Report NEP-MST-2013-04-13This 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:
- Gürkaynak, Refet S. & Wright, Jonathan, 2013. "Identification and Inference Using Event Studies," CEPR Discussion Papers 9388, C.E.P.R. Discussion Papers.
- Marcellino, Massimiliano & Porqueddu, Mario & Venditti, Fabrizio, 2013. "Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility," CEPR Discussion Papers 9334, C.E.P.R. Discussion Papers.
- Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2013. "A robust neighborhood truncation approach to estimation of integrated quarticity," International Finance Discussion Papers 1078, Board of Governors of the Federal Reserve System (U.S.).
- Boleslaw Borkowski & Monika Krawiec & Yochanan Shachmurove, 2013. "Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index," PIER Working Paper Archive 13-015, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.