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Information Spillover Effect and Autoregressive Conditional Duration Models
ISBN-13:
9781317667667
Veröffentl:
2014
Seiten:
208
Autor:
Xiangli Liu
eBook Typ:
PDF
eBook Format:
EPUB
Kopierschutz:
2 - DRM Adobe
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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