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Report NEP-MST-2021-11-15
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.
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," Working Papers hal-03378903, HAL.
- Riccardo Marcaccioli & Jean-Philippe Bouchaud & Michael Benzaquen, 2021. "Exogenous and Endogenous Price Jumps Belong to Different Dynamical Classes," Working Papers hal-03378876, HAL.
- Winkelmann, Lars & Yao, Wenying, 2021. "Tests for jumps in yield spreads," Discussion Papers 2021/15, Free University Berlin, School of Business & Economics.
- Xiufeng Yan, 2021. "Autoregressive conditional duration modelling of high frequency data," Papers 2111.02300, arXiv.org.
- Reiß, Markus & Winkelmann, Lars, 2021. "Inference on the maximal rank of time-varying covariance matrices using high-frequency data," Discussion Papers 2021/14, Free University Berlin, School of Business & Economics.
- Xiufeng Yan, 2021. "Multiplicative Component GARCH Model of Intraday Volatility," Papers 2111.02376, arXiv.org.