Information Spillover Effect and Autoregressive Conditional Duration Models (ePub)

Xiangli Liu received her PhD in Management Sciences and Engineering from the School of Management, Graduate University of Chinese Academy of Sciences in 2008. She is currently Associate Professor of the School of Finance, Central University of Finance and Economics. She has published over 20 papers in domestic and international journals. Her research interests include econometrics, financial market microstructure and financial risk management.

Yanhui Liu received her PhD in Management Sciences and Engineering from the Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences in 2005.She has worked in the Development Bank of Singapore since 2005. Now she is the Chief Executive. She has published several papers in domestic and international journals. Her research interests include econometrics, financial econometrics and financial instruments.

Yongmiao Hong received his PhD in Economics, University of California, San Diego in 1993. He joined as Assistant Professor, Economics Department, at Cornell University in 1993, and became tenured Associate Professor in 1998 and tenured Full Professor in 2001. Now he serves as a tenured Professor of Economics and Statistics at Cornell University, a Cheung Kong Lecture Professor of Wang Yanan Institute for Studies in Economics (WISE) at Xiamen University. He has been selected as a member of the Thousand Talents Program to promote the recruitment of first-class international talents for the development of national key disciplines. His current research interests include econometrics, time series analysis and application, financial econometrics, Chinese economics and empirical research in financial markets in China.