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Report NEP-MST-2021-04-12
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:
- Mehdi Tomas & Iacopo Mastromatteo & Michael Benzaquen, 2021, "Cross impact in derivative markets," Papers, arXiv.org, number 2102.02834, Feb, revised Mar 2022.
- Alfelt, Gustav & Bodnar, Taras & Javed, Farrukh & Tyrcha, Joanna, 2020, "Singular conditional autoregressive Wishart model for realized covariance matrices," Working Papers, Örebro University, School of Business, number 2021:1, Oct.