Report NEP-ORE-2022-04-18

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:

• Demian Pouzo & Zacharias Psaradakis & Martín Sola, 2021, "Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2021_07, Dec.
• Bu, R. & Li, D. & Linton, O. & Wang, H., 2022, "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2218, Mar.
• Javier Hualde & Morten Ørregaard Nielsen, 2022, "Truncated sum-of-squares estimation of fractional time series models with generalized power law trend," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2022-07, Apr.
• Hafner, Christian & Linton, Oliver & Wang, Linqi, 2022, "Dynamic Autoregressive Liquidity (DArLiQ)," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022009, Feb.
• Marion, Rebecca & Lederer, Johannes & Govaerts, Bernadette & von Sachs, Rainer, 2021, "VC-PCR: A Prediction Method based on Supervised Variable Selection and Clustering," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2021040, Dec.
• James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2022, "Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference," Working Paper, Economics Department, Queen's University, number 1485, Oct.
• Pesaran, M. H. & Pick, A. & Timmermann, A., 2022, "Forecasting with panel data: estimation uncertainty versus parameter heterogeneity," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2219, Mar.
• Krebs, Johannes & Rademacher, Daniel & von Sachs, Rainer, 2022, "Statistical inference for intrinsic wavelet estimators of SPD covariance matrices in a log-Euclidean manifold," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022004, Feb.
• Gonzalo Ballestero, 2022, "Collusion and Artificial Intelligence: A Computational Experiment with Sequential Pricing Algorithms under Stochastic Costs," Working Papers, Red Nacional de Investigadores en Economía (RedNIE), number 118, Feb.
• Dupret, Jean-Loup & Hainaut, Donatien, 2022, "A subdiffusive stochastic volatility jump model," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022001, Jan.
• Mark Aguiar & Satyajit Chatterjee & Harold Cole & Zachary Stangebye, 2021, "Self-Fulfilling Debt Crises, Revisited," Working Papers, Princeton University. Economics Department., number 2021-92, Nov.
• Tomás Caravello & Turalay Kenc & Martín Sola, 2021, "Risk Aversion and Changes in Regime," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2021_08, Dec.
• Gianluca Cubadda & Alain Hecq, 2022, "Dimension Reduction for High Dimensional Vector Autoregressive Models," CEIS Research Paper, Tor Vergata University, CEIS, number 534, Mar, revised 24 Mar 2022.
• Njike Leunga, Charles G. & Hainaut, Donatien, 2022, "Long memory self-exciting jump diffusion for asset prices modeling," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022003, Jan.
• Yuan Li & Kenichiro Shiraya & Yuji Umezawa & Akira Yamazaki, 2022, "Moments of Maximum of Lévy Processes: Application to Barrier and Lookback Option Pricing," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-536, Mar.
• Tomás Caravello & Zacharias Psaradakis & Martín Sola, 2021, "Rational Bubbles: Too Many to be True?," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2021_06, Aug.
• Marko Mlikota & Frank Schorfheide, 2022, "Sequential Monte Carlo With Model Tempering," Papers, arXiv.org, number 2202.07070, Feb.
• Nicolás Ronderos Pulido, 2022, "Modified Instruments: An Iterative Process for Reducing Endogeneity Bias Using Large Samples," Documentos de Economía, Universidad Javeriana - Bogotá, number 20049, Apr.
• Bianchi, Daniele & Babiak, Mykola, 2021, "On the Performance of Cryptocurrency Funds," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 408, Nov.
• Glötzl, Erhard, 2022, "A simple General Constrained Dynamics (GCD) model for demand, supply and price shocks," MPRA Paper, University Library of Munich, Germany, number 112386, Mar.
• Amberg, Niklas & Jansson, Thomas & Klein, Mathias & Rogantini Picco, Anna, 2021, "Five Facts about the Distributional Income Effects of Monetary Policy," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 403, May.
• Archil Gulisashvili, 2022, "Multivariate Stochastic Volatility Models and Large Deviation Principles," Papers, arXiv.org, number 2203.09015, Mar, revised Nov 2022.
• De Wolf, Daniel & Diop, Ngagne & Kilani, Moez, 2022, "Environmental impacts of enlarging electric vehicles market share," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2022011, Feb.
• R Clavijo, 2022, "Price discrimination under nonuniform calling circles and call externalities," Documentos de Trabajo, Universidad del Rosario, number 20054, Apr.
• Fuzhou Gong & Ting Wang, 2022, "The Variable Volatility Elasticity Model from Commodity Markets," Papers, arXiv.org, number 2203.09177, Mar.
• Wosnitza, Jan Henrik, 2022, "Calibration alternatives to logistic regression and their potential for transferring the dispersion of discriminatory power into uncertainties of probabilities of default," Discussion Papers, Deutsche Bundesbank, number 04/2022.
• Ng, Joe Cho Yiu & Chan, Chao Hung & Tsang, Byron Kwok Ping & Leung, Charles Ka Yui, 2022, "Greenfield Foreign Direct Investment: Social Learning drives Persistence," MPRA Paper, University Library of Munich, Germany, number 112448, Mar.

Report NEP-ORE-2022-04-18

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: