Printed from https://ideas.repec.org/n/nep-mst/2012-12-10.html
Report NEP-MST-2012-12-10
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:
- Roxana Halbleib & Valeri Voev, 2012, "Forecasting Covariance Matrices: A Mixed Frequency Approach," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2012-30, Oct.
- Anton Golub & John Keane & Ser-Huang Poon, 2012, "High Frequency Trading and Mini Flash Crashes," Papers, arXiv.org, number 1211.6667, Nov.
- Linda Ponta & Mailan Trinh & Marco Raberto & Enrico Scalas & Silvano Cincotti, 2012, "Modeling non-stationarities in high-frequency financial time series," Papers, arXiv.org, number 1212.0479, Dec, revised Feb 2017.
- Avino, Davide & Lazar, Emese & Varotto, Simone, 2012, "Price Discovery of Credit Spreads in Tranquil and Crisis Periods," MPRA Paper, University Library of Munich, Germany, number 42847, Jun.
- Robert F. Engle & Martin Klint Hansen & Asger Lunde, 2012, "And Now, The Rest of the News: Volatility and Firm Specific News Arrival," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-56, Dec.