache:
Englisch
Beschreibung:
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, 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.
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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