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The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders

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Cotter, John
Dowd, Kevin

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File URL: http://www.sciencedirect.com/science/article/B7CPP-4NWCGYK-1/2/ba0966c926827e8bd48b0dc92019af31
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Article provided by Elsevier in its journal Finance Research Letters.

Volume (Year): 4 (2007)
Issue (Month): 3 (September)
Pages: 146-154
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Handle: RePEc:eee:finlet:v:4:y:2007:i:3:p:146-154

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  1. Huisman, Ronald, et al, 2001. "Tail-Index Estimates in Small Samples," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 208-16, April.
  2. Martin D. D. Evans & Richard K. Lyons, 2002. "Order Flow and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 110(1), pages 170-180, February. [Downloadable!] (restricted)
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  3. Cotter, John, 2007. "Varying the VaR for unconditional and conditional environments," Journal of International Money and Finance, Elsevier, vol. 26(8), pages 1338-1354, December. [Downloadable!] (restricted)
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  4. Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2000. "Diagnosing and treating the fat tails in financial returns data," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 389-416, November. [Downloadable!] (restricted)
  5. Cotter, John, 2004. "Tail Behaviour of the Euro," MPRA Paper 3531, University Library of Munich, Germany, revised 2005. [Downloadable!]
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  6. Koedijk, Kees G & Kool, Clemens J M, 1992. "Tail Estimates of East European Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 83-96, January.
  7. Danielsson, J. & Payne, R., 2002. "Real trading patterns and prices in spot foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 203-222, April. [Downloadable!] (restricted)
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  8. Handa, Puneet & Schwartz, Robert A, 1996. " Limit Order Trading," Journal of Finance, American Finance Association, vol. 51(5), pages 1835-61, December. [Downloadable!] (restricted)
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