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language: english
Publisher: TAYLOR & FRANCIS LTD, June of 2018 ‧
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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.

Information Spillover Effect And Autoregressive Conditional Duration Models

by Yanhui Liu, Yongmiao (Cornell University, U.S.A.) Hong, Xiangli (Central University Of Finance And Economics, China) Liu e Shouyang (Chinese Academy Of Sciences, China) Wang

Property Description
ISBN: 9781138316874
Publisher: TAYLOR & FRANCIS LTD
Release Date: June of 2018
Language: English
Cover: Softcover
Pages: 210
Format: Book
Collection: Routledge Advances In Risk Management
Categories: Books in English > Dictionaries and Encyclopedias > Encyclopedias
Books in English > Others
EAN: 9781138316874