Report NEP-MST-2011-02-26This 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:
- Christian Bach & Bent Jesper Christensen, 2011. "Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach," CREATES Research Papers 2010-61, School of Economics and Management, University of Aarhus.
- Lin, William & Sun, David & Tsai, Shih-Chuan, 2010. "Searching out of Trading Noise: A Study of Intraday Transactions Cost," MPRA Paper 28937, University Library of Munich, Germany, revised 14 Jan 2011.
- George J. Jiang & Ingrid Lo, 2011. "Private Information Flow and Price Discovery in the U.S. Treasury Market," Working Papers 11-5, Bank of Canada.
- Marine Carrasco & Rachidi Kotchoni, 2011. "Adaptive Realized Kernels," CIRANO Working Papers 2011s-29, CIRANO.
- Hecq Alain & Laurent Sébastien & Palm Franz, 2011. "Common intraday periodicity," Research Memoranda 010, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
- Loukil, Nadia & Yousfi, Ouidad, 2010. "Firm's information environment and stock liquidity: evidence from Tunisian context," MPRA Paper 28699, University Library of Munich, Germany, revised Feb 2011.
- Rui Albuquerque & Enrique Schroth, 2011. "Search Frictions and the Liquidity of Large Blocks of Shares," Tinbergen Institute Discussion Papers 11-029/2/DSF11, Tinbergen Institute.
- Enrico Maria Cervellati & Riccardo Ferretti & Pierpaolo Pattitoni, 2011. "Market Reaction to Second-Hand News: Attention Grabbing or Information Dissemination," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 11021, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".