Report NEP-ORE-2022-01-31

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:

• Mestiri, Sami, 2021, "Modelling the volatility of Bitcoin returns using Nonparametric GARCH models," MPRA Paper, University Library of Munich, Germany, number 111116, Dec.
• Filip Stanek, 2021, "Optimal Out-of-Sample Forecast Evaluation under Stationarity," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp712, Nov.
• Pihnastyi, Oleh & Ivanovska, Olha, 2021, "Using a two-level dynamic PDE model to synchronize the performance of technological equipment of a production line," MPRA Paper, University Library of Munich, Germany, number 111138, Sep, revised Sep 2021.
• Martin M. Andreasen & Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2021, "Why does risk matter more in recessions than in expansions?," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2021-83, Sep.
• Saman Banafti & Tae-Hwy Lee, 2022, "Inferential Theory for Granular Instrumental Variables in High Dimensions," Working Papers, University of California at Riverside, Department of Economics, number 202203, Jan.
• Justin Dang & Aman Ullah, 2021, "Machine Learning Based Semiparametric Time Series Conditional Variance: Estimation and Forecasting," Working Papers, University of California at Riverside, Department of Economics, number 202204, Jan, revised Jan 2022.
• David Anderson & Urban Ulrych, 2022, "Accelerated American Option Pricing with Deep Neural Networks," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-03, Jan.
• Jovanka Lili Matic & Natalie Packham & Wolfgang Karl Hardle, 2021, "Hedging Cryptocurrency Options," Papers, arXiv.org, number 2112.06807, Nov, revised Dec 2022.
• Dehez, Pierre, 2021, "1-convex transferable utility games, a reappraisal," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2021016, Nov.
• Battulga Gankhuu, 2021, "Rainbow Options under Bayesian MS-VAR Process," Papers, arXiv.org, number 2112.10447, Dec, revised May 2023.
• Belot, Michele & Kircher, Philipp & Muller, Paul, 2021, "Eliciting time preferences when income and consumption vary: Theory, validation & application to job search," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2021035, Dec.
• Andras Fulop & Jeremy Heng & Junye Li, 2022, "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers, arXiv.org, number 2201.01094, Jan.
• Tomoyuki Nakajima, 2021, "Principal-Agent Problems with Hidden Savings in Continuous Time," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-1182, Dec.
• Christopher F Baum & Jesús Otero & Stan Hurn, 2021, "Testing for time-varying Granger causality," Economics Virtual Symposium 2021, Stata Users Group, number 9, Nov.
• Dakyung Seong, 2022, "Binary response model with many weak instruments," Papers, arXiv.org, number 2201.04811, Jan, revised Jun 2024.
• Maibom, Jonas, 2021, "The Welfare Effects of Mandatory Reemployment Programs: Combining a Structural Model and Experimental Data," IZA Discussion Papers, IZA Network @ LISER, number 14866, Nov.
• Stevens, Nicolas & Papavasiliou, Anthony, 2022, "Application of the Level Method for Computing Locational Convex Hull Prices," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2022002, Jan.
• Ying Hu & Xiaomin Shi & Zuo Quan Xu, 2022, "Non-homogeneous stochastic LQ control with regime switching and random coefficients," Papers, arXiv.org, number 2201.01433, Jan, revised Jul 2023.
• Atayev, Atabek, 2021, "Uncertain product availability in search markets," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 21-089.
• Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022, "Reconciled Estimates of Monthly GDP in the US," Working Papers, Federal Reserve Bank of Cleveland, number 22-01, Jan, DOI: 10.26509/frbc-wp-202201.
• Chabakauri, Georgy & Yueyang Han, Brandon, 2020, "Collateral constraints and asset prices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 102699, Dec.
• Jourquin, Bart, 2021, "Integrate an accessibility measure in the modal choice of strategic freight transport models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2021031, Dec.
• Olivier Jeanne, 2021, "Currency Wars, Trade Wars, and Global Demand," NBER Working Papers, National Bureau of Economic Research, Inc, number 29603, Dec.
