Report NEP-MST-2012-07-23This 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:
- Taras Bodnar & Nikolaus Hautsch, 2012. "Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes," SFB 649 Discussion Papers SFB649DP2012-044, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Bartosz Gębka & Dobromił Serwa, 2012. "Liquidity needs, private information, feedback trading: verifying motives to trade," National Bank of Poland Working Papers 119, National Bank of Poland, Economic Institute.
- Thilo A. Schmitt & Rudi Sch\"afer & Michael C. M\"unnix & Thomas Guhr, 2012. "Microscopic understanding of heavy-tailed return distributions in an agent-based model," Papers 1207.2946, arXiv.org.