Printed from https://ideas.repec.org/n/nep-mst/2013-12-29.html
Report NEP-MST-2013-12-29
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:
- Torben G. Andersen & Oleg Bondarenko, 2013, "Reflecting on the VPIN Dispute," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-42, Apr.
- Torben G. Andersen & Oleg Bondarenko, 2013, "Assessing Measures of Order Flow Toxicity via Perfect Trade Classification," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-43, 11.
- Nico Achtsis & Dirk Nuyens, 2013, "A Monte Carlo method for optimal portfolio executions," Papers, arXiv.org, number 1312.5919, Dec.
- Item repec:rwi:repape:0452 is not listed on IDEAS anymore
- Jia Li & Andrew J. Patton, 2013, "Asymptotic Inference about Predictive Accuracy Using High Frequency Data," Working Papers, Duke University, Department of Economics, number 13-27.
- Jack Sarkissian, 2013, "Coupled mode theory of stock price formation," Papers, arXiv.org, number 1312.4622, Dec.
- Cristiana Cerqueira Leal & Manuel J. Rocha Armada & Gilberto Loureiro, 2013, "Individual Investors Repurchasing Behavior: Preference for Stocks Previously Owned," NIPE Working Papers, NIPE - Universidade do Minho, number 22/2013.
- Irving Arturo De Lira Salvatierra & Andrew J. Patton, 2013, "Dynamic Copula Models and High Frequency Data," Working Papers, Duke University, Department of Economics, number 13-28.
- Santiago García-Verdú & Miguel Zerecero, 2013, "On central bank interventions in the Mexican peso/dollar foreign exchange market," BIS Working Papers, Bank for International Settlements, number 429, Sep.
- Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez, 2013, "Does Realized Skewness Predict the Cross-Section of Equity Returns?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-41, 02.
- Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2013, "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 28/13.