Report NEP-MST-2013-06-30This 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:
- Lundström, Christian, 2013. "Day Trading Profitability across Volatility States: Evidence of Intraday Momentum and Mean Reversion," UmeÃ¥ Economic Studies 861, Umeå University, Department of Economics.
- Qian, Hang, 2013. "Vector Autoregression with Mixed Frequency Data," MPRA Paper 47856, University Library of Munich, Germany.
- Pitschner, Stefan, 2013. "Using Financial Markets To Estimate the Macro Effects of Monetary Policy:," Working Paper Series 267, Sveriges Riksbank (Central Bank of Sweden).
- Guillaume Rocheteau & Jose Antonio Rodriguez-Lopez, 2013. "Liquidity Provision, Interest Rates, and Unemployment," Working Papers 121311, University of California-Irvine, Department of Economics.
- Jean-François Carpantier & Arnaud Dufays, 2013. "Commodities Inventory Effect," CREA Discussion Paper Series 13-07, Center for Research in Economic Analysis, University of Luxembourg.
- Jennie Bai & Michael Fleming & Casidhe Horan, 2013. "The microstructure of China's government bond market," Staff Reports 622, Federal Reserve Bank of New York.