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  • INFORMATION SPILLOVER EFFECT AND AUTOREGRESSIVE CONDITIONAL DURATION MODELS
    ebook
    INFORMATION SPILLOVER EFFECT AND AUTOREGRESSIVE CONDITIONAL DURATION MODELS
    XIANGLI LIU / YANHUI LIU / YONGMIAO HONG / SHOUYANG WANG
    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 th...

    $1,260.00

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