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Report NEP-ORE-2009-03-14
This 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.Subscribe to this report: email or RSS Other reports in NEP-ORE
The following items were anounced 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
245, Quantitative Finance Research Centre, University of Technology, Sydney.
[Downloadable!] 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-F-608, CIRJE, Faculty of Economics, University of Tokyo.
[Downloadable!] Guillermo Benavides & Carlos Capistrán, 2009.
"Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts Working Papers
2009-01, Banco de México.
[Downloadable!] Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009.
"Forecasting Large Datasets with Conditionally Heteroskedastic Dynamic Common Factors ECARES Working Papers
2009_005, Université Libre de Bruxelles, Ecares.
[Downloadable!] This page was last updated on 2009-11-29.
IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .