Report NEP-MST-2009-12-05This 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:
- Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009. "Jump-Robust Volatility Estimation using Nearest Neighbor Truncation," CREATES Research Papers, School of Economics and Management, University of Aarhus 2009-52, School of Economics and Management, University of Aarhus.
- Álvaro Cartea & Dimitrios Karyampas, 2009. "The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics 0914, Birkbeck, Department of Economics, Mathematics & Statistics.
- Rittler, Daniel, 2009. "Price Discovery, Causality and Volatility Spillovers in European Union Allowances Phase II: A High Frequency Analysis," Working Papers, University of Heidelberg, Department of Economics 0492, University of Heidelberg, Department of Economics.