density forecasts; financial risk management; functional autoregressive model
Autoregressive Duration Model (ACD), forecasting, high-frequency data, market microstructure
systemic risk, systemically important financial institutions, regulation, bank bailouts
information risk, transaction costs, price discovery, earnings announcements
Causality, price leadership, financial crisis, causality factors
Capital account liberalization, A- and H- share cross listings, short- and long-run price leadership
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foreign exchange, high‐frequency data, forecasting, duration model
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