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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.
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 2102.02834, arXiv.org, revised Mar 2022.
- Alfelt, Gustav & Bodnar, Taras & Javed, Farrukh & Tyrcha, Joanna, 2020. "Singular conditional autoregressive Wishart model for realized covariance matrices," Working Papers 2021:1, Örebro University, School of Business.