Report NEP-ORE-2011-10-01This 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:
- Siem Jan Koopman & Marcel Scharth, 2011. "The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures," Tinbergen Institute Discussion Papers, Tinbergen Institute 11-132/4, Tinbergen Institute.
- Carles Bretó & Helena Veiga, 2011. "Forecasting volatility: does continuous time do better than discrete time?," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de EstadÃstica y EconometrÃa ws112518, Universidad Carlos III, Departamento de Estadística y Econometría.
- Jiti Gao & Peter C.B. Phillips, 2011. "Semiparametric Estimation in Multivariate Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 17/11, Monash University, Department of Econometrics and Business Statistics.
- Prono, Todd, 2011. "When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models," MPRA Paper 33593, University Library of Munich, Germany.
- Corniglion, Sébastien & Turnois, Nadine, 2011. "Simulating tourists' behaviour using multi-agent modelling," MPRA Paper 33526, University Library of Munich, Germany.