Report NEP-ORE-2021-04-05

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:

• Jonas Meier, 2020. "Multivariate Distribution Regression," Diskussionsschriften dp2023, Universitaet Bern, Departement Volkswirtschaft.
• Ikeda, Yuki, 2021. "Efficient Computation of Portfolio Credit Risk with Chain Default," MPRA Paper 106652, University Library of Munich, Germany.
• O'Brien, Martin & Velasco, Sofia, 2020. "Unobserved components models with stochastic volatility for extracting trends and cycles in credit," Research Technical Papers 09/RT/20, Central Bank of Ireland.
• Francesco Bianchi & Cosmin L. Ilut & Hikaru Saijo, 2021. "Diagnostic Business Cycles," NBER Working Papers 28604, National Bureau of Economic Research, Inc.
• Torben G. Andersen & Rasmus T. Varneskov, 2021. "Consistent Inference for Predictive Regressions in Persistent Economic Systems," NBER Working Papers 28568, National Bureau of Economic Research, Inc.
• Arkadiusz Jedrzejewski & Grzegorz Marcjasz & Rafal Weron, 2021. "Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO," WORking papers in Management Science (WORMS) WORMS/21/04, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
• Jonathan Swarbrick, 2021. "Occasionally Binding Constraints in Large Models: A Review of Solution Methods," Discussion Papers 2021-5, Bank of Canada.
• Carlos Alós-Ferrer & Maximilian Mihm, 2021. "Updating stochastic choice," ECON - Working Papers 381, Department of Economics - University of Zurich.
• Sapre, Nikhil, 2021. "Revisiting the Expected Utility Theory and the Consumption CAPM," MPRA Paper 106668, University Library of Munich, Germany.
• Torben G. Andersen & Rasmus T. Varneskov, 2021. "Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions," NBER Working Papers 28569, National Bureau of Economic Research, Inc.
• Leonardo Boncinelli & Alessio Muscillo & Paolo Pin, 2021. "Efficiency and Stability in a Process of Teams Formation," Papers 2103.13712, arXiv.org, revised Oct 2021.
• Akyildirim, Erdinc & Goncu, Ahmet & Hekimoglu, Alper & Nguyen, Duc Khuong & Sensoy, Ahmet, 2021. "Statistical arbitrage: Factor investing approach," MPRA Paper 105766, University Library of Munich, Germany.
• Javier Alejo & Antonio F. Galvao & Gabriel Montes-Rojas, 2020. "A first-stage test for instrumental variables quantile regression," Asociación Argentina de Economía Política: Working Papers 4304, Asociación Argentina de Economía Política.
• Brams, Steven & Kilgour, Marc, 2021. "A Note on Stabilizing Cooperation in the Centipede Game," MPRA Paper 106809, University Library of Munich, Germany.
• Lukas Boer & Helmut Lütkepohl, 2021. "Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis," Discussion Papers of DIW Berlin 1940, DIW Berlin, German Institute for Economic Research.
• Hernández, Jaime, 2021. "Tiempo de desplazamiento al puesto laboral y relación con los empleados autónomos: el caso de las mujeres trabajadoras alemanas [Commuting time and relationship with self-employed: the case of Germ," MPRA Paper 106040, University Library of Munich, Germany.
• Jay Cao & Jacky Chen & John Hull & Zissis Poulos, 2021. "Deep Hedging of Derivatives Using Reinforcement Learning," Papers 2103.16409, arXiv.org.
• Kollár, Aladár, 2021. "Betting models using AI: a review on ANN, SVM, and Markov chain," MPRA Paper 106821, University Library of Munich, Germany.
• Szekeres, Szabolcs, 2021. "Should CBA use descriptive or prescriptive discount rates? It should use both!," MPRA Paper 106029, University Library of Munich, Germany.
• Philippe Bergault & Fayc{c}al Drissi & Olivier Gu'eant, 2021. "Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics," Papers 2103.13773, arXiv.org, revised Mar 2022.
• Congressional Budget Office, 2021. "The Capacity of the Navy’s Shipyards to Maintain Its Submarines," Reports 57026, Congressional Budget Office.
