Report NEP-MST-2010-07-17This 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:
- Bruce Mizrach & Yoichi Otsubo, 2010. "The Market Microstructure of the European Climate Exchange," Departmental Working Papers, Rutgers University, Department of Economics 201005, Rutgers University, Department of Economics.
- Conrad, Christian & Rittler, Daniel & RotfuÃŸ, Waldemar, 2010. "Modeling and explaining the dynamics of European Union allowance prices at high-frequency," ZEW Discussion Papers 10-038, ZEW - Zentrum fÃ¼r EuropÃ¤ische Wirtschaftsforschung / Center for European Economic Research.
- Bas ter Weel & T. Prevoo, 2010. "The effects of a change in market abuse regulation on abnormal returns and volumes: Evidence from the Amsterdam stock market," CPB Discussion Paper 154, CPB Netherlands Bureau for Economic Policy Analysis.
- Fulvio Corsi & Davide Pirino & Roberto Reno', 2010. "Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy 2010/11, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.