Report NEP-ORE-2022-03-07

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:

• Ina Hajdini, 2022, "Mis-specified Forecasts and Myopia in an Estimated New Keynesian Model," Working Papers, Federal Reserve Bank of Cleveland, number 22-03R, Feb, revised 06 Mar 2023, DOI: 10.26509/frbc-wp-202203r.
• Schwaab, Bernd & Zhang, Xin & Lucas, André & D’Innocenzo, Enzo, 2020, "Modeling extreme events:time-varying extreme tail shape," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 399, Dec, revised 01 Jun 2023.
• Wolf, Elias, 2022, "Estimating growth at risk with skewed stochastic volatility models," Discussion Papers, Free University Berlin, School of Business & Economics, number 2022/2.
• Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2022, "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," Research Papers in Economics, University of Trier, Department of Economics, number 2022-02.
• James Holehouse & Jos'e Moran, 2022, "Exact time-dependent dynamics of discrete binary choice models," Papers, arXiv.org, number 2201.09573, Jan, revised Feb 2022.
• Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2022, "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," Working Paper Series, University of Trier, Research Group Quantitative Finance and Risk Analysis, number 2022-02.
• Dietzenbacher, Bas & Yanovskaya, Elena, 2022, "The equal split-off set for NTU-games," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 002, Feb, DOI: 10.26481/umagsb.2022002.
• Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman van Dijk, 2022, "A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-013/III, Feb.
• Selim Amrouni & Aymeric Moulin & Tucker Balch, 2022, "CTMSTOU driven markets: simulated environment for regime-awareness in trading policies," Papers, arXiv.org, number 2202.00941, Feb, revised Feb 2022.
• Minheng Xiao, 2022, "Data-Driven Risk Measurement by SV-GARCH-EVT Model," Papers, arXiv.org, number 2201.09434, Jan, revised Dec 2024.
• Kiss, Tamás & Kladivko, Kamil & Lunander, Anders & Österholm, Pär, 2022, "Varför har arbetstagar- och arbetsgivarorganisationer olika förväntningar om lönetillväxt?," Working Papers, Örebro University, School of Business, number 2022:3, Feb.
• Isuru Ratnayake & V. A. Samaranayake, 2022, "Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model," Papers, arXiv.org, number 2202.03351, Feb, revised Mar 2022.
• Sylvain Béal & Stéphane Gonzalez & Philippe Solal & Peter Sudhölter, 2022, "Axiomatic characterizations of the core without consistency," Working Papers, CRESE, number 2022-02, Feb.
• H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2022, "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Papers, arXiv.org, number 2202.02532, Feb.
• Zi Yang Kang & Shoshana Vasserman, 2022, "Robustness Measures for Welfare Analysis," NBER Working Papers, National Bureau of Economic Research, Inc, number 29656, Jan.
• Caio Almeida & Paul Schneider, 2021, "Constrained Polynomial Likelihood," Working Papers, Princeton University. Economics Department., number 2021-45, Oct.
• Aurbacher, Joachim & Rabenau, Philip, , "Interactive Modelling with Agricultural Stakeholders using Bayesian Networks," 61st Annual Conference, Berlin, Germany, September 22-24, 2021, German Association of Agricultural Economists (GEWISOLA), number 317058, DOI: 10.22004/ag.econ.317058.
• Kenichi Shimizu, 2022, "Asymptotic properties of Bayesian inference in linear regression with a structural break," Papers, arXiv.org, number 2201.07319, Jan.
• Anindya Goswami & Kedar Nath Mukherjee & Irvine Homi Patalwala & Sanjay N. S, 2022, "Regime recovery using implied volatility in Markov modulated market model," Papers, arXiv.org, number 2201.10304, Jan, revised Mar 2022.
• Harold D Chiang & Bruce E Hansen & Yuya Sasaki, 2022, "Standard errors for two-way clustering with serially correlated time effects," Papers, arXiv.org, number 2201.11304, Jan, revised Dec 2023.
• Benjamin Poignard & Manabu Asai, 2022, "High-Dimensional Sparse Multivariate Stochastic Volatility Models," Papers, arXiv.org, number 2201.08584, Jan, revised May 2022.
• Julio Guerrero & Giuseppe Orlando, 2022, "Stochastic Local Volatility models and the Wei-Norman factorization method," Papers, arXiv.org, number 2201.11241, Jan.
• Joel Gilmore & Tahlia Nolan & Paul Simshauser, 2022, "The Levelised Cost of Frequency Control Ancillary Services in Australia’s National Electricity Market," Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge, number EPRG2202, Jan.
