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Information Spillover Effect and Autoregressive Conditional Duration Models
Engelsk
Bogcover for Information Spillover Effect and Autoregressive Conditional Duration Models af Yongmiao Hong, Shouyang Wang, Xiangli Liu, Yanhui Liu, 9781138316874
Specifikationer
Sprog:
Engelsk
Sider:
210
ISBN-13:
9781138316874
Indbinding:
Paperback
ISBN-10:
1138316873
Kategori:
Udg. Dato:
28 jun 2018
Størrelse i cm:
15,5 x 23,2 x 2,5
Oplagsdato:
28 jun 2018
Paperback 2018
Format:

Bog beskrivelse

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.

The 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.

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Specifikationer
Sprog:
Engelsk
Sider:
210
ISBN-13:
9781138316874
Indbinding:
Paperback
ISBN-10:
1138316873
Kategori:
Udg. Dato:
28 jun 2018
Størrelse i cm:
15,5 x 23,2 x 2,5
Oplagsdato:
28 jun 2018
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