# Society for Computational Economics

# Computing in Economics and Finance 1999

Postal: CEF99, Boston College, Department of Economics, Chestnut Hill MA 02467 USA

Fax: +1-617-552-2308

Web page: http://fmwww.bc.edu/CEF99/

More information through EDIRC

Fax: +1-617-552-2308

Web page: http://fmwww.bc.edu/CEF99/

More information through EDIRC

**Editor:**

Additional information is available for the following registered editor(s):
Christopher F Baum
**For corrections or technical questions regarding this series, please contact (Christopher F. Baum)**

**Series handle:**repec:sce:scecf9

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### 1999

**1354 Endogenous Growth in a Swarm Economy: Fighting Time, Space, and Complexity***by*Charlotte Bruun & Francesco Luna**1353 Seller Automata in a Model of Exchange***by*Richard Stahnke**1352 Agent Based Customer Modelling***by*David Collings & A. A. Reeder & Iqbal Adjali & P. Crocker & M. H. Lyons**1351 Beyond Experimental Economics: Trading Institutions and Multiagent Systems***by*Adolfo Lopez Paredes & Cesáreo Hernández Iglesias**1344 Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor***by*John Y. Campbell & Joao Cocco & Francisco Gomes & Pascal Maenhout & Luis M. Viceira**1343 Caution in Macroeconomic Policy: Uncertainty and the Relative Intensity of Policy***by*P. Ruben Mercado & David Kendrick**1342 Evolution and Time Horizons in an Agent-Based Stock Market***by*Blake LeBaron**1341 Borrowing Constraints, Portfolio Choice and Precautionary Motives: Theoretical Predictions and Empirical Complications***by*Michael Haliassos & Christis Hassapis**1334 Visualizing Multi-Dimensional Functions in Economics***by*Bill Goffe**1333 Estimating Stationary ARMA Models Efficiently***by*Romulo A. Chumacero**1332 Hybrid Methods for Continuous Space Dynamic Programming***by*Mario J. Miranda & Paul L. Fackler**1331 A Formalism for the Dimensional Analysis of Time Series***by*Jose-Manuel Rey & Manuel Morán**1324 Updating SURE Models***by*Erricos Kontoghiorghes**1323 Two-Step Estimation of Discrete/Continuous Econometric Models with Interdependent Multinomial Choices***by*Denis Bolduc & Dimitri Sanga**1322 Estimation of Spatial Panel-Data Models Using a Minimum-Distance Estimator***by*Theophile Azomahou**1321 Environments for Global Optimization Using Interval Arithmetic and Computational (Automatic) Differentiation***by*Max E. Jerrell**1313 The Evaluation of Econometric Modeling Languages: Syntax and Content***by*Charles G. Renfro**1312 Wilkinson's Tests and Econometric Software***by*B. D. McCullough**1311 Modelling Programming Languages -- Appropriate Tools?***by*Ric D. Herbert**1243 An Approximate Wavelet MLE of Short- and Long-Memory Parameters***by*Mark J. Jensen**1242 Estimation and Computation of Long-Memory Continuous-Time Models***by*Esben P. Hoeg**1241 Tests of Equal Forecast Accuracy and Encompassing for Nested Models***by*Todd E. Clark & Michael McCracken**1233 A Method for Taking Models to the Data***by*Peter Ireland**1232 World Real Interest Rates and Business Cycles in Open Economies: a Multiple Shock Approach***by*M. Ayhan Kose & Bill Blankenau & Kei-Mu Yi**1231 Dynamics of Open Economy Models: What Is the Role of the Discount Factor?