Report NEP-MST-2006-10-14This is the archive for NEP-MST, a report on new working papers in the area of Market Microstructure. Thanos Verousis issued this report. It is usually issued weekly.
The following items were announced in this report:
- Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports, Federal Reserve Bank of New York 262, Federal Reserve Bank of New York.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006. "Subsampling realised kernels," Economics Papers, Economics Group, Nuffield College, University of Oxford 2006-W10, Economics Group, Nuffield College, University of Oxford.