Report NEP-ORE-2010-07-10This 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:
- Conall O'Sullivan & Stephen O'Sullivan, 2010. "Pricing Options under Heston’s Stochastic Volatility Model via Accelerated Explicit Finite Differencing Methods," Working Papers, Geary Institute, University College Dublin 201031, Geary Institute, University College Dublin.
- Alessandro Flamini & Costas Milas, 2010. "Real-time Optimal Monetary Policy with Undistinguishable Model Parameters and Shock Processes Uncertainty," Working Papers, The University of Sheffield, Department of Economics 2010015, The University of Sheffield, Department of Economics, revised Jun 2010.
- John Quah & Bruno Strulovici, 2010. "Aggregating the single crossing property: theory and applications to comparative statics and Bayesian games," Economics Series Working Papers, University of Oxford, Department of Economics 493, University of Oxford, Department of Economics.
- Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2010. "The conditional autoregressive wishart model for multivariate stock market volatility," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics 2010,07, Christian-Albrechts-University of Kiel, Department of Economics.
- Shu-Ping Shi, 2010. "Bubbles or Volatility: A Markov-Switching Unit Root Test with Regime-Varying Error Variance," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics 2010-524, Australian National University, College of Business and Economics, School of Economics.
- J. Isaac Miller, 2010. "A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels," Working Papers, Department of Economics, University of Missouri 1001, Department of Economics, University of Missouri.
- John Beirne & Guglielmo Maria Caporale & Nicola Spagnolo, 2010. "Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research 1029, DIW Berlin, German Institute for Economic Research.