***by*Sunghyun Henry Kim & M. Ayhan Kose**1222 Numerical Analysis of Some Innovation-Adoption Models with State-Dependent Lags***by*E. Bengoechea & R. Boucekkine**1221 Evidence and Theory on Asymmetries in US Aggregate Job Flows***by*Fabrice Collard & Patrick Fève & François Langot & Corrine Perraudin**1212 Co-Evolution in a Competitive Market***by*Masayuki Ishinishi & Akira Namatame**1211 Evolving Strategic Behaviors through Competitive Interaction in the Large***by*Kimitaka Uno & Akira Namatame**1153 The Performance of Forward-Looking Monetary Policy Rules under Model Uncertainty***by*Volker Wieland & Andrew Levin & John C. Williams**1152 Real Implications of the Zero Bound on Nominal Interest Rates***by*Alexander L. Wolman**1151 Optimal Monetary Policy with Staggered Wage and Price Contracts***by*Andrew Levin & Christopher J. Erceg & Dale W. Henderson**1143 Estimating the Complexity Function of Financial Time Series: An Estimation Based on Predictive Stochastic Complexity***by*Ching-Wei Tan**1142 Limited Computational Ability and Approximation of Dynamical Systems***by*Domenico Colucci**1141 Economic Evolutionary Self-Organizing Systems: an Effective Characterization of Economic Evolution***by*Fernando Tohme & Silvia London**1132 Backward Unraveling over Time: The Evolution of Strategic Behavior in the Entry-Level British Medical Labor Markets***by*M. Utku Ünver**1131 Designing a Decision Making System for a Market-Selection Game***by*Hisao Ishibuchi & Chi-Hyon Oh & Tomoharu Nakashima**1123 Production Functions with Engineering Constraints***by*Francesco Luna**1122 Computability and Robustness of Equilibrium in Finite Games***by*Kislaya Prasad**1121 What Can Economists Compute?***by*Marcel K. Richter & Kam-Chau Wong**1113 Statistical Analysis of Cointegrated VAR Processes with Markovian Regime Shifts***by*Hans-Martin Krolzig**1112 Cointegration Modeling of Expected Exchange Rates***by*Robert A. Connolly & Paisan Limratanamongkol**1111 The Effect of Linear Time Trends on Single Equation Cointegration Testing***by*Uwe Hassler**1053 Evaluating Real Business Cycle Models: the Data Transformation Problem***by*John Landon-Lane**1052 Optimal Horizons for Inflation Targeting***by*Nicoletta Batini & Edward Nelson**1051 Gains From Employing Sparse Matrix Techniques in the Anderson-Moore Algorithm***by*Gary Anderson**1043 Neural-Network Modeling for Labor-Force Migration: a Competitive-Learning Approach***by*Thomas G. Wier & Vir V. Phoha**1042 The Nonlinear Intraday Pattern of Futures Market Exchange Rates: An Application of Neural Network Models***by*Tung Liu & Chung-Ming Kuan**1041 Alpha-Stable Consistent Model Specification Tests for Heavy-Tailed Neural Networks Environments***by*Jonathan Hill**1033 Using Symbolic Regression to Infer Strategies from Experimental Data***by*John Duffy & Jim Warnick**1032 Modelling Rule- and Experience-Based Expectations Using Neuro-Fuzzy-Systems***by*Stefan Kooths**1031 Statistical Evaluation of Genetic Programming***by*M. A. Kaboudan**1022 Frictionless Commerce? A Comparison of Internet and Conventional Retailers***by*Michael Smith & Erik Brynjolfsson**1021 Bidding Strategies in Internet Yankee Auctions: Theory and Evidence***by*Rafael Tenorio & Robert F. Easley**1013 A Comparison of an Oligopoly Game and the N-Person Iterated Prisoner's Dilemma***by*Tzai-Der Wang & Colin Fyfe & John Paul Marney**1012 Simulating the Ecology of Oligopoly Games with Genetic Algorithms***by*Chih-Chi Ni & Shu-Heng Chen**1011 Genetic Algorithms and Economic Evolution***by*Thomas Riechmann**954 The Accuracy of Fundamental Stock Market Price Estimates and a Refinement to the Donaldson-Kamstra Fundamental Estimate***by*Mark Kamstra & R. Glen Donaldson**953 Minimum-Variance Kernels and Economic Risk Premia***by*Cesare Robotti & Pierluigi Balduzzi**952 Modeling a Time-Varying Order Statistic***by*Simone Manganelli & Robert F. Engle**951 Nonparametric Modeling of Stock Returns Constrained by a Model of the Financial-Real Interaction***by*Peter Woehrmann & Willi Semmler**944 A re-evaluation of empirical tests of the Fisher hypothesis***by*Basma Bekdache & Christopher F. Baum**943 Long Memory Characteristics of the Distribution of Treasury Security Yields, Returns, and Volatility***by*Robert A. Connolly & Nuray Güner**942 Real Interest Rates and Real Exchange Rates : Evidence from Indexed Bonds***by*Douglas Laxton & Michael Bleany**941 The Application of the Kalman Filter to the Fisher Equation: Italian and German Term Structure of Interest Rates***by*Claudia Panseri & Giovanni Urga & Annalisa Cristini**934 Consumption and Asset Prices with Recursive Preferences: Continuous-Time Approximations to Discrete-Time Models***by*Mark Fisher**933 Extending the Computational Horizon: Effective Distributed Resource-Bounded Computation for Intractable Problems***by*Harry J. Paarsch & Alberto M. Segre**932 A Numerical Optimization Algorithm for Identification of Policy Options to Rehabilitate a Publicly Managed, Pay-As-You-Go Based Pension System***by*Serdar Sayan & Arzdar Kiraci**931 Computational Algorithms for Vertical Complementarity Arising in Finance***by*Berç Rustem & Tetsuya Noguchi & Michael Selby**924 Consumers' Sunspots, Animal Spirits, and Economic Fluctuations***by*Marcelle Chauvet & Jang-Ting Guo**923 Business Cycles and Interdependent Expectations***by*Burkhard Flieth & John Foster**922 Sunspot Fluctuations: A Way Out of a Development Trap?***by*Sergey Slobodyan**921 Investment Under Uncertainty and Economic Growth: A Quantitative Investigation***by*Michael Binder**914 Numerical Methods in Multivariate Option Pricing***by*Manfred Gilli & Kai Hencken & Philippe Huber and Evis Kellezi & Matthias Kroedel & Giorgio Pauletto**913 Discrete-Time Continuous-State Interest Rate Models***by*Michael Sullivan**912 Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis***by*Antonio Mele & Fabio Fornari**911 Hedging Options under Transaction Costs and Stochastic Volatility***by*Roy Kouwenberg & Jacek Gondzio & Ton Vorst**853 Federal Funds Futures, Spot Rates, and Expected Changes in Monetary Policy***by*Doug Rolph**852 Term Structure Estimation: an Implied Norm Approach Negative Option Prices -- A Puzzle or Just Noise?***by*Ioulia Ioffe & Alexandra E. MacKay & Eliezer Z. Prisman**851 Robust Estimation of GARMA Model Parameters and Application to Cointegration among Interest Rates of Industrialized Countries***by*Raji Ramachandran & Paul Beaumont**844 Permanent and Transitory Policy Shocks in a VAR with Asymmetric Information***by*Sharon Kozicki & Peter Tinsley**843 Implications of the Zero Bound on Interest Rates for the Design of Monetary Policy Rules***by*David Reifschneider & John C. Williams**842 Inflation Targeting: The Delegation and Co-Ordination of Monetary Policy***by*S. G. Brian Henry & Stephen G. Hall & James Nixon**841 Simple Monetary Policy Rules Under Model Uncertainty***by*Peter Isard & Douglas Laxton & Ann-Charlotte Eliasson**834 Bayesian Analysis of Econometrics Systems with Discrete Variables and Inequality Constraints***by*Asli Ogunc & Dek Terrell & R. Carter Hill**833 Using the BACC Software for Bayesian Inference***by*William McCausland**832 Using Simulation Methods for Bayesian Econometric Models***by*John Geweke**831 Windows Software for Bayesian MCMC Computations***by*Siddhartha Chib**824 Simulation Based Finite- and Large-Sample Inference Methods in Simultaneous Equations***by*Jean-Marie Dufour & Lynda Khalaf**823 Parameter Sensistivity and Its Cyclical Consequences in Macroeconometric Models***by*Ullrich Heilemann & Heinz Josef Münsch & Michael B. E. Ackermann**822 Bayesian Analysis of the Stochastic Switching Regression Model Using Markov Chain Monte Carlo Methods***by*Maria Odejar**821 Change of Measure in Monte Carlo Integration via Gibbs Sampling with an application to Stochastic Volatility Models***by*Filippo Altissimo**813 Gains from Combining the Anderson-Moore Algorithm and Julliard's Stack Algorithm***by*Gary Anderson**812 The El Farol Problem and the Internet: Congestion and Coordination Failure***by*Ann M. Bell & William A. Sethares**811 Dynamic Programming