• Matsuki, Takashi & Pan, Lei, 2021, "How did Australian financial markets react to the COVID-19 vaccine rollout? Fresh evidence from quantile copula spectrum analysis," MPRA Paper, University Library of Munich, Germany, number 111136, Dec.
• Wang, Xingang & Maani, Sholeh A., 2021, "Ethnic Regional Networks and Immigrants' Earnings: A Spatial Autoregressive Network Approach," IZA Discussion Papers, IZA Network @ LISER, number 14862, Nov.
• Bos, Iwan & Marini, Marco A. & Saulle, Riccardo, 2021, "Myopic Oligopoly Pricing," MPRA Paper, University Library of Munich, Germany, number 111176, Dec.
• Nikolas Kuschnig, 2021, "Bayesian Spatial Econometrics and the Need for Software," Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics, number wuwp318, Dec.
• Thorsten Hens & Fatemeh Naebi, 2022, "Behavioral Heterogeneity in the CAPM with Evolutionary Dynamics," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-06, Jan.
• Guzman, Cristobal & Riffo, Javiera & Telha, Claudio & Van Vyve, Mathieu, 2021, "A Sequential Stackelberg Game for Dynamic Inspection Problems," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2021036, Dec.
• Georgios Gioldasis & Antonio Musolesi & Michel Simioni, 2023, "Interactive R&D spillovers: an estimation strategy based on forecasting-driven model selection," Post-Print, HAL, number hal-03476599, DOI: 10.1016/j.ijforecast.2021.09.009.
• Lorentz, André & Ciarli, Tommaso & Savona, Maria & Valente, Marco, 2022, "Structural transformations and cumulative causation towards an evolutionary micro-foundation of the Kaldorian growth model," MERIT Working Papers, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT), number 2022-001, Jan.
• FERNANDEZ LLORCA David & GOMEZ Emilia, 2021, "Trustworthy Autonomous Vehicles," JRC Research Reports, Joint Research Centre, number JRC127051, Dec.
• Nicola Comincioli & Paolo Panteghini & Sergio Vergalli, 2021, "A Welfare Analysis on Start-Up Decisions under Default Risk," CESifo Working Paper Series, CESifo, number 9478.
• Korpela, Ville & Lombardi, Michele & Saulle, Riccardo, 2021, "An Implementation Approach to Rotation Programs," MPRA Paper, University Library of Munich, Germany, number 111126, Dec.
• Garg, Karan, 2021, "Machines and Markets : Assessing the Impact of Algorithmic Trading on Financial Market Efficiency," Warwick-Monash Economics Student Papers, Warwick Monash Economics Student Papers, number 11.
• Frank, Luis, 2020, "Estimación de elasticidades de demanda de exportaciones por grandes rubros a través de un modelo VARX(p,q)
  [Estimation of Exports Demand-elasticities of Major Items through a VARX(p,q) Model]," MPRA Paper, University Library of Munich, Germany, number 111425, Oct.
• Oliver Chiriac & Jonathan Hall, 2021, "Henderson--Chu model extended to two heterogeneous groups," Papers, arXiv.org, number 2112.12179, Nov, revised Sep 2022.
• Edoardo Berton & Lorenzo Mercuri, 2021, "An Efficient Unified Approach for Spread Option Pricing in a Copula Market Model," Papers, arXiv.org, number 2112.11968, Dec, revised Feb 2023.
• Damiano Brigo & Federico Graceffa & Alexander Kalinin, 2021, "Mild to classical solutions for XVA equations under stochastic volatility," Papers, arXiv.org, number 2112.11808, Dec.
• Meagher, Kate, 2020, "Illusions of inclusion: assessment of the World Development Report 2019 on the changing nature of work," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 103000, Mar.
• de Cornière, Alexandre & Taylor, Greg, 2021, "A Model of Information Security and Competition," TSE Working Papers, Toulouse School of Economics (TSE), number 21-1285, Dec.
• Zarko Kalamov, 2021, "Evaluating Marginal Internalities: A New Approach," CESifo Working Paper Series, CESifo, number 9476.
• Carbonero, Francesco & Davies, Jeremy & Ernst, Ekkehard & Fossen, Frank M. & Samaan, Daniel & Sorgner, Alina, 2021, "The Impact of Artificial Intelligence on Labor Markets in Developing Countries: A New Method with an Illustration for Lao PDR and Viet Nam," IZA Discussion Papers, IZA Network @ LISER, number 14944, Dec.
• Jaehyuk Choi & Lei Lu & Heungju Park & Sungbin Sohn, 2022, "The financial value of the within-government political network: Evidence from Chinese municipal corporate bonds," Papers, arXiv.org, number 2201.01160, Jan.

Report NEP-ORE-2022-01-31

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: