Weekend Special | Take 10% Off. Get the code »

Information Spillover Effect and Autoregressive Conditional Duration Models

by , ,

Write The First Customer Review
Information Spillover Effect and Autoregressive Conditional Duration Models - Liu, Xiangli, and Liu, Yanhui, and Hong, Yongmiao
Filter Results
Shipping
Item Condition
Seller Rating
Other Options
Change Currency

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 co-movements 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 ...

Information Spillover Effect and Autoregressive Conditional Duration Models 2018, Routledge, London

ISBN-13: 9781138316874

Paperback

Select
Information Spillover Effect and Autoregressive Conditional Duration Models 2014, Routledge, London

ISBN-13: 9780415721684

Hardcover

Select