Report NEP-ORE-2011-12-19This 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:
- Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts, 2011. "Marginal Likelihood for Markov-switching and Change-point Garch Models," CREATES Research Papers 2011-41, School of Economics and Management, University of Aarhus.
- Diko, Peter & Usábel, Miguel A., 2011. "A numerical method for the expected penalty–reward function in a Markov-modulated jump–diffusion process," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/12757, Universidad Carlos III de Madrid.
- Jan Heufer, 2011. "Stochastic Dominance and Nonparametric Comparative Revealed Risk Aversion," Ruhr Economic Papers 0289, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
- Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, School of Economics and Management, University of Aarhus.