Report NEP-MST-2010-10-09

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.

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Other reports in NEP-MST

The following items were announced in this report:

• Tim Bollerslev & Viktor Todorov, 2010. "Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns," CREATES Research Papers 2010-64, Department of Economics and Business Economics, Aarhus University.
• Michael C. Munnix & Rudi Schafer & Thomas Guhr, 2010. "Statistical causes for the Epps effect in microstructure noise," Papers 1009.6157, arXiv.org.
• Almut E. D. Veraart, 2010. "How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?," CREATES Research Papers 2010-65, Department of Economics and Business Economics, Aarhus University.
• Cassola, Nuno & Huetl, Michael, 2010. "The Euro overnight interbank market and ECB's liquidity management policy during tranquil and turbulent times," Working Paper Series 1247, European Central Bank.
• Silvia Muzzioli, 2010. "Towards a volatility index for the Italian stock market," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 10091, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
• Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2010. "Integer-valued Lévy processes and low latency financial econometrics," CREATES Research Papers 2010-66, Department of Economics and Business Economics, Aarhus University.
• Jayanaka Wijeratne & Shino Takayama, 2010. "No Trade, Informed Trading, and Accuracy of Information," Discussion Papers Series 411, School of Economics, University of Queensland, Australia.