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Report NEP-MST-2022-07-25
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:
- Qiang Liu & Zhi Liu, 2022, "Estimating spot volatility under infinite variation jumps with dependent market microstructure noise," Papers, arXiv.org, number 2205.15738, May, revised Feb 2023.
- Jamie Coen & Patrick Coen, 2022, "A structural model of liquidity in over‑the‑counter markets," Bank of England working papers, Bank of England, number 979, May.