Report NEP-ORE-2018-07-09

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.

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The following items were announced in this report:

• Jiti Gao & Namhyun Kim & Patrick W. Saart, 2018. "On endogeneity and shape invariance in extended partially linear single index models," Monash Econometrics and Business Statistics Working Papers 8/18, Monash University, Department of Econometrics and Business Statistics.
• Karol Gellert & Erik Schlogl, 2018. "Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation," Papers 1806.05387, arXiv.org.
• Hernández-Ramos, Lesdy Natalie & Venegas-Martínez, Francisco, 2018. "Un modelo estocástico de equilibrio general de una economía pequeña y abierta para evaluar el desempeño de la política fiscal y monetaria: el caso mexicano 1990-2015 [A Stochastic General Equilibri," MPRA Paper 87666, University Library of Munich, Germany.
• Gianluca De Nard & Olivier Ledoit & Michael Wolf, 2018. "Factor models for portfolio selection in large dimensions: the good, the better and the ugly," ECON - Working Papers 290, Department of Economics - University of Zurich, revised Dec 2018.
• Liyuan Chen & Paola Zerilli & Christopher F Baum, 2018. "Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications," Boston College Working Papers in Economics 953, Boston College Department of Economics.
• Malesios, C & Demiris, N & Kalogeropoulos, K & Ntzoufras, I, 2017. "Bayesian epidemic models for spatially aggregated count data," LSE Research Online Documents on Economics 77939, London School of Economics and Political Science, LSE Library.
• Niko Hauzenberger & Florian Huber & Michael Pfarrhofer & Thomas O. Zorner, 2018. "Stochastic model specification in Markov switching vector error correction models," Papers 1807.00529, arXiv.org, revised Sep 2019.
• Matteo Brachetta & Claudia Ceci, 2018. "Optimal proportional reinsurance and investment for stochastic factor models," Papers 1806.01223, arXiv.org.