Report NEP-MST-2008-02-16This 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:
- Fulvio Corsi & Francesco Audrino, 2008. "Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects," University of St. Gallen Department of Economics working paper series 2008 2008-04, Department of Economics, University of St. Gallen.
- Yacine Ait-Sahalia & Jialin Yu, 2008. "High Frequency Market Microstructure Noise Estimates and Liquidity Measures," NBER Working Papers 13825, National Bureau of Economic Research, Inc.
- Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008. "Measuring downside risk-realised semivariance," Economics Papers 2008-W02, Economics Group, Nuffield College, University of Oxford.
- Nikola Gradojevic & Christopher J. Neely, 2008. "The dynamic interaction of order flows and the CAD/USD exchange rate," Working Papers, Federal Reserve Bank of St. Louis 2008-006, Federal Reserve Bank of St. Louis.
- Fulvio Corsi & Francesco Audrino, 2008. "Modeling Tick-by-Tick Realized Correlations," University of St. Gallen Department of Economics working paper series 2008 2008-05, Department of Economics, University of St. Gallen.
- Nevzat Eren & Han N. Ozsoylev, 2008. "Hype and Dump Manipulation," OFRC Working Papers Series, Oxford Financial Research Centre 2008fe08, Oxford Financial Research Centre.
- FrisÃ©n, Marianne, 2008. "Introduction to financial surveillance," Research Reports 2008:1, Statistical Research Unit, Department of Economics, School of Business, Economics and Law, University of Gothenburg.
- Kyriacou, Kyriacos & Luintel, Kul B & Mase, Bryan, 2008. "Private Information in Executives' Option Trades: Evidence from the UK," Cardiff Economics Working Papers E2008/4, Cardiff University, Cardiff Business School, Economics Section.
- Philip Strahan, 2008. "Liquidity Production in 21st Century Banking," NBER Working Papers 13798, National Bureau of Economic Research, Inc.