Report NEP-MST-2013-04-13This 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:
- GÃ¼rkaynak, Refet S. & Wright, Jonathan, 2013. "Identification and Inference Using Event Studies," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9388, C.E.P.R. Discussion Papers.
- Marcellino, Massimiliano & Porqueddu, Mario & Venditti, Fabrizio, 2013. "Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9334, C.E.P.R. Discussion Papers.
- Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2013. "A robust neighborhood truncation approach to estimation of integrated quarticity," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 1078, Board of Governors of the Federal Reserve System (U.S.).
- Boleslaw Borkowski & Monika Krawiec & Yochanan Shachmurove, 2013. "Modeling and Estimating Volatility of Options on Standard & Poorâ€™s 500 Index," PIER Working Paper Archive 13-015, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.