Information Spillover Effect and Autoregressive Conditional Duration Models
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Published By Routledge

9781315768847

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Intraday effect

Information Spillover Effect and Autoregressive Conditional Duration Models ◽

10.4324/9781315768847-14 ◽

2014 ◽

pp. 170-195

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Introduction

Information Spillover Effect and Autoregressive Conditional Duration Models ◽

10.4324/9781315768847-8 ◽

2014 ◽

pp. 19-26

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Methodology to detect extreme risk spillover

Information Spillover Effect and Autoregressive Conditional Duration Models ◽

10.4324/9781315768847-9 ◽

2014 ◽

pp. 27-54

Keyword(s):

Extreme Risk

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VaR estimation

Information Spillover Effect and Autoregressive Conditional Duration Models ◽

10.4324/9781315768847-10 ◽

2014 ◽

pp. 55-69

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Information spillover effects between Chinese futures market and spot market

Information Spillover Effect and Autoregressive Conditional Duration Models ◽

10.4324/9781315768847-12 ◽

2014 ◽

pp. 103-119

Keyword(s):

Spillover Effects ◽

Spot Market ◽

Futures Market ◽

Information Spillover

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Conclusions and perspective studies

Information Spillover Effect and Autoregressive Conditional Duration Models ◽

10.4324/9781315768847-15 ◽

2014 ◽

pp. 196-199

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How well can autoregressive duration models capture the price durations dynamics of foreign exchanges?

Information Spillover Effect and Autoregressive Conditional Duration Models ◽

10.4324/9781315768847-13 ◽

2014 ◽

pp. 120-169

Keyword(s):

Duration Models ◽

Foreign Exchanges

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Extreme risk spillover between Chinese stock markets and international stock markets

Information Spillover Effect and Autoregressive Conditional Duration Models ◽

10.4324/9781315768847-11 ◽

2014 ◽

pp. 70-102

Keyword(s):

Stock Markets ◽

International Stock Markets ◽

Extreme Risk ◽

Chinese Stock Markets

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