"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 co-movements between two...

chapter 1 Introduction -- chapter 2 Methodology to detect extreme risk spillover -- chapter 3 VaR estimation -- chapter 4 Extreme risk spillover between Chinese stock markets and international stock markets -- chapter 5 Information spillover effects between Chinese futures market and spot market...

Controlling and monitoring extreme downside market risk are important for financial risk management and portfolio/investment diversification. In this paper, we introduce a new concept of Granger causality in risk and propose a class of kernel-based tests to detect extreme downside risk spillover...

Controlling and monitoring extreme downside market risk is important for financial risk management and portfolio/investment diversification. In this paper, we introduce a new concept of Granger causality in risk and propose a class of kernel-based tests to detect extreme downside risk spillover...