Report NEP-MST-2012-01-10This 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:
- Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen, 2011. "Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability," CREATES Research Papers 2011-51, School of Economics and Management, University of Aarhus.
- Alexandros Gabrielsen & Massimiliano Marzo & Paolo Zagaglia, 2011. "Measuring market liquidity: An introductory survey," Papers 1112.6169, arXiv.org.