Report NEP-MST-2009-10-10This 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:
- Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2009. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," CREATES Research Papers 2009-45, School of Economics and Management, University of Aarhus.
- Turan Bali & Kamil Yilmaz, 2009. "The Intertemporal Relation between Expected Return and Risk on Currency," KoÃ§ University-TUSIAD Economic Research Forum Working Papers 0909, Koc University-TUSIAD Economic Research Forum, revised Nov 2009.
- Mark Podolskij & Mathias Vetter, 2009. "Understanding limit theorems for semimartingales: a short survey," CREATES Research Papers 2009-47, School of Economics and Management, University of Aarhus.
- International Monetary Fund, 2009. "Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets," IMF Working Papers 09/147, International Monetary Fund.
- Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag\`es, 2009. "Optimal split of orders across liquidity pools: a stochastic algorithm approach," Papers 0910.1166, arXiv.org, revised May 2010.