Report NEP-MST-2009-08-22This 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:
- Benjamin Jourdain & Mohamed Sbai, 2009. "High order discretization schemes for stochastic volatility models," Working Papers hal-00409861, HAL.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CIRJE F-Series CIRJE-F-640, CIRJE, Faculty of Economics, University of Tokyo.