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.
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