Report NEP-MST-2011-01-03This 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:
- David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," KIER Working Papers 753, Kyoto University, Institute of Economic Research.
- Ahoniemi, Katja & Lanne, Markku, 2010. "Realized volatility and overnight returns," Research Discussion Papers, Bank of Finland 19/2010, Bank of Finland.
- Silvia Centanni & Marco Minozzo, 2010. "Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks," Working Papers 22/2010, University of Verona, Department of Economics.
- JÃ¸rgensen, Kjell & Valseth, Siri, 2010. "A market microstructure approach to cross-market spillovers," UiS Working Papers in Economics and Finance 2010/11, University of Stavanger.