Report NEP-MST-2009-04-25

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.

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Other reports in NEP-MST

The following items were announced in this report:

• Høg, Esben, 2008, "Volatility and realized quadratic variation of differenced returns : A wavelet method approach," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number F-2008-06, Aug.
• Daisuke Nagakura & Toshiaki Watanabe, 2009, "A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd09-055, Mar.
• Michael Firth & T. Y. Leung & Oliver M. Rui, 2009, "Insider Trading in Hong Kong: Tests of Stock Returns and Trading Frequency," Working Papers, Hong Kong Institute for Monetary Research, number 042009, Jan.
• Naes, Randi & Ødegaard, Bernt Arne, 2009, "Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period," UiS Working Papers in Economics and Finance, University of Stavanger, number 2009/19, Mar.
• Söderlind, Paul & Ranaldo, Angelo, 2009, "Safe Haven Currencies," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7249, Apr.

Report NEP-MST-2009-04-25

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: