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

DOI10.1007/S10690-010-9118-0MaRDI QIDQ633820zbMATH OpenOpenAlexFDO

Authors 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) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

• An introduction to copulas. Properties and applications
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Continuous Auctions and Insider Trading
• Fitting bivariate loss distributions with copulas
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Maximum Likelihood Estimation of Misspecified Models

Cited in

(2)

• Informativeness of trade size in foreign exchange markets
• Catching the Wave: Alertness, Responsiveness, and Market Influence in Global Electronic Networks

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