Report NEP-ORE-2020-07-27

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:

• Xiaohong Chen & Zhijie Xiao & Bo Wang, 2020, "Copula-Based Time Series With Filtered Nonstationarity," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2242, Jul.
• Deborah Gefang & Gary Koop & Aubrey Poon, 2020, "Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE), number ESCoE DP-2020-07, May.
• Josef Danv{e}k & J. Posp'iv{s}il, 2020, "Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models," Papers, arXiv.org, number 2006.13181, Jun.
• Daniel Bartl & Samuel Drapeau & Jan Obloj & Johannes Wiesel, 2020, "Sensitivity analysis of Wasserstein distributionally robust optimization problems," Papers, arXiv.org, number 2006.12022, Jun, revised Nov 2021.
• Roberto Molinari & Gaetan Bakalli & Stéphane Guerrier & Cesare Miglioli & Samuel Orso & O. Scaillet, 2020, "Swag: A Wrapper Method for Sparse Learning," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-49, Jun.
• Simon Freyaldenhoven, 2020, "Identification Through Sparsity in Factor Models," Working Papers, Federal Reserve Bank of Philadelphia, number 20-25, Jun, DOI: 10.21799/frbp.wp.2020.25.
• Donggyu Kim & Xinyu Song & Yazhen Wang, 2020, "Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency," Papers, arXiv.org, number 2006.12039, Jun.
• Zhou, W. & O’Neill, E. & Moncaster, A. & Reiner D. & Guthrie, P., 2020, "Forecasting Urban Residential Stock Turnover Dynamics using System Dynamics and Bayesian Model Averaging," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2054, Jun.
• Martin, Ian & Nagel, Stefan, 2019, "Market Efficiency in the Age of Big Data," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14235, Dec.
• Massimo Guidolin & Manuela Pedio, 2020, "Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 20145.
• Radomir Mach & Milan Scasny & Jan Weinzettel, 2020, "The Importance of Retail Trade Margins for Calculating the Carbon Footprint of Consumer Expenditures: A Sensitivity Analysis," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2020/19, Jun, revised Jun 2020.
• Kollmann, Robert, 2020, "Rational Bubbles in Non-Linear Business Cycle Models: Closed and Open Economies," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14367, Jan.
• Reinhold Heinlein & Gabriella Deborah Legrenzi & Scott M. R. Mahadeo, 2020, "Energy Contagion in the Covid-19 Crisis," CESifo Working Paper Series, CESifo, number 8345.
• David A. Benson & Matthew A. Masten & Alexander Torgovitsky, 2020, "ivcrc: An Instrumental Variables Estimator for the Correlated Random Coefficients Model," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2020-046r1, Jun, revised 04 Apr 2022, DOI: 10.17016/FEDS.2020.046r1.
• Frank Schorfheide & Dongho Song, 2020, "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," Working Papers, Federal Reserve Bank of Philadelphia, number 20-26, Jul, DOI: 10.21799/frbp.wp.2020.26.
• Zhishui Hu & Ioannis Kasparis & Qiying Wang, 2020, "Locally trimmed least squares: conventional inference in possibly nonstationary models," Papers, arXiv.org, number 2006.12595, Jun.
• Jaime Martínez-Martín & Elena Rusticelli, 2020, "Keeping track of global trade in real time," Working Papers, Banco de España, number 2019, Jul.
• Jaqueson Kingeski Galimberti, 2019, "An approximation of the distribution of learning estimates in macroeconomic models," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 19-453, Mar, DOI: 10.3929/ethz-b-000332885.
• Florian Huber & Luca Rossini, 2020, "Inference in Bayesian Additive Vector Autoregressive Tree Models," Papers, arXiv.org, number 2006.16333, Jun, revised Mar 2021.
• Cyrille Lenoel & Garry Young, 2020, "Real-time turning point indicators: Review of current international practices," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE), number ESCoE DP-2020-05, Apr.
• Brice Corgnet & Cary Deck & Mark DeSantis & David Porter, 2020, "Forecasting Skills in Experimental Markets: Illusion or Reality?," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon, number 2020.
• Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020, "Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets," CESifo Working Paper Series, CESifo, number 8324.
• Elena Andreou & Eric Ghysels, 2020, "Predicting the VIX and the Volatility Risk Premium: The Role of Short-run Funding Spreads Volatility Factors," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 04-2020, Mar.
• Florian Morvillier, 2020, "Robustness of the Balassa-Samuelson effect: evidence from developing and emerging economies," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2020-18.
