Report NEP-MST-2007-06-11This 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:
- Gael M. Martin & Andrew Reidy & Jill Wright, 2007. "Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?," Monash Econometrics and Business Statistics Working Papers 5/07, Monash University, Department of Econometrics and Business Statistics.
- Giampiero Gallo & Margherita Velucchi, 2007. "On the Interaction between Ultra–high Frequency Measures of Volatility," Econometrics Working Papers Archive wp2007_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Martin D. D. Evans & Richard K. Lyons, 2007. "Exchange Rate Fundamentals and Order Flow," NBER Working Papers 13151, National Bureau of Economic Research, Inc.