Report NEP-MST-2008-09-20This 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:
- Nikolaus Hautsch & Dieter Hess & Christoph Müller, 2008. "Price Adjustment to News with Uncertain Precision," FRU Working Papers 2008/01, University of Copenhagen. Department of Economics. Finance Research Unit.
- Jung, Robert & Liesenfeld, Roman & Richard, Jean-François, 2008. "Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity," Economics Working Papers 2008,12, Christian-Albrechts-University of Kiel, Department of Economics.
- Fulvio Corsi & Davide Pirino & Roberto Renò, 2008. "Volatility forecasting: the jumps do matter," Department of Economics University of Siena 534, Department of Economics, University of Siena.
- Michael Kirchler, 2008. "It is hard to beat the Monkeys - On the Value of Asymmetric Fundamental Information in Asset Markets," Working Papers 2008-19, Faculty of Economics and Statistics, University of Innsbruck.
- D.S.G. Pollock, 2008. "Realisations of Finite-Sample Frequency-Selective Filters," Discussion Papers in Economics 08/32, Department of Economics, University of Leicester.