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Classification: MSC-91B84
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2006

Bikker, J.A. and Spierdijk, L. and Hoevenaars, R.P.M.M. and van der Sluis, P.J. (2006) Forecasting market impact costs and identifying expensive trades. Memorandum 1792, Department of Applied Mathematics, University of Twente, Enschede. ISSN 0169-2690

2005

Abadir, K.M. and Spierdijk, L. (2005) The festivity effect and liquidity constraints: a test on countries with different calendars. Memorandum 1772, Department of Applied Mathematics, University of Twente, Enschede. ISSN 0169-2690

2004

Spierdijk, L. and Nijman, T.E. and van Soest, A.H.O. (2004) Price dynamics and trading volume: A semiparametric approach. Memorandum 1726, Department of Applied Mathematics, University of Twente, Enschede. ISSN 0169-2690

2002

Danilov, D. and Mandal, P.K. (2002) Cross sectional efficient estimation of stochastic volatility short rate models. Memorandum 1614, Department of Applied Mathematics, University of Twente, Enschede. ISSN 0169-2690