Information spillover effect and autoregressive conditional duration models:
"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 t...
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
London [u.a.]
Routledge
2015
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Routledge advances in risk management
4 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Zusammenfassung: | "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. ".. |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | XVII, 209 S. graph. Darst. |
| ISBN: | 9780415721684 |
Internformat
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| 490 | 1 | |a Routledge advances in risk management |v 4 | |
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| 650 | 7 | |a BUSINESS & ECONOMICS / General |2 bisacsh | |
| 650 | 4 | |a Mathematisches Modell | |
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| 650 | 4 | |a Financial risk |x Mathematical models | |
| 650 | 4 | |a Capital market |x Mathematical models | |
| 650 | 4 | |a Information theory in finance | |
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Datensatz im Suchindex
| _version_ | 1804151981713915904 |
|---|---|
| adam_text | Titel: Information spillover effect and autoregressive conditional duration models
Autor: Liu, Xiangli
Jahr: 2015
Contents
List of figures ix
List of tables x
Preface xiii
1 Introduction 1
1.1 Review of recent developments 2
1.2 Organization and major conclusions 5
2 Methodology to detect extreme risk spillover 9
2.1 Granger causality in risk 11
2.2 Method and test statistics 14
2.3 Asymptotic theory 18
2.4 Two-way Granger causality in risk 22
2.5 Finite-sample performance 26
2.6 Conclusion 35
Notes 35
3 VaR estimation 37
3.1 Upside VaR and Downside VaR 39
3.2 Parametric conditional VaR estimation 40
3.3 Semi-parametric VaR estimation based on volatility, skewness
andkurtosis 41
3.4 Nonparametric VaR estimation based on kernel function 42
3.5 Backtest 44
3.6 Data 44
3.7 Empirical analysis in Chinese futures market 46
3.8 Conclusion 51
4 Extreme risk spillover between Chinese stock markets and
international stock markets 52
4.1 The Chinese stock market 53
4.2 Data 55
4.3 Evidence on Granger causality in risk 60
4.4 Conclusion 83
Notes 83
5 Information spillover effects between Chinese futures market and
spot market 85
5.1 Granger causality test 86
5.2 Data 91
5.3 VaR estimation 93
5.4 Empirical results for information spillover between futures market
and spot market 97
5.5 Conclusion 101
6 How well can autoregressive duration models capture the price
durations dynamics of foreign exchanges? 102
6.1 Nonparametric density forecast evaluation 102
6.2 ACD models 109
6.3 Data and estimation 114
6.4 Empirical evidence 120
6.5 Conclusion 150
Notes 151
7 Intraday effect 152
7.1 Calendar Effect 152
7.2 Data 154
7.3 Intraday trends of yield and volume 157
7.4 Analysis of correlation among yield, volume and
open interest 161
7.5 Conclusion 176
8 Conclusions and perspective studies 178
Appendix: mathematical proof
Bibliography
Index
182
195
207
|
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| id | DE-604.BV041709933 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T01:03:27Z |
| institution | BVB |
| isbn | 9780415721684 |
| language | English |
| lccn | 013050059 |
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| physical | XVII, 209 S. graph. Darst. |
| publishDate | 2015 |
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| publisher | Routledge |
| record_format | marc |
| series | Routledge advances in risk management |
| series2 | Routledge advances in risk management |
| spelling | Information spillover effect and autoregressive conditional duration models Xiangli Liu ... 1. publ. London [u.a.] Routledge 2015 XVII, 209 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Routledge advances in risk management 4 Includes bibliographical references and index "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. ".. BUSINESS & ECONOMICS / General bisacsh Mathematisches Modell Wirtschaft Finance Mathematical models Financial risk Mathematical models Capital market Mathematical models Information theory in finance BUSINESS & ECONOMICS / General Liu, Xiangli Sonstige (DE-588)1014564964 oth Erscheint auch als Online-Ausgabe 978-1-315-76884-7 Routledge advances in risk management 4 (DE-604)BV041709929 4 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027157154&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Information spillover effect and autoregressive conditional duration models Routledge advances in risk management BUSINESS & ECONOMICS / General bisacsh Mathematisches Modell Wirtschaft Finance Mathematical models Financial risk Mathematical models Capital market Mathematical models Information theory in finance BUSINESS & ECONOMICS / General |
| title | Information spillover effect and autoregressive conditional duration models |
| title_auth | Information spillover effect and autoregressive conditional duration models |
| title_exact_search | Information spillover effect and autoregressive conditional duration models |
| title_full | Information spillover effect and autoregressive conditional duration models Xiangli Liu ... |
| title_fullStr | Information spillover effect and autoregressive conditional duration models Xiangli Liu ... |
| title_full_unstemmed | Information spillover effect and autoregressive conditional duration models Xiangli Liu ... |
| title_short | Information spillover effect and autoregressive conditional duration models |
| title_sort | information spillover effect and autoregressive conditional duration models |
| topic | BUSINESS & ECONOMICS / General bisacsh Mathematisches Modell Wirtschaft Finance Mathematical models Financial risk Mathematical models Capital market Mathematical models Information theory in finance BUSINESS & ECONOMICS / General |
| topic_facet | BUSINESS & ECONOMICS / General Mathematisches Modell Wirtschaft Finance Mathematical models Financial risk Mathematical models Capital market Mathematical models Information theory in finance |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027157154&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV041709929 |
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