4 citations · 7 across the 9 of their papers we have counts for
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q-fin.ST2011
The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders
john cotter, kevin dowd
This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electro…
q-fin.ST2011
U.S. Core Inflation: A Wavelet Analysis
kevin dowd, john cotter
This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made…