Report NEP-ORE-2008-08-06This is the archive for NEP-ORE, a report on new working papers in the area of Operations Research. Walter Frisch issued this report. It is usually issued weekly.
The following items were announced in this report:
- Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) hal-00308687, HAL.
- Yuanhua Feng & Jan Beran, 2007. "Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors," CoFE Discussion Paper 07-15, Center of Finance and Econometrics, University of Konstanz.
- Jan Beran & Mark A. Heiler, 2008. "A nonparametric regression cross spectrum for multivariate time series," CoFE Discussion Paper 08-01, Center of Finance and Econometrics, University of Konstanz.
- Christian Conrad & Enno Mammen, 2008. "Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models," Working Papers 0473, University of Heidelberg, Department of Economics, revised Jul 2008.
- Mishra, SK, 2008. "Robust Two-Stage Least Squares: some Monte Carlo experiments," MPRA Paper 9737, University Library of Munich, Germany.
- Giancarlo Bruno, 2008. "Forecasting Using Functional Coefficients Autoregressive Models," ISAE Working Papers 98, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).