over a Continuous and Disjoint Multidimensional Search Space with an Infinite Time Horizon***by*Richard E. Hawkins & Jack Dekkers & James B. Kleibenstein**743 Learning and Control: Optimal Decision-Making in a Changing Economic Environment***by*Volker Wieland**742 The Dynamics of Rational Learning Processes with Asymmetric Information***by*Maik Heinemann**741 Learning and the Law of Iterated Projections***by*Bartholomew Moore & Huntley Schaller**734 Asymmetric Shocks and Long-Run Economic Performances across Italian Regions***by*Rosella Giacometti & Dino Pinelli**733 Inequality and the Growth Process: An Essay on Development Dynamics***by*Aminur Rahman**732 Economic Repercussions of Environmental Regulations in Poland: the Case of the Second Sulfur Protocol***by*Olga Kiuila**731 A Dynamic Structural Analysis of Consumer Demand for Automobiles in Sydney, Australia, 1981-1985***by*Michael Sandfort**723 Hysteresis in Economic Systems***by*Rod Cross & Michael Grinfeld & Laura Piscitelli**722 Micro and Macro Hysteresis in Employment under Exchange Rate Uncertainty***by*Matthias Göcke & Ansgar Belke**721 Hysteresis and Unemployment: a Preliminary Investigation***by*Rod Cross & Julia Darby & Jonathan Ireland & Laura Piscitelli**714 Applying Disequilibrium Growth Theory: Debt Effects and Debt Deflation***by*Carl Chiarella & Peter Flaschel**713 Population Dynamics and Labour Force Participation within Goodwin Type Growth-Cycle Models***by*Piero Manfredi & Luciano Fanti**712 The Evolution of Trading Rules in an Artificial Stock Market***by*Mark Howard**711 Network Externalities and the Path Dependence of Markets: Will Bill Gates Make It?***by*Max Keilbach**653 Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders***by*Andrew Lo & Nicholas Chan & Blake LeBaron & Tomaso Poggio**652 Just Another Day in the Inter-bank Foreign Exchange Market***by*Rajesh Chakrabarti**651 Market Force, Ecology, and Evolution***by*J. Doyne Farmer**643 On the Identification of Cointegrated Systems in Small Samples: Practical Procedures with an Application to UK Wages and Prices***by*Stephen G. Hall & Jennifer V. Greenslade & S. G. Brian Henry**642 Specification Search and Stability Analysis***by*J. Guillermo Llorente & J. del Hoyo**641 Regional Variations in Median Household Income: a Neural Network Approach***by*J. H. Chesnut**633 Stochastic Policy Design for Models with Rational Expectations and Time-Varying Parameters***by*Hans Amman & David Kendrick**632 Could the Fed Have Improved Price Stability?***by*Walter K. Waymeyer & Donald S. Allen**631 Why is the Fed So Reluctant to React?***by*Robert Tetlow & Peter von zur Muehlen**623 Linear Feedback Rules in Non-Linear Models with Rational Expectations***by*Sean Holly & Paul Turner & Luisa Corrado**622 An Examination of How Monetary Policy Influences Fiscal Policy in the Presence of Uncertainty***by*Doug Hostland & Chris Matier**621 Are 'Deep' Parameters Stable? The Lucas Critique as an Empirical Hypothesis***by*Jeff Fuhrer & Arturo Estrella**613 Evolving Traders and the Faculty of the Business School: A New Architecture of the Artificial Stock Market***by*Shu-Heng Chen & Chia-Hsuan Yeh**612 Heterogeneous Beliefs, Intelligent Agents, and Allocative Efficiency in an Artificial Stock Market***by*Jing Yang**611 Evolutionary Model of the Exchange Rate Behavior***by*Jasmina Arifovic**553 Would Evolutionary Computation Help for Designs of Artificial Neural Nets in Financial Applications?