Report NEP-MST-2012-01-18This 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:
- Alessandro Innocenti & Pier Malpenga & Lorenzo Menconi & Alessandro Santoni, 2011. "Time lags in processing market-sensitive information. A case study," Department of Economic Policy, Finance and Development (DEPFID) University of Siena 0811, Department of Economic Policy, Finance and Development (DEPFID), University of Siena.
- Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger, 2012. "Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models," Papers 1201.1840, arXiv.org, revised Oct 2012.
- Wolfgang Karl Härdle & Ostap Okhrin & Weining Wang, 2012. "HMM in dynamic HAC models," SFB 649 Discussion Papers SFB649DP2012-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.