Report NEP-MST-2008-11-18This 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:
- Francis X. Diebold & Georg H. Strasser, 2008. "On the Correlation Structure of Microstructure Noise: A Financial Economic Approach," Boston College Working Papers in Economics 693, Boston College Department of Economics, revised 24 Apr 2012.
- Naoto Kunitomo & Seisho Sato, 2008. "Realized Volatility, Covariance and Hedging Coefficient of the Nikkei-225 Futures with Micro-Market Noise," CIRJE F-Series CIRJE-F-601, CIRJE, Faculty of Economics, University of Tokyo.