Report NEP-ORE-2008-11-18This 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:
- Carl Chiarella & Viviana Fanelli & Silvana Musti, 2008. "Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model," Research Paper Series 232, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen & Lei Shi, 2008. "On the Numerical Stability of Simulation Methods for SDES," Research Paper Series 234, Quantitative Finance Research Centre, University of Technology, Sydney.
- Kim, Taeyoon & Brorsen, B. Wade & Kenkel, Philip L., 2008. "Estimation of Efficiency with the Stochastic Frontier Cost Function and Heteroscedasticity: A Monte Carlo Study," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6408, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Naoto Kunitomo & Seisho Sato, 2008. "Realized Volatility, Covariance and Hedging Coefficient of the Nikkei-225 Futures with Micro-Market Noise," CIRJE F-Series CIRJE-F-601, CIRJE, Faculty of Economics, University of Tokyo.
- Lucchetti, Riccardo & Palomba, Giulio, 2008. "Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity," MPRA Paper 11571, University Library of Munich, Germany.
- Venier, Guido, 2008. "A Simple Hypothesis Test for Heteroscedasticity," MPRA Paper 11591, University Library of Munich, Germany.