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, 2007. "The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders," Finance Research Letters, Elsevier, vol. 4(3), pages 146-154, September.
- john cotter & kevin dowd, 2011. "The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders," Papers 1103.5661, arXiv.org.
References listed on IDEAS
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Citations
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Cited by:
- Ana-Maria Gavril, 2009. "Exchange Rate Risk: Heads or Tails," Advances in Economic and Financial Research - DOFIN Working Paper Series 35, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
- Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
- Cotter, John & Dowd, Kevin, 2010.
"Intra-day seasonality in foreign exchange market transactions,"
International Review of Economics & Finance, Elsevier, vol. 19(2), pages 287-294, April.
- Cotter, John & Dowd, Kevin, 2007. "Intra-Day Seasonality in Foreign Exchange Market Transactions," MPRA Paper 3502, University Library of Munich, Germany.
- john cotter & kevin dowd, 2011. "Intra-Day Seasonality in Foreign Exchange Market Transactions," Papers 1103.5664, arXiv.org.
More about this item
JEL classification:
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G0 - Financial Economics - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2007-06-18 (Market Microstructure)
- NEP-RMG-2007-06-18 (Risk Management)
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