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