Report NEP-ORE-2009-03-14This 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:
- Carl Chiarella & Boda Kang, 2009. "The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 245, Quantitative Finance Research Centre, University of Technology, Sydney.
- Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-608, CIRJE, Faculty of Economics, University of Tokyo.
- Guillermo Benavides & Carlos CapistrÃ¡n, 2009. "Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts," Working Papers, Banco de MÃ©xico 2009-01, Banco de MÃ©xico.
- Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009. "Forecasting Large Datasets with Conditionally Heteroskedastic Dynamic Common Factors," Working Papers ECARES, ULB -- Universite Libre de Bruxelles 2009_005, ULB -- Universite Libre de Bruxelles.