• Moreno Trujillo, John Freddy, 2019, "Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes
  [Stochastic model for risky assets price using Hawkes processes]," MPRA Paper, University Library of Munich, Germany, number 101327, May.
• Luís Sá & Odd Rune Straume, 2020, "Quality provision in hospital markets with demand inertia:The role of patient expectations," NIPE Working Papers, NIPE - Universidade do Minho, number 03/2020.
• Dmitry Ryvkin, 2020, "To fight or to give up? Dynamic contests with a deadline," Working Papers, Department of Economics, Florida State University, number wp2020_07_01, Jul.
• Kanbur, Ravi & Ronconi, Lucas & López-Cariboni, Santiago, 2020, "Who demands labour (de)regulation in the developing world? Insider–outsider theory revisited," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14277, Jan.
• Luis J. Álvarez & Mónica Correa-López, 2020, "Inflation expectations in euro area Phillips curves," Occasional Papers, Banco de España, number 2018, Jul.
• de Paula, Aureo, 2020, "The Informativeness of Estimation Moments," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14298, Jan.
• Maria Arvaniti & Tomas Sjögren, 2020, "Temptation in Consumption and Optimal Redistributive Taxation," CER-ETH Economics working paper series, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich, number 20/339, Jul.
• Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2020, "Tempered Stable Processes with Time Varying Exponential Tails," Papers, arXiv.org, number 2006.07669, Jun, revised Aug 2020.
• James R. Markusen, 2020, "Global Comparatives Statics in General Equilibrium: Model Building from Theoretical Foundations," CESifo Working Paper Series, CESifo, number 8320.
• Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2020, "Networks in risk spillovers: A multivariate GARCH perspective," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2020:16.
• Atsushi Inoue & Lutz Kilian, 2020, "Joint Bayesian Inference about Impulse Responses in VAR Models," Working Papers, Federal Reserve Bank of Dallas, number 2022, Jul, DOI: 10.24149/wp2022.
• Jan F. Kiviet, 2020, "Instrument-free inference under confined regressor endogeneity; derivations and applications," Working Papers, Stellenbosch University, Department of Economics, number 09/2020.
• David R. Ba~nos & Marc Lagunas-Merino & Salvador Ortiz-Latorre, 2020, "Variance and interest rate risk in unit-linked insurance policies," Papers, arXiv.org, number 2006.14833, Jun.
• Ospina-Cartagena, Vanessa & García-Suaza, Andrés, 2020, "Brechas de Género en el trabajo Doméstico y de Cuidado No Remunerado en Colombia," Working papers, Red Investigadores de Economía, number 52, Jun.
• Bejarano-Salcedo, Valeria & Cárdenas-Cárdenas, Julián Alonso & Julio-Román, Juan Manuel & Caicedo-García, Edgar, 2020, "Entendiendo, Modelando y Pronosticando los efectos de "El Niño" sobre los precios de los alimentos: el caso colombiano," Working papers, Red Investigadores de Economía, number 50, Jun.
• Fornaro, Luca, 2019, "Monetary Union and Financial Integration," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14216, Dec.
• Ana Beatriz Galvão & Marta Lopresto, 2020, "Real-time Probabilistic Nowcasts of UK Quarterly GDP Growth using a Mixed-Frequency Bottom-up Approach," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE), number ESCoE DP-2020-06, May.
• Heng Chen & Walter Engert & Kim Huynh & Gradon Nicholls & Mitchell Nicholson & Julia Zhu, 2020, "Cash and COVID-19: The impact of the pandemic on demand for and use of cash," Discussion Papers, Bank of Canada, number 2020-6, Jul, DOI: 10.34989/sdp-2020-6.
• William & C. Horrace & Yulong Wang, 2020, "Nonparametric Tests of Tail Behavior in Stochastic Frontier Models," Papers, arXiv.org, number 2006.07780, Jun.
• David Zenz, 2020, "Die Vernetzung Wiens mit den Städten Europas," wiiw Statistical Reports, The Vienna Institute for International Economic Studies, wiiw, number 9, Jun.
• Corsetti, Giancarlo & Bodenstein, Martin & Guerrieri, Luca, 2020, "The Elusive Gains from Nationally-Oriented Monetary Policy," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14359, Jan.
• Robin Braun & Ralf Brüggemann, 2020, "Identification of SVAR Models by Combining Sign Restrictions With External Instruments," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2020-01, May.
• Tymon Sloczynski & Tymon Słoczyński, 2020, "Interpreting OLS Estimands When Treatment Effects Are Heterogeneous: Smaller Groups Get Larger Weights," CESifo Working Paper Series, CESifo, number 8331.

Report NEP-ORE-2020-07-27

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: