Report NEP-MST-2011-03-26This 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:
- Iead Rezek, 2011. "Constrained Mixture Models for Asset Returns Modelling," Papers, arXiv.org 1103.2670, arXiv.org.
- Jan Hanousek & Evzen Kocenda & Jan Novotny, 2011. "The Identification of Price Jumps," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economic Institute, Prague wp434, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
- Pierre Guerin & Massimiliano Marcellino, 2011. "Markov-Switching MIDAS Models," Economics Working Papers, European University Institute ECO2011/03, European University Institute.
- V. T. X. de Almeida & L. Moriconi, 2011. "Option Pricing from Wavelet-Filtered Financial Series," Papers, arXiv.org 1103.3639, arXiv.org, revised Dec 2012.