Report NEP-MST-2011-04-23This 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:
- Hautsch, Nikolaus & Hess, Dieter E. & Veredas, David, 2011. "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," CFR Working Papers 11-06, University of Cologne, Centre for Financial Research (CFR).
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 2011-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Modugno, Michele, 2011. "Nowcasting inflation using high frequency data," Working Paper Series 1324, European Central Bank.