Report NEP-MST-2011-12-19This 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:
- E. Bacry & K. Dayri & J. F. Muzy, 2011. "Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data," Papers 1112.1838, arXiv.org.
- Kim Christensen & Mark Podolskij, 2011. "Asymptotic theory of range-based multipower variation," CREATES Research Papers 2011-47, School of Economics and Management, University of Aarhus.