schliessen

Filtern

 

Bibliotheken

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 comovements between two time ser... Full description

PPN (Catalogue-ID): 790595311
Personen: Liu, Xiangli
Liu, Yanhui
Hong, Yongmiao
Wang, Shouyang
Format: eBook eBook
Enthält: Cover; Half Title; Title Page ; Copyright Page; Table of Contents; List of figures; List of tables; Preface; 1 Introduction; 1.1 Review of recent developments; 1.2 Organization and major conclusions; 2 Methodology to detect extreme risk spillover; 2.1 Granger causality in risk; 2.2 Method and test statistics; 2.3 Asymptotic theory; 2.4 Two-way Granger causality in risk; 2.5 Finite-sample performance; 2.6 Conclusion; Notes; 3 VaR estimation; 3.1 Upside VaR and Downside VaR; 3.2 Parametric conditional VaR estimation; 3.3 Semi-parametric VaR estimation based on volatility, skewness and kurtosis.
Language: English
Published: Hoboken, Taylor and Francis, 2014
Series: Routledge Advances in Risk Management
Notes: Description based upon print version of record.
Physical Description: Online-Ressource (229 p)
ISBN: 978-0-415-72168-4
Sekundärausgabe Online-Ausg.

Vorhandene Hefte/Bände

more (+)

Informationen zur Verfügbarkeit werden geladen

Staff View
LEADER 05174cam a22006852 4500
001 790595311
003 DE-627
005 20190310062117.0
007 cr uuu---uuuuu
008 140716s2014 xx |||||o 00| ||eng c
020 |a 9780415721684  |9 978-0-415-72168-4 
035 |a (DE-627)790595311 
035 |a (DE-599)GBV790595311 
035 |a (EBC)EBC1734188 
035 |a (EbpS)812514 
040 |a DE-627  |b ger  |c DE-627  |e rakwb 
041 |a eng 
050 0 |a HF1008 .L384 2014 
082 0 |a 332.041 
100 1 |a Liu, Xiangli 
245 1 0 |a Information Spillover Effect and Autoregressive Conditional Duration Models 
264 1 |a Hoboken  |b Taylor and Francis  |c 2014 
300 |a Online-Ressource (229 p) 
337 |a Computermedien  |b c  |2 rdamedia 
338 |a Online-Ressource  |b cr  |2 rdacarrier 
490 0 |a Routledge Advances in Risk Management 
500 |a Description based upon print version of record. 
501 |a Cover; Half Title; Title Page ; Copyright Page; Table of Contents; List of figures; List of tables; Preface; 1 Introduction; 1.1 Review of recent developments; 1.2 Organization and major conclusions; 2 Methodology to detect extreme risk spillover; 2.1 Granger causality in risk; 2.2 Method and test statistics; 2.3 Asymptotic theory; 2.4 Two-way Granger causality in risk; 2.5 Finite-sample performance; 2.6 Conclusion; Notes; 3 VaR estimation; 3.1 Upside VaR and Downside VaR; 3.2 Parametric conditional VaR estimation; 3.3 Semi-parametric VaR estimation based on volatility, skewness and kurtosis. 
501 |a 3.4 Nonparametric VaR estimation based on kernel function3.5 Backtest; 3.6 Data; 3.7 Empirical analysis in Chinese futures market; 3.8 Conclusion; 4 Extreme risk spillover between Chinese stock markets and international stock markets; 4.1 The Chinese stock market; 4.2 Data; 4.3 Evidence on Granger causality in risk; 4.4 Conclusion; Notes; 5 Information spillover effects between Chinese futures market and spot market; 5.1 Granger causality test; 5.2 Data; 5.3 VaR estimation; 5.4 Empirical results for information spillover between futures market and spot market; 5.5 Conclusion. 
501 |a 6 How well can autoregressive duration models capture the price durations dynamics of foreign exchanges?6.1 Nonparametric density forecast evaluation; 6.2 ACD models; 6.3 Data and estimation; 6.4 Empirical evidence; 6.5 Conclusion; Notes; 7 Intraday effect; 7.1 Calendar Effect; 7.2 Data; 7.3 Intraday trends of yield and volume; 7.4 Analysis of correlation among yield, volume and open interest; 7.5 Conclusion; 8 Conclusions and perspective studies; Appendix: mathematical proof; Bibliography; Index. 
520 |a 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 comovements 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 i 
533 |a Online-Ausg. 
700 1 |a Liu, Yanhui 
700 1 |a Hong, Yongmiao 
700 1 |a Wang, Shouyang 
776 1 |z 9781317667667  |c : 176.61 (NL)  |9 978-1-317-66766-7 
776 0 8 |i Print version  |a Information Spillover Effect and Autoregressive Conditional Duration Models 
856 4 0 |u http://gbv.eblib.com/patron/FullRecord.aspx?p=1734188  |3 Volltext 
856 4 0 |u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=812514  |3 Volltext 
856 4 0 |u https://ebookcentral.proquest.com/lib/gbv/detail.action?docID=1734188 
912 |a H-ZDB-4-NLEBK 
912 |a H-ZDB-30-PQE 
912 |a GBV_ILN_26 
912 |a SYSFLAG_1 
912 |a GBV_KXP 
912 |a H-ZDB-4-NLEBK 
912 |a H-ZDB-30-PQE 
912 |a GBV_ILN_206 
912 |a H-ZDB-4-NLEBK 
912 |a H-ZDB-30-PQE 
912 |a GBV_ILN_252 
935 |h GBV  |i hybr 
951 |a BO 
980 |2 26  |1 01  |b 1811206972  |h OLR-EBC  |k Vervielfältigungen (z.B. Kopien, Downloads) sind nur von einzelnen Kapiteln oder Seiten und nur zum eigenen wissenschaftlichen Gebrauch erlaubt. Die Weitergabe an Dritte sowie systematisches Downloaden sind untersagt.  |x 0206  |y znz  |z 10-10-18 
980 |2 206  |1 01  |b 1558043977  |d Online-Ressource  |e g  |h OLR-EBL  |k Please send a request, if the ebook is not available!  |l E-Books (Schweitzer)  |x 3350  |y zh  |z 25-07-15 
980 |2 252  |1 01  |b 1500968080  |f Thünen-Institut  |d Online-Ressource  |e g  |h OLR-EBL  |k Ebook noch nicht erworben! Nach dem Kauf: Vervielfältigungen (z. B. Kopien, Downloads) sind nur von einzelnen Kapiteln oder Seiten und nur zum eigenen wissenschaftlichen Gebrauch erlaubt. Keine Weitergabe an Dritte.  |l E-Books (Schweitzer)  |x 4252  |y zi070e  |z 03-09-14 
981 |2 26  |1 01  |r https://ebookcentral.proquest.com/lib/zbw/detail.action?docID=1734188 
995 |2 26  |1 01  |a OLR-EBC 
995 |2 206  |1 01  |a OLR-EBL 
995 |2 252  |1 01  |a OLR-EBL