Intra-Day Seasonality in Foreign Market Transactions

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

No 200746, Working Papers from Geary Institute, University College Dublin

Abstract: Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on an exponential utility function, and finds that these risk measures have nice intuitive properties. It also discusses how they can be estimated using numerical quadrature methods, and how confidence intervals for them can be estimated using a parametric bootstrap. Illustrative results suggest that estimated exponential spectral risk measures obtained using such methods are quite precise in the presence of normally distributed losses.

Keywords: limit orders; market orders; tail risks (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2011-06-24
New Economics Papers: this item is included in nep-rmg and nep-upt
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http://www.ucd.ie/geary/static/publications/workingpapers/gearywp200746.pdf (application/pdf)

Related works:
Working Paper: Intra-Day Seasonality in Foreign Market Transactions (2011)
Working Paper: Intra-Day Seasonality in Foreign Market Transactions (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ucd:wpaper:2007/46

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