Information Spillover Effect and Autoregressive Conditional Duration Models

Name: Information Spillover Effect and Autoregressive Conditional Duration Models
ISBN: 9781138316874

5/5

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 f.

First published: 2018
Publishers: Taylor & Francis Group
Subjects: Financial risk management·Finance·Mathematical models·Capital market·Information theory in economics

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