Report NEP-ORE-2015-12-01This 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:
- Xue-Zhong He & Kai Li & Chuncheng Wan, 2015. "Volatility Clustering: A Nonlinear Theoretical Approach," Research Paper Series 365, Quantitative Finance Research Centre, University of Technology, Sydney.
- Fedor Iskhakov & Thomas Høgholm Jørgensen & John Rust & Bertel Schjerning, 2015. "Estimating Discrete-Continuous Choice Models: The Endogenous Grid Method with Taste Shocks," Discussion Papers 15-19, University of Copenhagen. Department of Economics.
- Heinrich, Torsten, 2015. "A Discontinuity Model of Technological Change: Catastrophe Theory and Network Structure," MPRA Paper 68089, University Library of Munich, Germany.
- Majid M. Al-Sadoon, 2015. "Testing subspace Granger causality," Economics Working Papers 1495, Department of Economics and Business, Universitat Pompeu Fabra.
- Francq, Christian & Zakoian, Jean-Michel, 2015. "Joint inference on market and estimation risks in dynamic portfolios," MPRA Paper 68100, University Library of Munich, Germany.
- Anders Rosenstand Laugesen, 2015. "Asymmetric Monotone Comparative Statics for the Industry Compositions," Economics Working Papers 2015-22, Department of Economics and Business Economics, Aarhus University.
- Mark J. Jensen, 2015. "Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility," FRB Atlanta Working Paper 2015-12, Federal Reserve Bank of Atlanta.
- Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Documentos de Trabajo del ICAE 2015-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Yeboah Asuamah, Samuel, 2015. "An econometric investigation of forecasting liquefied petroleum gas in Ghana," MPRA Paper 67834, University Library of Munich, Germany.
- Edward F. Baranov & Igor A. Kim & Dmitri I. Piontkovski & Elena A. Staritsyna, 2015. "Constructing Retrospective Time Series of Russian Input-Output Accounts Based on the Nace/Cpa Classifications," HSE Working papers WP BRP 108/EC/2015, National Research University Higher School of Economics.
- Mark Podolskij & Nopporn Thamrongrat, 2015. "A weak limit theorem for numerical approximation of Brownian semi-stationary processes," CREATES Research Papers 2015-53, Department of Economics and Business Economics, Aarhus University.
- Christoph Breunig & Enno Mammen & Anna Simoni, "undated". "Nonparametric Estimation in case of Endogenous Selection," SFB 649 Discussion Papers SFB649DP2015-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Gurdip Bakashi & Mario Cerrato & John Crosby, 2015. "Risk Sharing in International Economies and Market Incompleteness," Working Papers 2015_23, Business School - Economics, University of Glasgow.
- Kapetanious, George & Price, Simon & Theodoridis, Konstantinos, 2015. "A new approach to multi-step forecasting using dynamic stochastic general equilibrium models," Bank of England working papers 567, Bank of England.