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Report NEP-MST-2011-10-09
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:
- Rasmus Tangsgaard Varneskov, 2011, "Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-35, Sep.
- Audrino, Francesco & Hu, Yujia, 2011, "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1138, Sep.
- Kathryn Chen & Michael J. Fleming & John Jackson & Ada Li & Asani Sarkar, 2011, "An analysis of CDS transactions: implications for public reporting," Staff Reports, Federal Reserve Bank of New York, number 517.
- Daisuke Nagakura & Toshiaki Watanabe, 2011, "A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd11-200, Aug.
- Zhi Guo & Eckhard Platen, 2011, "The Small and Large Time Implied Volatilities in the Minimal Market Model," Papers, arXiv.org, number 1109.6154, Sep, revised Oct 2011.
- Cary Deck & David Porter & Vernon L. Smith, 2011, "Double Bubbles in Assets Markets with Multiple Generations," Working Papers, Chapman University, Economic Science Institute, number 11-10.
- Ahrens, Steffen & Sacht, Stephen, 2011, "Estimating a high-frequency New Keynesian Phillips curve," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2011-08.
- Zhi Da & Qianqiu Liu & Ernst Schaumburg, 2011, "Decomposing short-term return reversal," Staff Reports, Federal Reserve Bank of New York, number 513.