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Report NEP-MST-2012-05-02
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:
- Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2012, "Econometric modeling of exchange rate volatility and jumps," Working Papers, Federal Reserve Bank of St. Louis, number 2012-008, DOI: 10.20955/wp.2012.008.
- Neil Shephard & Dacheng Xiu, 2012, "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Series Working Papers, University of Oxford, Department of Economics, number 604, Apr.
- Matsuoka, Takayasu, 2012, "Retail Price Stickiness, Market Structure and Distribution Channels," Research Center for Price Dynamics Working Paper Series, Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University, number 4, Mar.
- Almut E. D. Veraart & Luitgard A. M. Veraart, 2012, "Modelling electricity day–ahead prices by multivariate Lévy semistationary processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-13, Mar.
- Michiel Bijlsma & Andrei Dubovik & Gijsbert Zwart, 2012, "Inside Liquidity in Competitive Markets," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 209, Apr.