Report NEP-MST-2010-10-30This 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:
- Dobrislav Dobrev & Pawel Szerszen, 2010. "The information content of high-frequency data for estimating equity return models and forecasting risk," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 1005, Board of Governors of the Federal Reserve System (U.S.).
- Khalil al Dayri & Emmanuel Bacry & Jean-Francois Muzy, 2010. "The nature of price returns during periods of high market activity," Papers 1010.4226, arXiv.org, revised Oct 2010.
- Alessandro Beber & Marco Pagano, 2010. "Short-Selling Bans around the World: Evidence from the 2007-09 Crisis," Tinbergen Institute Discussion Papers 10-106/2/DSF 1, Tinbergen Institute.