Information Spillover Effect and Autoregressive Conditional Duration Models

Information Spillover Effect and Autoregressive Conditional Duration Models Liu Xiangli ,Liu Yanhui ,Hong Yongmiao ,Wang Shouyang (Chinese Academy of Sciences China) Wydawca: Taylor & Francis Ltd Data wydania: 2018 ISBN: 9781138316874 Liczba stron: 210 Format: 155 x 232 x 25 Rodzaj oprawy: Paperback / softback Opis produktu: 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.