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Intra-Day Seasonality in Foreign Market Transactions

Author

Listed:
  • Kevin Dowd

    (The University of Nottingham, UK)

  • John Cotter

    (University College Dublin, Ireland)

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.

Suggested Citation

  • Kevin Dowd & John Cotter, 2011. "Intra-Day Seasonality in Foreign Market Transactions," Working Papers 200746, Geary Institute, University College Dublin.
    • Handle: RePEc:ucd:wpaper:2007/46
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    File URL: http://www.ucd.ie/geary/static/publications/workingpapers/gearywp200746.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    limit orders; market orders; tail risks;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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