***by*Chun-Feng Lu**552 Genetic Algorithms and Trading Strategies: New Evidences from Financially Interesting Time Series***by*Chueh-Inong Taso**551 The Role of Automated Semiotic Classifications in Economic Domains***by*Ana Marostica & Fernando Tohme**543 Market Power Effects on Worker-Employer Network Formation in Evolutionary Labor Markets with Adaptive Search***by*Leigh Tesfatsion**542 Backwash and Spread: Effects of Trade Networks in a Space of Agents who Learn by Doing***by*Roger A. McCain**541 Sector-Driven Co-Evolution of Regional Networks and Agent Locations***by*Catherine Dibble**533 Median Unbiased Forecasts for Highly Persistent Autoregressive Processes***by*Nikolay Gospodinov**532 Calculating the Density and Distribution Function of a Singly and Doubly Noncentral F Random Variable***by*Marc Paolella & Ronald W. Butler**531 Efficient Monte Carlo Likelihood Analysis of Panel Data Models with Unobserved Heterogeneity in Time and across Individual Units***by*Jean-François Richard**523 Estimating Internet Users' Demand Characteristics***by*Mingzhi Li & Alok Gupta & Boris Jukic & Dale O. Stahl & Andrew B. Whinston**522 Restart Strategies and Internet Congestion***by*Bernardo A. Huberman & Sebastian M. Maurer**521 The Nature of Markets in the World Wide Web***by*Bernardo A. Huberman & Lada A. Adamic**513 Asymptotic Inference for Nonstationary Fractionally Integrated Processes***by*Francesc Marmol & Juan J. Dolado**512 S-Estimation in the Linear Regression Model with Long-Memory Error Terms***by*Philipp Sibbertsen**511 Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for Applied Work***by*Mehmet Caner & Lutz Kilian**402 Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation***by*Andrew Lo & Harry Mamaysky & Jiang Wang**401 Computational Experiments and Reality***by*John Geweke**354 Heterogeneity, Efficiency, and Asset Allocation with Endogenous Labor Supply: The Static Case***by*Marcelo Bianconi**353 Optimal Monetary Policy with Heterogeneous Agents: Is There a Case for Inflation?***by*Theodore Palivos**352 Divorce and Savings***by*Carol Scotese Lehr**351 On Government Credit Programs***by*Marco Espinosa-Vega & Bruce D. Smith & Chong K. Yip**344 The Influence of Evolutionary Selection Schemes on the Iterated Prisoner's Dilemma***by*David van Bragt & Cees van Kemenade & Han La Poutre**343 Competing R&D Strategies in an Evolutionary Industry Model***by*Murat Yildizoglu**342 A Prisoner's Dilemma Game Causes Technical Trading***by*Shareen Joshi & Jeffrey Parker & Mark Bedau**341 Governance and Matching***by*Tomas Klos**334 Perturbation Solution of Nonlinear Rational Expectations Models***by*Peter A. Zadrozny & Baoline Chen**333 A Technique for Solving Rational-Expectations Models***by*Jean-Louis Brillet**332 Swapping the Nested Fixed-Point Algorithm: a Class of Estimators for Discrete Markov Decision Models***by*Victor Aguirregabiria & Pedro Mira**331 Extending the High-Level Architecture Paradigm to Economic Simulation***by*James A. Calpin & Marnie R. Salisbury & John A. Vitkevich, Jr. & David Woodward**323 The Influence of Clean Up Capital Subsidies in Environmental Optimal Control Models with Complex Dynamics***by*Christophe Deissenberg & Laurent Cellarier**322 Knowledge Spillover, Transboundary Pollution, and Growth***by*Süheyla Özyildirim & Nedim M. Alemdar**321 Achieving Desired Performance through Constraint: Application to Pollution-Production Cycles***by*Christopher Pawlowski**314 Computer Automation of General-to-Specific Model Selection Procedures***by*Hans-Martin Krolzig & David Hendry**313 Forecasting Volatility under Multivariate Stochastic Volatility Model via Reprojection***by*Pieter J. van der Sluis & George J. Jiang**312 Time-Series Modelling of Daily Tax Revenues***by*Marius Ooms & Björn de Groot & Siem Jan Koopman**311 Fast Estimation of Parameters in State Space Models***by*Siem Jan Koopman**254 Implicit Programming and the Stable Manifold for Optimal Growth Problems***by*Baoline Chen & Robert A. Becker**253 Determining Short-Run Adjustments: Sensitivity to Non-Linearities in a Representative Agent Framework***by*Peter