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Report NEP-MST-2006-08-05
This 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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-MST
The following items were announced in this report:
- Ait-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2005, "Ultra high frequency volatility estimation with dependent microstructure noise," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,30.
- David W. Berger & Alain P. Chaboud & Erik Hjalmarsson & Edward Howorka, 2006, "What drives volatility persistence in the foreign exchange market?," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 862.
- Fang Cai & Edward Howorka & Jon Wongswan, 2006, "Transmission of volatility and trading activity in the global interdealer foreign exchange market: evidence from electronic broking services (EBS) data," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 863.
- Ricardo Lagos & Guillaume Rocheteau, 2006, "Search in asset markets," Staff Report, Federal Reserve Bank of Minneapolis, number 375, DOI: 10.21034/sr.375.
- Christian Mueller, 2006, "Testing Temporal Disaggregation," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 06-134, Apr, DOI: 10.3929/ethz-a-005187504.
- Reitz, Stefan & Taylor, Mark P., 2006, "The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,08.
- Kerstin Bernoth & Guntram B. Wolff, 2006, "Fool the Markets? Creative Accounting, Fiscal Transparency and Sovereign Risk Premia," CESifo Working Paper Series, CESifo, number 1732.
- Craig, Ben R. & Keller, Joachim, 2005, "The forecast ability of risk-neutral densities of foreign exchange," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,05.
- Alfarano, Simone & Lux, Thomas, 2005, "A noise trader model as a generator of apparent financial power laws and long memory," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2005-13.