Report NEP-MST-2008-06-27

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Other reports in NEP-MST

The following items were anounced in this report:

• Ingmar Nolte & Valeri Voev, 2008. "Estimating High-Frequency Based (Co-) Variances: A Unified Approach," CREATES Research Papers 2008-31, School of Economics and Management, University of Aarhus. [Downloadable!]
• Silja Kinnebrock & Mark Podolskij, 2008. "An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models," CREATES Research Papers 2008-23, School of Economics and Management, University of Aarhus. [Downloadable!]
• Mark Podolskij & Mathias Vetter, 2007. "Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps," CREATES Research Papers 2007-27, School of Economics and Management, University of Aarhus. [Downloadable!]
• Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007. "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers 2007-14, School of Economics and Management, University of Aarhus. [Downloadable!]
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007. "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers 2007-20, School of Economics and Management, University of Aarhus. [Downloadable!]
• Mark Podolskij & Mathias Vetter, 2008. "Bipower-type estimation in a noisy diffusion setting," CREATES Research Papers 2008-25, School of Economics and Management, University of Aarhus. [Downloadable!]
• Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen, 2007. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," CREATES Research Papers 2007-21, School of Economics and Management, University of Aarhus. [Downloadable!]
• Guillaume Rocheteau & Ricardo Lagos, 2008. "Liquidity in asset markets with search frictions," Working Paper 0804, Federal Reserve Bank of Cleveland. [Downloadable!]
• Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2007. "A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects," CREATES Research Papers 2007-22, School of Economics and Management, University of Aarhus. [Downloadable!]
• Almut Veraart, 2008. "Inference for the jump part of quadratic variation of Itô semimartingales," CREATES Research Papers 2008-17, School of Economics and Management, University of Aarhus. [Downloadable!]
• Marwan Izzeldin & Ana-Maria Fuertes & Elena Kalotychou, 2008. "On forecasting daily stock volatility: the role of intraday information and market conditions," Working Papers 005439, Lancaster University Management School, Economics Department. [Downloadable!]
• Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," CREATES Research Papers 2007-09, School of Economics and Management, University of Aarhus. [Downloadable!]
• Viktor Todorov & Tim Bollerslev, 2007. "Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks," CREATES Research Papers 2007-15, School of Economics and Management, University of Aarhus. [Downloadable!]
• Ricardo Lagos & Guillaume Rocheteau & Pierre-Olivier Weill, 2008. "Crashes and Recoveries in Illiquid Markets," NBER Working Papers 14119, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Mark Podolskij & Daniel Ziggel, 2008. "A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models," CREATES Research Papers 2008-22, School of Economics and Management, University of Aarhus. [Downloadable!]
• Mark Podolskij & Daniel Ziggel, 2007. "A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models," CREATES Research Papers 2007-26, School of Economics and Management, University of Aarhus. [Downloadable!]
• Lars Stentoft, 2008. "Option Pricing using Realized Volatility," CREATES Research Papers 2008-13, School of Economics and Management, University of Aarhus. [Downloadable!]
• Tim Bollerslev & Hao Zhou, 2007. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2007-17, School of Economics and Management, University of Aarhus. [Downloadable!]
• Mark Podolskij & Daniel Ziggel, 2008. "New tests for jumps: a threshold-based approach," CREATES Research Papers 2008-34, School of Economics and Management, University of Aarhus. [Downloadable!]
• Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2007. "Power variation for Gaussian processes with stationary increments," CREATES Research Papers 2007-42, School of Economics and Management, University of Aarhus. [Downloadable!]
• Torben G. Andersen & Luca Benzoni, 2007. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," CREATES Research Papers 2007-25, School of Economics and Management, University of Aarhus. [Downloadable!]
• Akram, Qaisar Farooq & Rime, Dagfinn & Sarno, Lucio, 2008. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," CEPR Discussion Papers 6878, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Jean Jacod & Yingying Li & Per A. Mykland & Mark Podolskij & Mathias Vetter, 2007. "Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9," CREATES Research Papers 2007-43, School of Economics and Management, University of Aarhus. [Downloadable!]
• Thabo Mokoena & Rangan Gupta & Renee Van Eyden, 2008. "Market Microstructure Approach to the Exchange Rate Determination Puzzle," Working Papers 200810, University of Pretoria, Department of Economics.
• Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, School of Economics and Management, University of Aarhus. [Downloadable!]
• John A Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers 2008-01, School of Economics and Management, University of Aarhus. [Downloadable!]
• Michael Sørensen, 2008. "Parametric inference for discretely sampled stochastic differential equations," CREATES Research Papers 2008-18, School of Economics and Management, University of Aarhus. [Downloadable!]

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