J. Stemp & Ric D. Herbert**252 Inaccuracy of Loglinearization in Welfare Calculations: Complete vs. Incomplete Market Economies***by*Jinill Kim & Sunghyun Henry Kim & Andrew Levin**251 Inaccuracy of Loglinear Approximation in Welfare Calculations: the Case of International Risk Sharing***by*Jinill Kim & Sunghyun Henry Kim**244 Evolution of Networks and the Diffusion of New Technology***by*Glenn T. Mitchell**243 Institutions and Innovation Diffusion***by*Francesco Luna & Andrea Zanatta**242 Organizational Structure and Perpetual Innovation: A Computational Model of a Retail Chain***by*Myong-Hun Chang & Joseph Harrington, Jr.**241 The Need for a New Microeconomic Paradigm***by*Alfred Norman & Mridul Chowdhury & Khurram Mahmood**233 Beyond Serrano vs. Priest: National Funding of Education***by*Jorge Soares**232 Treasury Bill Auctions in Spain: an Optimal-Control Approach***by*Francisco Alvarez & Emilio Cerda & Cristina Mazon**231 Asymmetric Observation Errors in Optimal Control of Stochastic Quadratic Linear Systems and Application to Modelling Volatility***by*Rosario Romera & Esther Ruiz**224 Learning and Excess Volatility***by*James Bullard & John Duffy**223 Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model***by*Xue-Zhong He & Carl Chiarella**222 Heterogeneous Expectations, Market Dynamics, and Social Welfare***by*SaangJoon Baak**221 Learning with Bounded Memory in Stochastic Models***by*Kaushik Mitra & Seppo Honkapohja**213 Towards an Automata Approach of (Institutional) Economics***by*Koye Somefun & Philip Mirowski**212 Markets as Complex Distributed Networks: Implications for Efficiency and Inequality***by*Nienke Oomes**211 The Complexity of Exchange***by*Rob Axtell**154 Solving Large and Small Models on Microcomputers***by*Jean-Louis Brillet**153 Government-Private Ownership Equilibrium with Incomplete Markets***by*Sunanda Roy**152 Modeling the Economics of Internet Companies***by*Deniz Yuret & Ayla Ogus & Michael de la Maza**151 A Primal-Dual Decomposition-Based Interior-Point Approach to Two-Stage Stochastic Programming***by*Arjan B. Berkelaar & K. P. Bart Oldenkamp & Cees L. Dert**144 Stochastic Simulations of a Non-Linear Phillips Curve Model***by*Michel Juillard & Fabrice Collard**143 Mathematical and Numerical Analysis of a Type of Monetary Model***by*Jenny Li**142 Is It Worth Reducing Exclusion?***by*Fabrice Collard & Patrick Fève & François Langot**141 An Analysis of the Robustness of Simple Monetary Policy Rules in Simple Models of the Output-Inflation Process***by*Douglas Laxton**133 Valuation of Barrier Options in a Black-Scholes Setup with Jump Risk***by*Dietmar P. J. Leisen**132 Performance of a Hedged Dynamic Portfolio Model in the Presence of Extreme Events***by*Rosella Giacometti & Rosella Castellano**131 Finite Element Methods in Bond and Option Pricing***by*Juergen Topper**124 The Use of Qualitative Research to Develop a Computational Model for Dynamic Entry Deterrence in an Emerging Market***by*Jane M. Binner & C. B. Lee & W. D. Murphy & L. R. Fletcher**123 Learning Schemes in Evolutionary Game Theory: Application to a Model of Entry in a Regulated Market***by*Iqbal Adjali & A. A. Reeder & David Collings & M. H. Lyons & A. Varley**122 Moving-Horizon Control in Dynamic Games***by*W. A. van den Broek**121 Learning to Trust: Uncovering Unobserved Multi-Period Behavioral Strategies from Observed Stage Game Actions Using Finite Automata***by*Jim Warnick & Robert L. Slonim**113 ARCH Models and Option Pricing: the Continuous-Time Connection***by*Antonio Mele & Fabio Fornari**112 Stochastic Volatility: Univariate and Multivariate Extensions***by*Eric Jacquier & Nicholas G. Polson & Peter Rossi**111 Nonparametric Estimation of Multifactor Continuous Time Interest-Rate Models***by*Christopher T. Downing