Report NEP-ORE-2011-06-25This 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:
- Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 2011-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Marcel Nutz, 2011. "A Quasi-Sure Approach to the Control of Non-Markovian Stochastic Differential Equations," Papers 1106.3273, arXiv.org, revised May 2012.
- Cristina Amado & Timo Teräsvirta, 2011. "Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations," CREATES Research Papers 2011-24, School of Economics and Management, University of Aarhus.
- Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 2011-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Kleijnen, Jack P.C., 2011. "Simulation Optimization via Bootstrapped Kriging: Tutorial (Replaced by CentER DP 2013-064)," Discussion Paper 2011-064, Tilburg University, Center for Economic Research.