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Report NEP-ORE-2022-04-11
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:
- Bu, R. & Li, D. & Linton, O. & Wang, H., 2022, "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Janeway Institute Working Papers, Faculty of Economics, University of Cambridge, number 2208, Mar.
- Hafner, Christian & Linton, Oliver & Wang, Linqi, 2022, "Dynamic Autoregressive Liquidity (DArLiQ)," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2022002, Feb.
- Yanbo Liu & Peter C. B. Phillips & Jun Yu, 2022, "A Panel Clustering Approach to Analyzing Bubble Behavior," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2323, Feb.
- Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2022, "Asymptotic properties of the weighted-average least squares (WALS) estimator," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 2203, revised Mar 2022.
- Mahmoud Fatouh & Ioana Neamtu & Sweder van Wijnbergen, 2022, "Risk-Taking, Competition and Uncertainty: Do Contingent Convertible (CoCo) Bonds Increase the Risk Appetite of Banks?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-017/IV, Feb.
- Matt Davison & Marcos Escobar-Anel & Yichen Zhu, 2022, "Optimal market completion through financial derivatives with applications to volatility risk," Papers, arXiv.org, number 2202.08148, Feb.
- Alexander Chudik & M. Hashem Pesaran & Ron P. Smith, 2022, "Revisiting the Great Ratios Hypothesis," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 415, Mar, revised 14 Apr 2023, DOI: 10.24149/gwp415r1.
- Hauber, Philipp, 2022, "Real-time nowcasting with sparse factor models," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 251551.
- Antoine Didisheim & Bryan T. Kelly & Semyon Malamud, 2022, "Deep Regression Ensembles," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-20, Mar.
- Yamashita, Takuro & Smolin, Alex, 2022, "Information Design in Concave Games," TSE Working Papers, Toulouse School of Economics (TSE), number 22-1313, Mar.
- P. Carr & A. Itkin & D. Muravey, 2022, "Semi-analytical pricing of barrier options in the time-dependent Heston model," Papers, arXiv.org, number 2202.06177, Feb.
- Chudik, A. & Pesaran, M. H. & Smith, R. P., 2022, "Revisiting the Great Ratios Hypothesis," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2215, Mar.
- Dargel, Lukas & Thomas-Agnan, Christine, 2022, "A generalized framework for estimating spatial econometric interaction models," TSE Working Papers, Toulouse School of Economics (TSE), number 22-1312, Mar.
- Hauber, Philipp, 2021, "How useful is external information from professional forecasters? Conditional forecasts in large factor models," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 251469.
- Michael Curran & Patrick O'Sullivan & Ryan Zalla, 2022, "Can Volatility Solve the Naive Portfolio Puzzle?," Villanova School of Business Department of Economics and Statistics Working Paper Series, Villanova School of Business Department of Economics and Statistics, number 52, Feb.
- Theodoros Evgeniou & Julien Hugonnier & Rodolfo Prieto, 2022, "Asset pricing with costly short sales," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-21, Mar.
- Emil Heesche & Mette Asmild, 2022, "Implications of Aggregation Uncertainty in DEA," IFRO Working Paper, University of Copenhagen, Department of Food and Resource Economics, number 2022/02, Mar.
- Simon Jantschgi & Heinrich H. Nax & Bary S. R. Pradelski & Marek Pycia, 2022, "Markets and transaction costs," ECON - Working Papers, Department of Economics - University of Zurich, number 405, Feb, revised Sep 2022.
- Afc{s}ar Onat Ayd{i}nhan & Xiaoyue Li & John M. Mulvey, 2022, "Solving Multi-Period Financial Planning Models: Combining Monte Carlo Tree Search and Neural Networks," Papers, arXiv.org, number 2202.07734, Feb, revised May 2022.
- Eger, Jens & Kaplan, Lennart & Sternberg, Henrike, 2022, "How to reduce vaccination hesitancy? The relevance of evidence and its communicator," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 433.
- Dirk Bergemann & Yang Cai & Grigoris Velegkas & Mingfei Zhao, 2022, "Is Selling Complete Information (Approximately) Optimal?," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2324, Feb.
- Dominguez, Alvaro & Sakamoto, Hiroshi, 2022, "Irregular Economic Growth in the World Economy: Fluctuations of Ergodic Distributions through a Markov Chain Model," AGI Working Paper Series, Asian Growth Research Institute, number 2022-03, Feb.
- Nocera, A. & Pesaran, M. H., 2022, "Causal effects of the Fed's large-scale asset purchases on firms' capital structure," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2224, Apr.
- Wenji Xu & Kai Hao Yang, 2022, "Informational Intermediation, Market Feedback, and Welfare Losses," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2321, Oct.
- Wheatcroft, Edward, 2021, "Evaluating probabilistic forecasts of football matches: the case against the ranked probability score," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 111494, Dec.
- Giuseppe Attanasi & Claire Rimbaud & Marie Claire Villeval, 2022, "Guilt Aversion in (New) Games: Does Partners’ Payoff Vulnerability Matter?," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon, number 2203.
- Juan Carlos Cuestas & Mercedes Monfort & Javier Ordóñez, 2022, "House prices in Spain: Is it always sunny and warm?," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2022/07.
- Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022, "Inference for extremal regression with dependent heavy-tailed data," TSE Working Papers, Toulouse School of Economics (TSE), number 22-1324, Mar, revised 29 Aug 2023.