• Liang Jiang & Oliver B. Linton & Haihan Tang & Yichong Zhang, 2022, "Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance," Papers, arXiv.org, number 2201.13004, Jan, revised Jun 2023.
• Karel Janda & Ladislav Kristoufek & Binyi Zhang, 2022, "Return and Volatility Spillovers between Chinese and U.S. Clean Energy Related Stocks," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2022-17, Feb.
• Karim Anaya & Michael Pollitt, 2021, "An evaluation of a local reactive power market: the case of Power Potential," Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge, number EPRG2124, Oct.
• Gold, Heather T. & McDermott, Cara & Hoomans, Ties & Wagner, Todd H., 2022, "Cost data in implementation science: categories and approaches to costing," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 113704, Jan.
• Paul Simshauser, 2021, "Rooftop solar PV and the peak load problem in the NEM’s Queensland region," Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge, number EPRG2125, Nov.
• Zheng, Bang Quan, 2021, "RGLS and RLS in Covariance Structure Analysis," SocArXiv, Center for Open Science, number aejgf, Oct, DOI: 10.31219/osf.io/aejgf.
• Congressional Budget Office, 2022, "Economic Effects of Five Illustrative Single-Payer Health Care Systems: Working Paper 2022-02," Working Papers, Congressional Budget Office, number 57637, Feb.
• Joshua Bernstein & Alexander W. Richter & Nathaniel A. Throckmorton, 2022, "The Matching Function and Nonlinear Business Cycles," Working Papers, Federal Reserve Bank of Dallas, number 2201, Feb, DOI: 10.24149/wp2201.
• Driver, Charles C, 2022, "Inference With Cross-Lagged Effects - Problems in Time and New Interpretations," OSF Preprints, Center for Open Science, number xdf72, Jan, DOI: 10.31219/osf.io/xdf72.
• Henrique Guerreiro & Jo~ao Guerra, 2022, "VIX pricing in the rBergomi model under a regime switching change of measure," Papers, arXiv.org, number 2201.10391, Jan.
• Filippo Gusella, 2022, "Detecting and Measuring Financial Cycles in Heterogeneous Agents Models: An Empirical Analysis," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2022_02.rdf.
• Saglam, Ismail, 2022, "Monopoly Persistence under the Threat of Supply Function Competition," MPRA Paper, University Library of Munich, Germany, number 111829, Feb.
• Joshua C. C. Chan, 2022, "Large Hybrid Time-Varying Parameter VARs," Papers, arXiv.org, number 2201.07303, Jan, revised Jun 2022.
• Stefan Vamosi & Michael Platzer & Thomas Reutterer, 2022, "AI-based Re-identification of Behavioral Clickstream Data," Papers, arXiv.org, number 2201.10351, Jan.
• Panggabean, Angelita Nauli, 2022, "Mengelola Disruption Pada Industri Otomotif," OSF Preprints, Center for Open Science, number zkjd9, Jan, DOI: 10.31219/osf.io/zkjd9.
• Eric C. K. Cheung & Oscar Peralta & Jae-Kyung Woo, 2021, "Multivariate matrix-exponential affine mixtures and their applications in risk theory," Papers, arXiv.org, number 2201.11122, Dec.
• Beatrice Acciaio & Anastasis Kratsios & Gudmund Pammer, 2022, "Designing Universal Causal Deep Learning Models: The Geometric (Hyper)Transformer," Papers, arXiv.org, number 2201.13094, Jan, revised Mar 2023.
• José Renato Haas Ornelas & Marcos Soares da Silva & Bernardus F Nazar Van Doornik, 2022, "Informational switching costs, bank competition, and the cost of finance," BIS Working Papers, Bank for International Settlements, number 990, Jan.
• Pratama, Muhammad Andika Rizki, 2022, "GSLC SESSION 21 - Disruption Management pada Industri Otomotif," OSF Preprints, Center for Open Science, number pwsne, Feb, DOI: 10.31219/osf.io/pwsne.
• Hasan, Zubair, 2021, "Islamic finance, growth, and stability," MPRA Paper, University Library of Munich, Germany, number 111885, Aug, revised Feb 2022.
• Jean-Pierre Aubry, 2022, "How to Increase Usage of Social Security’s Online Tools," Issues in Brief, Center for Retirement Research, number ib2022-1, Jan.
• Jan Rosenzweig, 2022, "Fat Tails and Optimal Liability Driven Portfolios," Papers, arXiv.org, number 2201.10846, Jan, revised Apr 2023.
• Sternberg, Jeff, 2021, "Revisiting the Urban Question in the Age of the New Urban Crisis: The (Re)Production of the Regime of Flexible Accumulation," SocArXiv, Center for Open Science, number gbq78, Dec, DOI: 10.31219/osf.io/gbq78.
• Khalid El-Awady, 2021, "Applicability of Large Corporate Credit Models to Small Business Risk Assessment," Papers, arXiv.org, number 2201.08276, Dec.

Report NEP-ORE-2022-03-07

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: