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Report NEP-MST-2010-05-15
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:
- Item repec:dgr:uvatin:20090110 is not listed on IDEAS anymore
- Cathy Ning & Dinghai Xu & Tony Wirjanto, 2010, "Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data," Working Papers, University of Waterloo, Department of Economics, number 1001, Jan, revised Jan 2010.
- Marco Bartolozzi, 2010, "A Multi Agent Model for the Limit Order Book Dynamics," Papers, arXiv.org, number 1005.0182, May, revised Oct 2010.
- Dinghai Xu & Yuying Li, 2010, "Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach," Working Papers, University of Waterloo, Department of Economics, number 1002, May, revised May 2010.
- Dinghai Xu, 2010, "A Threshold Stochastic Volatility Model with Realized Volatility," Working Papers, University of Waterloo, Department of Economics, number 1003, May, revised May 2010.
- Yin Liao & Heather Anderson & Farshid Vahid, 2010, "Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics, number 2010-520, May.