Report NEP-ORE-2022-01-31

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:

• Mestiri, Sami, 2021. "Modelling the volatility of Bitcoin returns using Nonparametric GARCH models," MPRA Paper 111116, University Library of Munich, Germany.
• Filip Stanek, 2021. "Optimal Out-of-Sample Forecast Evaluation under Stationarity," CERGE-EI Working Papers wp712, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Pihnastyi, Oleh & Ivanovska, Olha, 2021. "Using a two-level dynamic PDE model to synchronize the performance of technological equipment of a production line," MPRA Paper 111138, University Library of Munich, Germany, revised Sep 2021.
• Martin M. Andreasen & Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2021. "Why does risk matter more in recessions than in expansions?," CAMA Working Papers 2021-83, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Saman Banafti & Tae-Hwy Lee, 2022. "Inferential Theory for Granular Instrumental Variables in High Dimensions," Working Papers 202203, University of California at Riverside, Department of Economics.
• Justin Dang & Aman Ullah, 2021. "Machine Learning Based Semiparametric Time Series Conditional Variance: Estimation and Forecasting," Working Papers 202204, University of California at Riverside, Department of Economics, revised Jan 2022.
• David Anderson & Urban Ulrych, 2022. "Accelerated American Option Pricing with Deep Neural Networks," Swiss Finance Institute Research Paper Series 22-03, Swiss Finance Institute.
• Jovanka Lili Matic & Natalie Packham & Wolfgang Karl Hardle, 2021. "Hedging Cryptocurrency Options," Papers 2112.06807, arXiv.org, revised Dec 2022.
• Dehez, Pierre, 2021. "1-convex transferable utility games, a reappraisal," LIDAM Discussion Papers CORE 2021016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Battulga Gankhuu, 2021. "Rainbow Options under Bayesian MS-VAR Process," Papers 2112.10447, arXiv.org, revised May 2023.
• Belot, Michele & Kircher, Philipp & Muller, Paul, 2021. "Eliciting time preferences when income and consumption vary: Theory, validation & application to job search," LIDAM Discussion Papers CORE 2021035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.
• Tomoyuki Nakajima, 2021. "Principal-Agent Problems with Hidden Savings in Continuous Time," CIRJE F-Series CIRJE-F-1182, CIRJE, Faculty of Economics, University of Tokyo.
• Christopher F Baum & Jesús Otero & Stan Hurn, 2021. "Testing for time-varying Granger causality," Economics Virtual Symposium 2021 9, Stata Users Group.
• Dakyung Seong, 2022. "Binary response model with many weak instruments," Papers 2201.04811, arXiv.org, revised Jun 2024.
• Maibom, Jonas, 2021. "The Welfare Effects of Mandatory Reemployment Programs: Combining a Structural Model and Experimental Data," IZA Discussion Papers 14866, Institute of Labor Economics (IZA).
• Stevens, Nicolas & Papavasiliou, Anthony, 2022. "Application of the Level Method for Computing Locational Convex Hull Prices," LIDAM Discussion Papers CORE 2022002, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Ying Hu & Xiaomin Shi & Zuo Quan Xu, 2022. "Non-homogeneous stochastic LQ control with regime switching and random coefficients," Papers 2201.01433, arXiv.org, revised Jul 2023.
• Atayev, Atabek, 2021. "Uncertain product availability in search markets," ZEW Discussion Papers 21-089, ZEW - Leibniz Centre for European Economic Research.
• Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022. "Reconciled Estimates of Monthly GDP in the US," Working Papers 22-01, Federal Reserve Bank of Cleveland.
• Chabakauri, Georgy & Yueyang Han, Brandon, 2020. "Collateral constraints and asset prices," LSE Research Online Documents on Economics 102699, London School of Economics and Political Science, LSE Library.
• Jourquin, Bart, 2021. "Integrate an accessibility measure in the modal choice of strategic freight transport models," LIDAM Discussion Papers CORE 2021031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Olivier Jeanne, 2021. "Currency Wars, Trade Wars, and Global Demand," NBER Working Papers 29603, National Bureau of Economic Research, Inc.
• Matsuki, Takashi & Pan, Lei, 2021. "How did Australian financial markets react to the COVID-19 vaccine rollout? Fresh evidence from quantile copula spectrum analysis," MPRA Paper 111136, University Library of Munich, Germany.
