The impact of order flow on the foreign exchange market: a copula approach

DOI10.1007/s10690-010-9118-0zbMath1208.91115OpenAlexW1994476538MaRDI QIDQ633820

Yoshihiro Kitamura

Publication date: 30 March 2011

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-010-9118-0

zbMATH Keywords

copulaexchange rateorder flow

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Cites Work

• An introduction to copulas. Properties and applications
• Fitting bivariate loss distributions with copulas
• Continuous Auctions and Insider Trading
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Maximum Likelihood Estimation of Misspecified Models
• Unnamed Item