Report NEP-MST-2010-04-17This 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:
- Alvaro Cartea & Dimitrios Karyampas, 2009. "Volatility and covariation of financial assets: a high-frequency analysis," Business Economics Working Papers, Universidad Carlos III, Departamento de EconomÃa de la Empresa wb097609, Universidad Carlos III, Departamento de EconomÃa de la Empresa.
- Chun Liu & John M Maheu, 2010. "Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market," Working Papers tecipa-401, University of Toronto, Department of Economics.
- Michael McAleer & Marcelo Cunha Medeiros, 2010. "Forecasting Realized Volatility with Linear and Nonlinear Models," Textos para discussÃ£o, Department of Economics PUC-Rio (Brazil) 568, Department of Economics PUC-Rio (Brazil).
- M. FrÃ¶mmel & N. Kiss M & K. PintÃ©r & -, 2009. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 09/626, Ghent University, Faculty of Economics and Business Administration.
- Item repec:ris:snbwpa:2010_003 is not listed on IDEAS anymore
- Hussain, Syed Mujahid, 2010. "Simultaneous monetary policy announcements and international stock markets response: an intraday analysis," Research Discussion Papers, Bank of Finland 8/2010, Bank of Finland.
- Wolfgang Karl HÃ¤rdle & Stefan TrÃ¼ck, 2010. "The dynamics of hourly electricity prices," SFB 649 Discussion Papers SFB649DP2010-013, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.