Record ID | marc_loc_2016/BooksAll.2016.part40.utf8:270048666:2121 |
Source | Library of Congress |
Download Link | /show-records/marc_loc_2016/BooksAll.2016.part40.utf8:270048666:2121?format=raw |
LEADER: 02121cam a2200349 i 4500
001 2013050059
003 DLC
005 20150715123232.0
008 140110s2015 enk b 001 0 eng
010 $a 2013050059
020 $a9780415721684 (hardback)
020 $z9781315768847 (ekb)
040 $aDLC$beng$cDLC$erda$dDLC
042 $apcc
050 00 $aHG106$b.L58 2015
082 00 $a332.01/154$223
084 $aBUS000000$2bisacsh
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 $axvii, 209 pages ;$c25 cm.
336 $atext$2rdacontent
337 $aunmediated$2rdamedia
338 $avolume$2rdacarrier
490 0 $aRoutledge advances in risk management ;$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.
650 0 $aFinance$xMathematical models.
650 0 $aFinancial risk$xMathematical models.
650 0 $aCapital market$xMathematical models.
650 0 $aInformation theory in finance.
650 7 $aBUSINESS & ECONOMICS / General.$2bisacsh