Tail Behaviour of the Euro
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- John Cotter, 2005. "Tail behaviour of the euro," Applied Economics, Taylor & Francis Journals, vol. 37(7), pages 827-840.
- John Cotter, 2011. "Tail Behaviour of the Euro," Working Papers 200417, Geary Institute, University College Dublin.
- Cotter, John, 2004. "Tail Behaviour of the Euro," MPRA Paper 3531, University Library of Munich, Germany, revised 2005.
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Citations
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Cited by:
- 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.
- Cotter, John & Dowd, Kevin, 2007. "The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders," MPRA Paper 3493, University Library of Munich, Germany.
- 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.
- Cotter, John, 2006.
"Modelling catastrophic risk in international equity markets: An extreme value approach,"
MPRA Paper
3507, University Library of Munich, Germany.
- john cotter, 2011. "Modelling catastrophic risk in international equity markets: An extreme value approach," Papers 1103.5656, arXiv.org.
- John Cotter, 2011. "Modelling Catastrophic Risk in International Equity Markets: An Extreme Value Approach," Working Papers 200515, Geary Institute, University College Dublin.
- 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.
- Vladimir Petrov & Anton Golub & Richard Olsen, 2019. "Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time," JRFM, MDPI, vol. 12(2), pages 1-31, April.
- 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.
- Jesus Garcia-Iglesias, 2007. "How the European Central Bank decided its early monetary policy?," Applied Economics, Taylor & Francis Journals, vol. 39(7), pages 927-936.
- Wan, Jer-Yuh & Kao, Chung-Wei, 2008. "The euro and pound volatility dynamics: An investigation from conditional jump process," Research in International Business and Finance, Elsevier, vol. 22(2), pages 193-207, June.
- John Cotter, 2006. "Extreme Value Estimation of Boom and Crash Statistics," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 553-566.
- de Jesús, Raúl & Ortiz, Edgar & Cabello, Alejandra, 2013. "Long run peso/dollar exchange rates and extreme value behavior: Value at Risk modeling," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 139-152.
- John Cotter, 2005. "Extreme risk in futures contracts," Applied Economics Letters, Taylor & Francis Journals, vol. 12(8), pages 489-492.
- Cotter, John, 2004. "Modelling extreme financial returns of global equity markets," MPRA Paper 3532, University Library of Munich, Germany.
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More about this item
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2011-04-09 (European Economics)
- NEP-MIC-2011-04-09 (Microeconomics)
- NEP-MON-2011-04-09 (Monetary Economics)
- NEP-RMG-2011-04-09 (Risk Management)
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