• Wang, Xingang & Maani, Sholeh A., 2021. "Ethnic Regional Networks and Immigrants' Earnings: A Spatial Autoregressive Network Approach," IZA Discussion Papers 14862, Institute of Labor Economics (IZA).
• Bos, Iwan & Marini, Marco A. & Saulle, Riccardo, 2021. "Myopic Oligopoly Pricing," MPRA Paper 111176, University Library of Munich, Germany.
• Nikolas Kuschnig, 2021. "Bayesian Spatial Econometrics and the Need for Software," Department of Economics Working Papers wuwp318, Vienna University of Economics and Business, Department of Economics.
• Thorsten Hens & Fatemeh Naebi, 2022. "Behavioral Heterogeneity in the CAPM with Evolutionary Dynamics," Swiss Finance Institute Research Paper Series 22-06, Swiss Finance Institute.
• Guzman, Cristobal & Riffo, Javiera & Telha, Claudio & Van Vyve, Mathieu, 2021. "A Sequential Stackelberg Game for Dynamic Inspection Problems," LIDAM Discussion Papers CORE 2021036, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Georgios Gioldasis & Antonio Musolesi & Michel Simioni, 2023. "Interactive R&D spillovers: an estimation strategy based on forecasting-driven model selection," Post-Print hal-03476599, HAL.
• Lorentz, André & Ciarli, Tommaso & Savona, Maria & Valente, Marco, 2022. "Structural transformations and cumulative causation towards an evolutionary micro-foundation of the Kaldorian growth model," MERIT Working Papers 2022-001, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
• FERNANDEZ LLORCA David & GOMEZ Emilia, 2021. "Trustworthy Autonomous Vehicles," JRC Research Reports JRC127051, Joint Research Centre.
• Nicola Comincioli & Paolo Panteghini & Sergio Vergalli, 2021. "A Welfare Analysis on Start-Up Decisions under Default Risk," CESifo Working Paper Series 9478, CESifo.
• Korpela, Ville & Lombardi, Michele & Saulle, Riccardo, 2021. "An Implementation Approach to Rotation Programs," MPRA Paper 111126, University Library of Munich, Germany.
• Garg, Karan, 2021. "Machines and Markets : Assessing the Impact of Algorithmic Trading on Financial Market Efficiency," Warwick-Monash Economics Student Papers 11, Warwick Monash Economics Student Papers.
• Frank, Luis, 2020. "Estimación de elasticidades de demanda de exportaciones por grandes rubros a través de un modelo VARX(p,q) [Estimation of Exports Demand-elasticities of Major Items through a VARX(p,q) Model]," MPRA Paper 111425, University Library of Munich, Germany.
• Oliver Chiriac & Jonathan Hall, 2021. "Henderson--Chu model extended to two heterogeneous groups," Papers 2112.12179, arXiv.org, revised Sep 2022.
• Edoardo Berton & Lorenzo Mercuri, 2021. "An Efficient Unified Approach for Spread Option Pricing in a Copula Market Model," Papers 2112.11968, arXiv.org, revised Feb 2023.
• Damiano Brigo & Federico Graceffa & Alexander Kalinin, 2021. "Mild to classical solutions for XVA equations under stochastic volatility," Papers 2112.11808, arXiv.org.
• Meagher, Kate, 2020. "Illusions of inclusion: assessment of the World Development Report 2019 on the changing nature of work," LSE Research Online Documents on Economics 103000, London School of Economics and Political Science, LSE Library.
• de Cornière, Alexandre & Taylor, Greg, 2021. "A Model of Information Security and Competition," TSE Working Papers 21-1285, Toulouse School of Economics (TSE).
• Zarko Kalamov, 2021. "Evaluating Marginal Internalities: A New Approach," CESifo Working Paper Series 9476, CESifo.
• Carbonero, Francesco & Davies, Jeremy & Ernst, Ekkehard & Fossen, Frank M. & Samaan, Daniel & Sorgner, Alina, 2021. "The Impact of Artificial Intelligence on Labor Markets in Developing Countries: A New Method with an Illustration for Lao PDR and Viet Nam," IZA Discussion Papers 14944, Institute of Labor Economics (IZA).
• Jaehyuk Choi & Lei Lu & Heungju Park & Sungbin Sohn, 2022. "The financial value of the within-government political network: Evidence from Chinese municipal corporate bonds," Papers 2201.01160, arXiv.org.