Report NEP-MST-2010-03-13This 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:
- Daisuke Nagakura & Toshiaki Watanabe, 2010. "A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise," Global COE Hi-Stat Discussion Paper Series gd09-115, Institute of Economic Research, Hitotsubashi University.
- Guo-Hua Mu & Wei-Xing Zhou & Wei Chen & Janos Kertesz, 2010. "Order flow dynamics around extreme price changes on an emerging stock market," Papers 1003.0168, arXiv.org.
- Consentino, Fabrizio & Claeskens, Gerda, 2009. "Order selection tests with multiply-imputed data," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/223654, Katholieke Universiteit Leuven.