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Report NEP-MST-2010-10-09
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:
- Tim Bollerslev & Viktor Todorov, 2010, "Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-64, Sep.
- Michael C. Munnix & Rudi Schafer & Thomas Guhr, 2010, "Statistical causes for the Epps effect in microstructure noise," Papers, arXiv.org, number 1009.6157, Sep.
- Almut E. D. Veraart, 2010, "How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-65, Sep.
- Cassola, Nuno & Huetl, Michael, 2010, "The Euro overnight interbank market and ECB's liquidity management policy during tranquil and turbulent times," Working Paper Series, European Central Bank, number 1247, Oct.
- Silvia Muzzioli, 2010, "Towards a volatility index for the Italian stock market," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 10091, Sep.
- Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2010, "Integer-valued Lévy processes and low latency financial econometrics," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-66, Sep.
- Jayanaka Wijeratne & Shino Takayama, 2010, "No Trade, Informed Trading, and Accuracy of Information," Discussion Papers Series, School of Economics, University of Queensland, Australia, number 411.