| Description |
1 online resource (xvii, 209 pages) |
| Series |
Routledge Advances in Risk Management ; 4 |
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Routledge advances in risk management ; 4.
|
| Contents |
Cover; Half Title; Title Page ; Copyright Page; Table of Contents; List of figures; List of tables; Preface; 1 Introduction; 1.1 Review of recent developments; 1.2 Organization and major conclusions; 2 Methodology to detect extreme risk spillover; 2.1 Granger causality in risk; 2.2 Method and test statistics; 2.3 Asymptotic theory; 2.4 Two-way Granger causality in risk; 2.5 Finite-sample performance; 2.6 Conclusion; Notes; 3 VaR estimation; 3.1 Upside VaR and Downside VaR; 3.2 Parametric conditional VaR estimation; 3.3 Semi-parametric VaR estimation based on volatility, skewness and kurtosis |
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3.4 Nonparametric VaR estimation based on kernel function3.5 Backtest; 3.6 Data; 3.7 Empirical analysis in Chinese futures market; 3.8 Conclusion; 4 Extreme risk spillover between Chinese stock markets and international stock markets; 4.1 The Chinese stock market; 4.2 Data; 4.3 Evidence on Granger causality in risk; 4.4 Conclusion; Notes; 5 Information spillover effects between Chinese futures market and spot market; 5.1 Granger causality test; 5.2 Data; 5.3 VaR estimation; 5.4 Empirical results for information spillover between futures market and spot market; 5.5 Conclusion |
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6 How well can autoregressive duration models capture the price durations dynamics of foreign exchanges?6.1 Nonparametric density forecast evaluation; 6.2 ACD models; 6.3 Data and estimation; 6.4 Empirical evidence; 6.5 Conclusion; Notes; 7 Intraday effect; 7.1 Calendar Effect; 7.2 Data; 7.3 Intraday trends of yield and volume; 7.4 Analysis of correlation among yield, volume and open interest; 7.5 Conclusion; 8 Conclusions and perspective studies; Appendix: mathematical proof; Bibliography; Index |
| Summary |
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 comovements 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 suite |
| Notes |
Online resource; title from digital title page (viewed on Aug. 8, 2014) |
| Subject |
Finance -- Mathematical models.
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Financial risk -- Mathematical models
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Capital market -- Mathematical models
|
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Information theory in finance.
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BUSINESS & ECONOMICS -- Finance.
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Capital market -- Mathematical models
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Finance -- Mathematical models
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Information theory in finance
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| Form |
Electronic book
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| Author |
Liu, Yanhui
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Hong, Yongmiao
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Wang, Shouyang
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| ISBN |
9781317667667 |
|
1317667662 |
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