• Raviv, Alon & Hilscher, Jens & Peleg Lazar, Sharon, 2021. "Designing bankers' pay: Using contingent capital to reduce risk-shifting," MPRA Paper 106596, University Library of Munich, Germany.
• Crampes, Claude & Renault, Jérôme, 2021. "Imperfect competition in electricity markets with partially flexible technologies," TSE Working Papers 21-1198, Toulouse School of Economics (TSE).
• Aleksy Klimowicz & Krzysztof Spirzewski, 2021. "Concept of peer-to-peer lending and application of machine learning in credit scoring," Working Papers 2021-04, Faculty of Economic Sciences, University of Warsaw.
• Gaston Clément Nyassoke Titi & Jules Sadefo-Kamdem & Louis Aimé Fono, 2021. "Optimal Renewable Resource Harvesting model using price and biomass stochastic variations: A Utility Based Approach," Working Papers hal-03169348, HAL.
• Francesco Furlanetto & Kåre Hagelund & Frank Hansen & Ørjan Robstad, 2020. "Norges Bank Output Gap Estimates: Forecasting Properties, Reliability and Cyclical Sensitivity," Working Paper 2020/7, Norges Bank.
• Afees A. Salisu & Rangan Gupta & Riza Demirer, 2021. "Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model," Working Papers 202121, University of Pretoria, Department of Economics.
• Kitov, Ivan, 2021. "The link between unemployment and real economic growth in developed countries," MPRA Paper 105873, University Library of Munich, Germany, revised 07 Feb 2021.
• Riccardo (Jack) Lucchetti & Claudia Pigini, 2020. "Choice of solutions to the initial-conditions problem in dynamic panel probit models," Working Papers 2020:27, Department of Economics, University of Venice "Ca' Foscari".
• Emran, M. Shahe & Jiang, Hanchen & Shilpi, Forhad, 2021. "Is Gender Destiny? Gender Bias and Intergenerational Educational Mobility in India," GLO Discussion Paper Series 807, Global Labor Organization (GLO).
• Thomas J. Sargent & Neng Wang & Jinqiang Yang, 2021. "Stochastic Earnings Growth and Equilibrium Wealth Distributions," NBER Working Papers 28473, National Bureau of Economic Research, Inc.
• Hernán Vallejo, 2021. "Oligopsony and Minimum Wages," Documentos CEDE 19140, Universidad de los Andes, Facultad de Economía, CEDE.
• Christian ZAMO AKONO & Thierry BEDZEME & James Bienvenu EBAA EBAA & Rosalie NIEKOU, 2021. "Transformation structurelle et inégalités de revenus au Cameroun : 2001-2014," Working Paper f6787bde-79e5-41b6-81f1-a, Agence française de développement.
• Valeria J. Blanco & A. Daniela Cristina & Iván Iturralde & Alberto J. Figueras, 2020. "Estudio exploratorio sobre la informalidad en la jurisdicciones provinciales," Asociación Argentina de Economía Política: Working Papers 4315, Asociación Argentina de Economía Política.
• Subhash C. Ray, 2021. "Choice of Inputs and Outputs for Production Analysis," Working papers 2021-05, University of Connecticut, Department of Economics.
• Andrew Sweeting & Xuezhen Tao & Xinlu Yao, 2021. "Dynamic Oligopoly Pricing with Asymmetric Information: Implications for Horizontal Mergers," NBER Working Papers 28589, National Bureau of Economic Research, Inc.
• Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2021. "Uncertainty and Monetary Policy during the Great Recession," Economics Working Papers 2021-05, Department of Economics and Business Economics, Aarhus University.
• Darwin Ugarte Ontiveros & Ruth Marcela Aparicio de Guzmán, 2020. "Técnicas Robustas y No Robustas para Identificar Outliers en el Análisis de Regresión," Investigación & Desarrollo, Universidad Privada Boliviana, vol. 20(1), pages 41-56.
• Apostolos Chalkis & Emmanouil Christoforou & Theodore Dalamagkas & Ioannis Z. Emiris, 2021. "Modeling of crisis periods in stock markets," Papers 2103.13294, arXiv.org.