MARC Record from marc_columbia

LEADER: 04006cam a2200625 i 4500
001 14694114
005 20221119232720.0
006 m o d
007 cr |n|||||||||
008 141112s2015 enk ob 001 0 eng d
035 $a(OCoLC)ocn895116211
035 $a(NNC)14694114
040 $aYDXCP$beng$erda$epn$cYDXCP$dTYFRS$dE7B$dOCLCO$dOCLCQ$dOCLCO$dOCLCQ$dOCLCF$dAU@$dLEAUB$dUKAHL$dOCLCQ$dK6U$dOCLCO$dOCLCQ
019 $a889310726$a1100665625$a1124349615
020 $a9781315768847$q(electronic bk.)
020 $a1315768844$q(electronic bk.)
020 $a9781317667667$q(e-book)
020 $a1317667662
020 $a9781317667650$q(e-book)
020 $a1317667654
020 $z9780415721684$q(hardback)
020 $z0415721687$q(hardback)
035 $a(OCoLC)895116211$z(OCoLC)889310726$z(OCoLC)1100665625$z(OCoLC)1124349615
050 4 $aHG106$b.L58 2015
082 04 $a332.01/154$223
084 $aBUS000000$2bisacsh
049 $aZCUA
100 1 $aLiu, Xiangli,$d1971-
245 10 $aInformation spillover effect and autoregressive conditional duration models /$cXiangli Liu, Yanhui Liu, Yongmiao Hong and Shouyang Wang.
264 1 $aAbingdon, Oxon :$bRoutledge,$c2015.
300 $a1 online resource (xvii, 209 pages .)
336 $atext$btxt$2rdacontent
337 $acomputer$bc$2rdamedia
338 $aonline resource$bcr$2rdacarrier
490 1 $aRoutledge advances in risk management ;$v4
520 $a"This book studies the information spillover among financial markets and explores the intraday effect and ACD models with high frequency data. This book also contributes theoretically by providing a new statistical methodology with comparative advantages for analyzing co-movements between two time series. It explores this new method by testing the information spillover between the Chinese stock market and the international market, futures market and spot market. Using the high frequency data, this book investigates the intraday effect and examines which type of ACD model is particularly suited in capturing financial duration dynamics. This book will be of invaluable use to scholars and graduate students interested in co-movements among different financial markets and financial market microstructure and to investors and regulation departments looking to improve their risk management."--$cProvided by publisher
504 $aIncludes bibliographical references and index.
588 0 $aPrint version record.
505 0 $a1. 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.
650 0 $aFinance$xMathematical models.
650 0 $aFinancial risk$xMathematical models.
650 0 $aCapital market$xMathematical models.
650 0 $aInformation theory in finance.
650 6 $aFinances$xModèles mathématiques.
650 6 $aRisque financier$xModèles mathématiques.
650 6 $aMarché financier$xModèles mathématiques.
650 6 $aThéorie de l'information dans les finances.
650 7 $aBUSINESS & ECONOMICS$xGeneral.$2bisacsh
650 7 $aCapital market$xMathematical models.$2fast$0(OCoLC)fst00846365
650 7 $aFinance$xMathematical models.$2fast$0(OCoLC)fst00924398
650 7 $aInformation theory in finance.$2fast$0(OCoLC)fst00973172
776 08 $iPrint version:$aLiu, Xiangli, 1971-$tInformation spillover effect and autoregressive conditional duration models.$z9780415721684$z0415721687$w(DLC) 2013050059
830 0 $aRoutledge advances in risk management ;$v4.
856 40 $uhttp://www.columbia.edu/cgi-bin/cul/resolve?clio14694114$zTaylor & Francis eBooks
852 8 $blweb$hEBOOKS