Information spillover effect and autoregressive conditional duration models
Auteur :
Liu, Xiangli / Liu, Yanhui / Hong, Yongmiao / Wang, Shouyang
Éditeur :
Taylor & Francis Ltd
ISBN :
9781138316874
Date de publication :
28 juin 2018
Dimensions :
23,4 x 15,6 cm
Poids :
420 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
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.