Report NEP-ORE-2018-01-08

This 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.

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Other reports in NEP-ORE

The following items were announced in this report:

• Zacharias Psaradakis & Martin Sola, 2017. "Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities," Birkbeck Working Papers in Economics and Finance 1702, Birkbeck, Department of Economics, Mathematics & Statistics.
• Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-scale portfolio allocation under transaction costs and model uncertainty," CFS Working Paper Series 582, Center for Financial Studies (CFS).
• Diebold, Francis X. & Schorfheide, Frank & Shin, Minchul, 2017. "Real-time forecast evaluation of DSGE models with stochastic volatility," CFS Working Paper Series 577, Center for Financial Studies (CFS).
• BREITUNG, Jörg & HAFNER, Christian, 2016. "A Simple Model for Now-Casting Volatility Series," LIDAM Discussion Papers CORE 2016004, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Simone Pellegrino & Achille Vernizzi, 2017. "A Note on the Maximum Value of the Kakwani Index," Working papers 047, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
• Andrea Nocera, 2017. "Causes and Effects of Negative Definite Covariance Matrices in Swamy Type Random Coefficient Models," Birkbeck Working Papers in Economics and Finance 1704, Birkbeck, Department of Economics, Mathematics & Statistics.
• Lijun Bo & Huafu Liao & Xiang Yu, 2017. "Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching," Papers 1712.05676, arXiv.org, revised Oct 2018.
• TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2017. "A Term Structure Model of Interest Rates with Quadratic Volatility," Working Paper Series G-1-18, Hitotsubashi University Center for Financial Research.
• Andrei Matveenko, 2017. "Logit, CES, and Rational Inattention," CERGE-EI Working Papers wp593, The Center for Economic Research and Graduate Education - Economics Institute, Prague.