210 pages | 26 B/W Illus.
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.
Risk management is one of the most important, most urgent and most difficult topics for not only top managers of every enterprise and top officials of every governmental department, but also for scientists in the fields of economics, finance, engineering, social science and earth science.
The book series places emphasis on the main problems of risk management in the changing new environments of operational and systems management. It invites quality works covering analysis, modeling, empirical studies and case analysis so as to offer solutions to the emerging new challenges.
It aims to publish new theories of risk management, new methods for risk management and new successful applications in risk management to promote research and development of risk management in many industries and many disciplines; to provide a bridge for exchange of academic researchers and practical risk managers to help academic researchers’ better understanding of risk and risk management and to help managers and officials to learn new methods, techniques and tools which might be efficient in risk identification, risk analysis, risk control and risk management.