Printed from https://ideas.repec.org/n/nep-mst/2009-06-03.html
Report NEP-MST-2009-06-03
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:
- Katsuhiko Muramiya & Kazuhisa Otogawa & Tomomi Takada, 2008, "Abnormal Accrual, Informed Trader, and Long-Term Stock Return: Evidence from Japan," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number 233, Dec.
- Julien CHEVALLIER & Benoît SEVI, 2009, "On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting," Cahiers du CREDEN (CREDEN Working Papers), CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1, number 09.05.84.
- Tim Bollerslev & Viktor Todorov, 2009, "Tails, Fears and Risk Premia," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-26, Jun.
- Ramazan GENCA & Rajna GIBSON & Yi XUE, 2009, "The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-11, Feb.
- Kentaro Iwatsubo & Yoshihiro Kitamura, 2008, "Intraday Evidence of the Informational Efficiency of the Yen/Dollar Exchange Rate," Discussion Papers, Graduate School of Economics, Kobe University, number 0801, Apr.
- Ole E. Barndorff-Nielsen & Almut E. D. Veraart, 2009, "Stochastic volatility of volatility in continuous time," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-25, Jul.
- Nick Smyth, 2009, "Order flow and exchange rate changes: A look at the NZD/USD and AUD/USD," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2009/03, Apr.
- Toshiaki Watanabe & Masato Ubukata, 2009, "Option Pricing Using Realized Volatility and ARCH Type Models," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd09-066, Apr.
- Biais, Bruno & Weill, Pierre-Olivier, 2009, "Liquidity Shocks and Order Book Dynamics," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 550, May.
- Giovanni BARONE-ADESI & Helyette GEMAN & John THEAL, 2009, "On the Lease Rate, the Convenience Yield and Speculative Effects in the Gold Futures Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-07, Mar.
- Item repec:cfs:cfswop:wp200828 is not listed on IDEAS anymore
- Kirsten Rüchardt & Bodo Vogt, 2009, "Comparison of the Stock Price Clustering of stocks which are traded in the US and Germany—Is XETRA more efficient than the NYSE?," FEMM Working Papers, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management, number 09016, May.
- John W. Galbraith & Greg Tkacz, 2009, "A Note on Monitoring Daily Economic Activity Via Electronic Transaction Data," CIRANO Working Papers, CIRANO, number 2009s-23, May.