{"product_id":"information-spillover-effect-and-autoregressive-xiangli-liu-9780415721684","title":"Information Spillover Effect and Autoregressive Conditional Duration Models","description":"\u003cp\u003eThis 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. \u003c\/p\u003e\u003cp\u003eThe 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. \u003c\/p\u003e\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Xiangli Liu,Yanhui Liu,Yongmiao Hong\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 0415721687\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9780415721684\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Routledge\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 07\/14\/2014\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 210\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Hardcover\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 1.00lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.20h x 6.10w x 0.70d","brand":"Xiangli Liu","offers":[{"title":"Hardcover","offer_id":48658874237183,"sku":"9780415721684","price":255.0,"currency_code":"USD","in_stock":false}],"url":"https:\/\/www.whiterainbookhouse.com\/products\/information-spillover-effect-and-autoregressive-xiangli-liu-9780415721684","provider":"WR Book House","version":"1.0","type":"link"}