By Xiangli Liu,Yanhui Liu,Yongmiao Hong,Shouyang Wang
This book studies the knowledge spillover between monetary markets and explores the intraday impression and ACD types with excessive frequency data. This booklet also contributes theoretically by supplying a brand new statistical technique with comparative merits for reading comovements among time series. It explores this new method by testing the info spillover among the chinese language inventory marketplace and the overseas marketplace, futures marketplace and notice marketplace. utilizing the excessive frequency info, this publication investigates the intraday influence and examines which sort of ACD version is very applicable in shooting monetary period dynamics.
The book will be of precious use to scholars and graduate scholars drawn to comovements between assorted monetary markets and fiscal industry microstructure and to traders and law departments looking to improve their danger administration.
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Extra info for 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) by Xiangli Liu,Yanhui Liu,Yongmiao Hong,Shouyang Wang