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.
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.
1. Introduction, 2. Methodology to Detect Extreme Risk Spillover, 3. VaR Estimation, 4. Extreme Risk Spillover Between Chinese Stock Markets and International Stock Markets, 5. Information Spillover Effects Between Chinese Futures Market and Spot Market, 6. How Well Can Autoregressive Duration Models Capture the Price Durations Dynamics of Foreign Exchanges, 7. Intraday Effect, 8. Conclusions and Perspective Studies
Xiangli Liu received her PhD in Management Sciences and Engineering
from the School of Management, Graduate University of the Chinese
Academy of Sciences in 2008. She is currently Associate Professor
of the School of Finance, Central University of Finance and
Economics. She has published over 20 papers in domestic and
international journals. Her research interests include
econometrics, financial market microstructure and financial risk
management.
Yanhui Liu received her PhD in Management Sciences and Engineering
from the Institute of Systems Science, Academy of Mathematics and
Systems Science, Chinese Academy of Sciences in 2005.She has worked
in the Development Bank of Singapore since 2005. Now she is
the Chief Executive. She has published several papers in domestic
and international journals. Her research interests include
econometrics, financial econometrics and financial instruments.
Yongmiao Hong received his PhD in Economics, University of
California, San Diego in 1993. He joined as Assistant Professor,
Economics Department, at Cornell University in 1993, and became
tenured Associate Professor in 1998 and tenured Full Professor in
2001. Now he serves as a tenured Professor of Economics and
Statistics at Cornell University and a Cheung Kong Lecture
Professor of Wang Yanan Institute for Studies in Economics (WISE)
at Xiamen University. He has been selected as a member of the
Thousand Talents Program to promote the recruitment of first-class
international talents for the development of national key
disciplines. His current research interests include
econometrics, time series analysis and application, financial
econometrics, Chinese economics and empirical research in financial
markets in China.
Shouyang Wang received his PhD in Operations Research from
the Institute of Systems Science, Academy of Mathematics and
Systems Science, Chinese Academy of Sciences in 1986. He is
currently a Bairen distinguished Professor of Management Science at
Academy of Mathematics and Systems Science, Chinese Academy of
Sciences. He is also an adjunct professor of over 30 universities
in the world. He is the editor-in-chief, an area editor or a
co-editor of 12 journals. He has published 30 monographs and over
250 papers in leading journals. His current research interests
include financial engineering, economic forecasting and financial
risk management.
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