Printed from https://ideas.repec.org/n/nep-mst/2009-12-05.html
Report NEP-MST-2009-12-05
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:
- Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009, "Jump-Robust Volatility Estimation using Nearest Neighbor Truncation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-52, Oct.
- Álvaro Cartea & Dimitrios Karyampas, 2009, "The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0914, Nov.
- Rittler, Daniel, 2009, "Price Discovery, Causality and Volatility Spillovers in European Union Allowances Phase II: A High Frequency Analysis," Working Papers, University of Heidelberg, Department of Economics, number 0492, Nov.