Dealers trading in a limit order market must choose both the order aggressiveness and the quantity for their orders. We empirically investigate how dealers jointly make these decisions in the foreign exchange market using a unique simultaneous equations model. The model uses an ordered probit...

In this paper, we investigate the "static and dynamic" return and volatility spillovers’ transmission across developed and developing countries. Quoted against the US dollar, we study twenty-three global currencies over the time period 2005-2016. Focusing on the spillover index methodology,...