Report NEP-MST-2012-03-21This 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:
- Gökhan Cebiroglu & Ulrich Horst, 2012. "Hidden Liquidity: Determinants and Impact," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2012-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Corsi, Fulvio & Peluso, Stefano & Audrino, Francesco, 2012. "Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science 1202, University of St. Gallen, School of Economics and Political Science.
- Gara Afonso & Ricardo Lagos, 2012. "An empirical study of trade dynamics in the fed funds market," Staff Reports, Federal Reserve Bank of New York 550, Federal Reserve Bank of New York.
- Philip Bond & Yaron Leitner, 2012. "Market run-ups, market freezes, inventories, and leverage," Working Papers 12-8, Federal Reserve Bank of Philadelphia.