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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, or Bluesky.
Other reports in NEP-MST
The following items were announced in this report:
- Item repec:hal:wpaper:hal-03378903 is not listed on IDEAS anymore
- Item repec:hal:wpaper:hal-03378876 is not listed on IDEAS anymore
- Winkelmann, Lars & Yao, Wenying, 2021, "Tests for jumps in yield spreads," Discussion Papers, Free University Berlin, School of Business & Economics, number 2021/15, DOI: 10.17169/refubium-32211.
- Xiufeng Yan, 2021, "Autoregressive conditional duration modelling of high frequency data," Papers, arXiv.org, number 2111.02300, Nov.
- Reiß, Markus & Winkelmann, Lars, 2021, "Inference on the maximal rank of time-varying covariance matrices using high-frequency data," Discussion Papers, Free University Berlin, School of Business & Economics, number 2021/14, DOI: 10.17169/refubium-32210.
- Xiufeng Yan, 2021, "Multiplicative Component GARCH Model of Intraday Volatility," Papers, arXiv.org, number 2111.02376, Nov.