Report NEP-MST-2010-04-17This 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.
The following items were announced in this report:
- Cartea, Álvaro & Karyampas, Dimitrios, 2009. "Volatility and covariation of financial assets: a high-frequency analysis," DEE - Working Papers. Business Economics. WB wb097609, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
- Chun Liu & John M Maheu, 2010. "Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market," Working Papers tecipa-401, University of Toronto, Department of Economics.
- Michael McAleer & Marcelo Cunha Medeiros, 2010. "Forecasting Realized Volatility with Linear and Nonlinear Models," Textos para discussão 568, Department of Economics PUC-Rio (Brazil).
- M. Frömmel & N. Kiss M & K. Pintér & -, 2009. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/626, Ghent University, Faculty of Economics and Business Administration.
- Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer, 2010. "Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums," Working Papers 2010-03, Swiss National Bank.
- Hussain, Syed Mujahid, 2010. "Simultaneous monetary policy announcements and international stock markets response: an intraday analysis," Research Discussion Papers 8/2010, Bank of Finland.
- Wolfgang Karl HÃ¤rdle & Stefan TrÃ¼ck, 2010. "The dynamics of hourly electricity prices," SFB 649 Discussion Papers SFB649DP2010-013, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.