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Report NEP-MST-2011-12-13
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:
- Suleyman Cetintas & Luo Si & Sugato Chakravarty & Hans Aagard & Kyle Bowen, 2011, "Learning to Identify Students’ Relevant and IrrelevantQuestions in a Micro-blogging Supported Classroom," Working Papers, Purdue University, Department of Consumer Sciences, number 1010, Feb.
- Nicolas Huth & Fr'ed'eric Abergel, 2011, "High Frequency Lead/lag Relationships - Empirical facts," Papers, arXiv.org, number 1111.7103, Nov, revised Jan 2012.
- Pilar Abad & Antonio Diaz & M. Dolores Robles-Fernandez, 2011, "Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-36.
- Dimpfl, Thomas & Jank, Stephan, 2011, "Can Internet search queries help to predict stock market volatility?," University of Tübingen Working Papers in Business and Economics, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics, number 18.
- Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011, "The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting," MPRA Paper, University Library of Munich, Germany, number 35252, Oct.
- Mizuno, Takayuki & Takei, Kazumasa & Ohnishi, Takaaki & Watanabe, Tsutomu, 2011, "Temporal and Cross Correlations in Business News," Working Paper Series, Center for Interfirm Network, Institute of Economic Research, Hitotsubashi University, number 13, Nov.
- Karen Croxson & J. James Reade, 2011, "Exchange vs Dealers: A High-Frequency Analysis of In-Play Betting Prices," Discussion Papers, Department of Economics, University of Birmingham, number 11-19, Dec.