Report NEP-MST-2009-12-19

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:

• Item repec:hum:wpaper:sfb649dp2009-063 is not listed on IDEAS anymore

• Kosuke Oya, 2009, "Bias-Corrected Realized Variance under Dependent Microstructure Noise," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 09-39, Nov.
• Robert Ślepaczuk & Grzegorz Zakrzewski, 2009, "High-Frequency and Model-Free Volatility Estimators," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2009-13.
• David E. Allen & Michael McAleer & Marcel Scharth, 2009, "Realized Volatility Risk," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-693, Dec.
• Johannes A. Skjeltorp & Bernt Arne Ødegaard, 2009, "The information content of market liquidity: An empirical analysis of liquidity at the Oslo Stock Exchange?," Working Paper, Norges Bank, number 2009/26, Nov.
• Hermsen, Oliver & Witte, Björn-Christopher & Westerhoff, Frank, 2009, "Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models," Economics Discussion Papers, Kiel Institute for the World Economy, number 2009-51.
• Rangel José Gonzalo, 2009, "Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics," Working Papers, Banco de México, number 2009-15, Dec.