Evaluating the Precision of Estimators of Quantile-Based Risk Measures

John Cotter and Kevin Dowd
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Kevin Dowd: The University of Nottingham, UK

No 200743, Working Papers from Geary Institute, University College Dublin

Abstract: This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic inter-dealer broking system indicates significant evidence of intraday seasonality in returns and return volatilities under usual market conditions. Moreover, analysis of realised tail outcomes supports seasonality for extraordinary market conditions across the trading day.

Keywords: Value at Risk; Expected Shortfall; Spectral Risk Measures; Moments; Precision. (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2011-06-24
New Economics Papers: this item is included in nep-mst and nep-rmg
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http://www.ucd.ie/geary/static/publications/workingpapers/gearywp200743.pdf (application/pdf)

Related works:
Working Paper: Evaluating the Precision of Estimators of Quantile-Based Risk Measures (2011)
Working Paper: Evaluating the Precision of Estimators of Quantile-Based Risk Measures (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:ucd:wpaper:2007/43

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