Report NEP-MST-2010-09-03This 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, 2010. "Jump-robust volatility estimation using nearest neighbor truncation," Staff Reports, Federal Reserve Bank of New York 465, Federal Reserve Bank of New York.
- Naoto Kunitomo & Seisho Sato, 2010. "On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-758, CIRJE, Faculty of Economics, University of Tokyo.
- Rasmus Tangsgaard Varneskov & Valeri Voev, 2010. "The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts," CREATES Research Papers 2010-45, School of Economics and Management, University of Aarhus.
- Rasmus Tangsgaard Varneskov, 2010. "The Role of Dynamic Specification in Forecasting Volatility in the Presence of Jumps and Noisy High-Frequency Data," CREATES Research Papers 2010-39, School of Economics and Management, University of Aarhus.