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Report NEP-MST-2016-05-14
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:
- Istvan Barra & Siem Jan Koopman & Agnieszka Borowska, 2016, "Bayesian Dynamic Modeling of High-Frequency Integer Price Changes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-028/III, Apr, revised 16 Feb 2018.
- Evangelos Benos & Filip Zikes, 2016, "Liquidity determinants in the UK gilt market," Bank of England working papers, Bank of England, number 600, May.
- Mikkel Bennedsen & Ulrich Hounyo & Asger Lunde & Mikko S. Pakkanen, 2016, "The Local Fractional Bootstrap," Papers, arXiv.org, number 1605.00868, May, revised Oct 2017.
- Prosper Dovonon & Silvia Gonçalves & Ulrich Hounyo & Nour Meddahi, 2016, "Bootstrapping high-frequency jump tests," CIRANO Working Papers, CIRANO, number 2016s-24, May.