ABSTRACT
This conclusion presents some closing thoughts on the key concepts discussed in the preceding chapters of this book. The book focuses on two key issues belongs to both time series econometrics and financial econometrics: the information spillover effect between financial markets and the autoregressive conditional duration (ACD) models tailored for high frequency data. It proposes both theoretical methodology and empirical application. The book examines a new concept of Granger causality in risk which focuses on the comovements between the tails of the two distributions, a class of kernel-based statistical tests are proposed to test whether a large downside risk in one market will Granger-cause a large downside risk in another market. It adopts the parametric approach, semi-parametric approach and nonparametric approach to estimate the conditional Value at Risk (VaR) and unconditional VaR of the copper futures market. During the past thirty-five years, time-series econometrics has developed from infancy to relative maturity.
