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Information Spillover Effect and Autoregressive Conditional Duration Models. 情報スピルオーバー効果とACDモデル
・ISBN 978-0-415-72168-4 2015 hard GB£ 210.00
￥66,528.- (税込) ※（※）価格はご注文時の参考価格となります。
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・ISBN 978-1-138-31687-4 2018 paper GB£ 48.99
￥15,519.- (税込) ※（※）価格はご注文時の参考価格となります。
納品価格につきましては書籍の入荷時点で確定となります。
版元の原価改定、外国為替の変動等により異なる場合がございますので、予めご了承下さい。
電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-1-315-76884-7
| 著者・編者 | Liu, Xiangli / Liu, Yanhui / Hong, Yongmiao et al., |
|---|---|
| シリーズ | Routledge Advances in Risk Management |
| 出版社 | (Routledge, UK) |
| ページ数 | 210 pp. |
| 言語 | ENG |
| ニュース番号 | ＜613-1028 613-557＞ |
解説
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.