Information Spillover Effect and Autoregressive Conditional Duration Models

Discover the intricate dynamics of financial markets with Information Spillover Effect and Autoregressive Conditional Duration Models by Xiangli Liu. Published by Taylor & Francis Ltd in 2018, this insightful book spans 210 pages and delves into the fascinating phenomenon of information spillover among financial markets. Liu expertly explores the intraday effects and employs Autoregressive Conditional Duration (ACD) models using high-frequency data, offering a comprehensive analysis that is both theoretical and practical.

With a focus on enhancing financial risk management and understanding market co-movements, this book introduces a new statistical methodology that provides comparative advantages for analyzing the interplay between two time series. Ideal for finance professionals, researchers, and students alike, this work is a must-have for anyone interested in capital markets and information theory in economics. Enhance your understanding of financial dynamics today!