NEP-MST-2009-06-03

This file is part of IDEAS, which uses RePEc data

Report NEP-MST-2009-06-03

This 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.

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Other reports in NEP-MST

The following items were anounced in this report:

Katsuhiko Muramiya & Kazuhisa Otogawa & Tomomi Takada, 2008. "Abnormal Accrual, Informed Trader, and Long-Term Stock Return: Evidence from Japan," Discussion Paper Series 233, Research Institute for Economics & Business Administration, Kobe University. [Downloadable!]
Julien CHEVALLIER & Benoît SEVI, 2009. "On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting," Cahiers du CREDEN (CREDEN Working Papers) 09.05.84, CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1. [Downloadable!]
Tim Bollerslev & Viktor Todorov, 2009. "Tails, Fears and Risk Premia," CREATES Research Papers 2009-26, School of Economics and Management, University of Aarhus. [Downloadable!]
Ramazan GENCA & Rajna GIBSON & Yi XUE, 2009. "The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading," Swiss Finance Institute Research Paper Series 09-11, Swiss Finance Institute. [Downloadable!]
Kentaro Iwatsubo & Yoshihiro Kitamura, 2008. "Intraday Evidence of the Informational Efficiency of the Yen/Dollar Exchange Rate," Discussion Papers 0801, Graduate School of Economics, Kobe University. [Downloadable!]
Ole E. Barndorff-Nielsen & Almut E. D. Veraart, 2009. "Stochastic volatility of volatility in continuous time," CREATES Research Papers 2009-25, School of Economics and Management, University of Aarhus. [Downloadable!]
Nick Smyth, 2009. "Order flow and exchange rate changes: A look at the NZD/USD and AUD/USD," Reserve Bank of New Zealand Discussion Paper Series DP2009/03, Reserve Bank of New Zealand. [Downloadable!]
Toshiaki Watanabe & Masato Ubukata, 2009. "Option Pricing Using Realized Volatility and ARCH Type Models," Global COE Hi-Stat Discussion Paper Series gd09-066, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
Biais, Bruno & Weill, Pierre-Olivier, 2009. "Liquidity Shocks and Order Book Dynamics," IDEI Working Papers 550, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
Giovanni BARONE-ADESI & Helyette GEMAN & John THEAL, 2009. "On the Lease Rate, the Convenience Yield and Speculative Effects in the Gold Futures Market," Swiss Finance Institute Research Paper Series 09-07, Swiss Finance Institute. [Downloadable!]
Nikolas Hautsch & Dieter Hess & Christoph Müller, 2008. "Price Adjustment to News with Uncertain Precision," CFS Working Paper Series 2008/28, Center for Financial Studies. [Downloadable!]
Kirsten Rüchardt & Bodo Vogt, 2009. "Comparison of the Stock Price Clustering of stocks which are traded in the US and Germany—Is XETRA more efficient than the NYSE?," FEMM Working Papers 09016, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management. [Downloadable!]
John Galbraith & Greg Tkacz, 2009. "A Note on Monitoring Daily Economic Activity Via Electronic Transaction Data," CIRANO Working Papers 2009s-23, CIRANO. [Downloadable!]

This page was last updated on 2009-11-22.

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