Information Spillover Effect And Autoregressive Conditional Duration Models
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Information Spillover Effect And Autoregressive Conditional Duration Models
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Author : Xiangli Liu
language : en
Publisher: Routledge
Release Date : 2014-07-11
Information Spillover Effect And Autoregressive Conditional Duration Models written by Xiangli Liu and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-07-11 with Business & Economics categories.
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 suited in capturing financial duration dynamics. The book will be of invaluable use to scholars and graduate students interested in comovements among different financial markets and financial market microstructure and to investors and regulation departments looking to improve their risk management.
Information Spillover Effect And Autoregressive Conditional Duration Models
DOWNLOAD
Author : Xiangli Liu
language : en
Publisher: Routledge
Release Date : 2014-07-11
Information Spillover Effect And Autoregressive Conditional Duration Models written by Xiangli Liu and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-07-11 with Business & Economics categories.
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 suited in capturing financial duration dynamics. The book will be of invaluable use to scholars and graduate students interested in comovements among different financial markets and financial market microstructure and to investors and regulation departments looking to improve their risk management.
Gold And International Finance
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Author : Haywood Cheung
language : en
Publisher: Taylor & Francis
Release Date : 2016-12-19
Gold And International Finance written by Haywood Cheung and has been published by Taylor & Francis this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-12-19 with Business & Economics categories.
This book describes the history of gold as a financial instrument and discusses gold exchanges in the major markets. It also describes the history of the Chinese Gold & Silver Exchange Society (CGSE), its current organizational structure and membership registration system. The book also includes the development and growth of the gold market in Hong Kong and the role played by CGSE in the growth of the Chinese gold market. It includes a brief description of the CGSE in the twenty-first century – its current role and what it may play in the future. The book explains factors that influence gold price and the mechanism of price formulation. It also describes the historic trends in the demand and supply of gold and the global inventory of gold, trends of the demand for investment holdings, jewelry manufacturing and industrial usage. The book also compares the movements in gold price with inflation and analyzes the data on how gold provides a hedge against inflation. It also examines and explains the relationship between gold and the US dollar (USD) and the correlation between dollar index (value of dollar against 16 major currencies) and gold price. It explores in depth on the relationship between gold price, output and inventories and major economic indices. This is a good reference for those interested in the comprehensive view of gold and its importance in the world economies.
Emerging Financial Derivatives
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Author : Jerome Yen
language : en
Publisher: Routledge
Release Date : 2014-11-27
Emerging Financial Derivatives written by Jerome Yen and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-27 with Business & Economics categories.
Exotic options and structured products are two of the most popular financial products over the past ten years and will soon become very important to the emerging markets, especially China. This book first discusses the products' recent development in the world and provides comprehensive overview of the major products. The book also discusses the risks of issuing and buying such products as well as the techniques to price them and to assess the risks. Volatility is the most important factor in determining the return and risk. Therefore, significant part of the book's content discusses how we can measure the volatility by using local and stochastic volatility models — Heston Model and Dupire Model, the volatility surface, the term structure of volatility, variance swaps, and breakeven volatility. The book introduces a set of dimensions which can be used to describe structured products to help readers to classify them. It also describes the more commonly traded exotic options with details. The book discusses key features of each exotic option which can be used to develop structured products and covers their pricing models and when to issue such products that contain such exotic options. This book contains several case studies about how to use the models or techniques to price and hedge risks. These case analyses are illuminating.
Green Transportation And Energy Consumption In China
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Author : Jian Chai
language : en
Publisher: Routledge
Release Date : 2017-06-26
Green Transportation And Energy Consumption In China written by Jian Chai and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-06-26 with Business & Economics categories.
This book provides insights into China’s energy consumption and pollution as well as its energy saving policies. It explores energy saving ways and argues for an energy consumption revolution, which includes technologies to improve transportation resource efficiency, modification of existing transportation infrastructure and structure. This book uses various analytical models to study the relationships within the transportation system. It also includes comparative analysis of China, Japan, the US and developing countries on traffic demand and transportation energy consumption. This book highlights the urgent need to review China’s current transportation policies in order to secure a breakthrough in energy saving and emissions reduction.
Chinese Currency Exchange Rates Analysis
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Author : Jiangze Du
language : en
Publisher: Routledge
Release Date : 2017-09-05
Chinese Currency Exchange Rates Analysis written by Jiangze Du and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-09-05 with Business & Economics categories.
This book provides an overview of Chinese RMB exchange markets and its risk management strategies. The view that RMB is playing an increasingly international role has been widely accepted by practitioners as well as scholars worldwide. Moreover, the Chinese government is opening the control of RMB exchange market step by step. However, some related topics are under heated debate, such as how to manage and warn of the currency crisis, what the trend of RMB exchange rate in the future is, and how to hedge the exchange risk in the process of RMB internationalization. In this book, we will give distinct answers to the above questions.
Forecasting Air Travel Demand
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Author : Yafei Zheng
language : en
Publisher: Routledge
Release Date : 2018-01-03
Forecasting Air Travel Demand written by Yafei Zheng and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-01-03 with Business & Economics categories.
This book provides an updated, concise summary of forecasting air travel demand methodology. It looks at air travel demand forecasting research and attempts to outline the whole intellectual landscape of demand forecasting. It helps readers to understand the basic idea of TEI@I methodology used in forecasting air travel demand and how it is used in developing air travel demand forecasting methods. The book also discusses what to do when facing different forecasting problems making it a useful reference for business practitioners in the industry.
Operational Risk Management In Container Terminals
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Author : Eric Su
language : en
Publisher: Routledge
Release Date : 2015-06-19
Operational Risk Management In Container Terminals written by Eric Su and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-19 with Business & Economics categories.
This book provides an overview of the operation of container terminals and the associated risks with such operations. These risks are often ignored or not properly investigated by both scholars and practitioners. Operational Risk Management in Container Terminals explores and discusses the decision rationales and the consequences for these operational risks handling process, with in-depth investigation on the container terminals in the Asia-Pacific region. The topics covered include the history and development of the container terminals, the operation of the terminals and risk incurred, the risk-management theories and concepts, rationales and consequences of the risk decisions in the container terminal operations, common practices and recommendations on terminal operational risk handling.
Managing Currency Options In Financial Institutions
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Author : Yat-Fai Lam
language : en
Publisher: Routledge
Release Date : 2017-09-19
Managing Currency Options In Financial Institutions written by Yat-Fai Lam and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-09-19 with Business & Economics categories.
The book introduces how we can manage currency options with the Vanna-Volga method. It describes the underlying theories and applications of the Vanna-Volga method in managing currency options of a financial institution, conforming to the Basel III regulatory requirements which demand a high consistency between the valuation and market risk calculation methodologies of financial instruments. The book illustrates with technical details to shed understanding on the major applications, including valuation, volatility recovery, dynamic portfolio replication and value-at-risk. Those who study finance, risk management, quantitative finance or similar areas, as well as practitioners who wish to learn how to valuate, hedge and manage the market risk of currency options with more advanced models and techniques will find the book of invaluable use.
Progress Towards Achieving Cross Regional Carbon Mitigation Targets
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Author : Kangyin Dong
language : en
Publisher: Frontiers Media SA
Release Date : 2023-02-17
Progress Towards Achieving Cross Regional Carbon Mitigation Targets written by Kangyin Dong and has been published by Frontiers Media SA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-02-17 with Technology & Engineering categories.