Report NEP-MST-2012-05-02This 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:
- Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2012. "Econometric modeling of exchange rate volatility and jumps," Working Papers, Federal Reserve Bank of St. Louis 2012-008, Federal Reserve Bank of St. Louis.
- Neil Shephard & Dacheng Xiu, 2012. "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Series Working Papers, University of Oxford, Department of Economics 604, University of Oxford, Department of Economics.
- Matsuoka, Takayasu, 2012. "Retail Price Stickiness, Market Structure and Distribution Channels," Research Center for Price Dynamics Working Paper Series, Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University 4, Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University.
- Almut E. D. Veraart & Luitgard A. M. Veraart, 2012. "Modelling electricity day–ahead prices by multivariate Lévy semistationary processes," CREATES Research Papers, School of Economics and Management, University of Aarhus 2012-13, School of Economics and Management, University of Aarhus.
- Michiel Bijlsma & Andrei Dubovik & Gijsbert Zwart, 2012. "Inside Liquidity in Competitive Markets," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis 209, CPB Netherlands Bureau for Economic Policy Analysis.