Report NEP-MST-2008-06-21This 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:
- Charles S. Bos, 2008. "Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility," Tinbergen Institute Discussion Papers 08-011/4, Tinbergen Institute.
- Visser, Marcel P., 2008. "Garch Parameter Estimation Using High-Frequency Data," MPRA Paper 9076, University Library of Munich, Germany.