Report NEP-ORE-2020-09-14

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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Other reports in NEP-ORE

The following items were announced in this report:

• Hartwig, Benny, 2020. "Robust inference intime-varying structural VAR models: The DC-Cholesky multivariate stochasticvolatility model," Discussion Papers 34/2020, Deutsche Bundesbank.
• Rutger Jan Lange, 2020. "Bellman filtering for state-space models," Tinbergen Institute Discussion Papers 20-052/III, Tinbergen Institute, revised 19 May 2021.
• Alexander Chudik & M. Hashem Pesaran & Mahrad Sharifvaghefi, 2020. "Variable Selection in High Dimensional Linear Regressions with Parameter Instability," Globalization Institute Working Papers 394, Federal Reserve Bank of Dallas, revised 05 Aug 2024.
• Alexander Chudik & M. Hashem Pesaran & Mahrad Sharifvaghefi, 2020. "Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks," CESifo Working Paper Series 8475, CESifo.
• Ayse Kabukcuoglu & Enrique Martínez García, 2020. "A Generalized Time Iteration Method for Solving Dynamic Optimization Problems with Occasionally Binding Constraints," Globalization Institute Working Papers 396, Federal Reserve Bank of Dallas.
• Yoosoon Chang & Junior Maih & Fei Tan, 2018. "State Space Models with Endogenous Regime Switching," Working Paper 2018/12, Norges Bank.
• Karol Kielak & Robert Ślepaczuk, 2020. "Value-at-risk — the comparison of state-of-the-art models on various assets," Working Papers 2020-28, Faculty of Economic Sciences, University of Warsaw.
• Andrey Pankratov, 2020. "Securities lending and information transmission: a model of endogenous short-sale constraints," Swiss Finance Institute Research Paper Series 20-69, Swiss Finance Institute.
• Parra-Alvarez, Juan Carlos & Posch, Olaf & Wang, Mu-Chun, 2020. "Estimation of heterogeneous agent models: A likelihood approach," Discussion Papers 42/2020, Deutsche Bundesbank.
• Schmitt, Noemi & Schwartz, Ivonne & Westerhoff, Frank H., 2020. "Heterogeneous speculators and stock market dynamics: A simple agent-based computational model," BERG Working Paper Series 160, Bamberg University, Bamberg Economic Research Group.
• Robert C. Smit & Francesco Ravazzolo & Luca Rossini, 2020. "Dynamic Bayesian forecasting of English Premier League match results with the Skellam distribution," BEMPS - Bozen Economics & Management Paper Series BEMPS72, Faculty of Economics and Management at the Free University of Bozen.
• Rachele Foschi & Francesca Lilla & Cecilia Mancini, 2020. "Warnings about future jumps: properties of the exponential Hawkes model," Working Papers 13/2020, University of Verona, Department of Economics.
• Cellini, Roberto, 2020. "Whom Should I Merge With? How product substitutability affects merger profitability," MPRA Paper 102416, University Library of Munich, Germany, revised Aug 2020.
• Farkas, Mátyás & Tatar, Balint, 2020. "Bayesian estimation of DSGE models with Hamiltonian Monte Carlo," IMFS Working Paper Series 144, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
• Daniele Vernon-Bido & Andrew J. Collins, 2020. "Finding Core Members of Cooperative Games using Agent-Based Modeling," Papers 2009.00519, arXiv.org.
• Samuel Fern'andez-Lorenzo & Diego Porras & Juan Jos'e Garc'ia-Ripoll, 2020. "Hybrid quantum-classical optimization for financial index tracking," Papers 2008.12050, arXiv.org, revised Oct 2021.
• Kenichiro McAlinn & Knut Are Aastveit & Jouchi Nakajima & Mike West, 2019. "Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting," Working Paper 2019/2, Norges Bank.
• Adrien Auclert & Bence Bardóczy & Matthew Rognlie, 2020. "MPCs, MPEs and Multipliers: A Trilemma for New Keynesian Models," NBER Working Papers 27486, National Bureau of Economic Research, Inc.
• Federico, Salvatore & Ferrari, Giorgio, 2020. "Taming the Spread of an Epidemic by Lockdown Policies," Center for Mathematical Economics Working Papers 639, Center for Mathematical Economics, Bielefeld University.
• Berta, P. & Lovaglio, P.G. & Paruolo, P. & Verzillo, S., 2020. "Real Time Forecasting of Covid-19 Intensive Care Units demand," Health, Econometrics and Data Group (HEDG) Working Papers 20/16, HEDG, c/o Department of Economics, University of York.
• Gilbert L. Skillman, 2020. "The Nash Bargaining Solution in Labor Market Analysis," Wesleyan Economics Working Papers 2020-005, Wesleyan University, Department of Economics.
• Emran, M. Shahe & Ferreira, Francisco H. G. & Jiang, Yajing & Sun, Yan, 2020. "Occupational Dualism and Intergenerational Educational Mobility in the Rural Economy: Evidence from China and India," IZA Discussion Papers 13550, Institute of Labor Economics (IZA).
• syed, irfan, 2020. "A new framework of analysis of Political Risk in OECD Countries," MPRA Paper 102636, University Library of Munich, Germany, revised 03 Apr 2020.
• Xiaoxue Sherry Gao & Glenn W. Harrison & Rusty Tchernis, 2020. "Behavioral Welfare Economics and Risk Preferences: A Bayesian Approach," NBER Working Papers 27685, National Bureau of Economic Research, Inc.
• Semyon Malamud & Michael Tseng & Yuan Zhang, 2020. "Price Discovery for Options," Swiss Finance Institute Research Paper Series 20-66, Swiss Finance Institute.
• Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2020. "Uncertainty and Monetary Policy during Extreme Events," Economics Working Papers 2020-11, Department of Economics and Business Economics, Aarhus University.
• Bryan T. Kelly & Semyon Malamud & Lasse Heje Pedersen, 2020. "Principal Portfolios," Swiss Finance Institute Research Paper Series 20-67, Swiss Finance Institute.
• Baert, Stijn & Picchio, Matteo, 2020. "A Signal of (Train)Ability? Grade Repetition and Hiring Chances," IZA Discussion Papers 13488, Institute of Labor Economics (IZA).
• Havranek, Tomas & Irsova, Zuzana & Laslopova, Lubica & Zeynalova, Olesia, 2020. "The Elasticity of Substitution between Skilled and Unskilled Labor: A Meta-Analysis," MPRA Paper 102598, University Library of Munich, Germany.