Printed from https://ideas.repec.org/n/nep-mst/2009-12-11.html
Report NEP-MST-2009-12-11
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:
- Cartea, Álvaro & Karyampas, Dimitrios, 2009, "The relationship between the volatility of returns and the number of jumps in financial markets," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa, number wb097508, Dec.
- Item repec:cte:wbrepe:wp097609 is not listed on IDEAS anymore
- Huimin Chung & Jie Lu & Bruce Mizrach, 2009, "An Empirical Analysis of the Shanghai and Shenzen Limit Order Books," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 0109, Sep.
- Neil Shephard & Kevin Sheppard, 2009, "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2009-W03, Jul.
- Nathaniel Frank, 2009, "Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2009-W04, Mar.
- Item repec:dgr:eureir:1765017303 is not listed on IDEAS anymore
- Item repec:mod:wcefin:09122 is not listed on IDEAS anymore
- Martin T. Bohl & Christian A. Salm & Bernd Wilfling, 2009, "Do Individual Index Futures Investors Destabilize the Underlying Spot Market?," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 0609, Oct.