Report NEP-ORE-2022-03-07

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:

• Ina Hajdini, 2022. "Mis-specified Forecasts and Myopia in an Estimated New Keynesian Model," Working Papers 22-03R, Federal Reserve Bank of Cleveland, revised 06 Mar 2023.
• Schwaab, Bernd & Zhang, Xin & Lucas, André & D’Innocenzo, Enzo, 2020. "Modeling extreme events:time-varying extreme tail shape," Working Paper Series 399, Sveriges Riksbank (Central Bank of Sweden), revised 01 Jun 2023.
• Wolf, Elias, 2022. "Estimating growth at risk with skewed stochastic volatility models," Discussion Papers 2022/2, Free University Berlin, School of Business & Economics.
• Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2022. "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," Research Papers in Economics 2022-02, University of Trier, Department of Economics.
• James Holehouse & Jos'e Moran, 2022. "Exact time-dependent dynamics of discrete binary choice models," Papers 2201.09573, arXiv.org, revised Feb 2022.
• Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2022. "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," Working Paper Series 2022-02, University of Trier, Research Group Quantitative Finance and Risk Analysis.
• Dietzenbacher, Bas & Yanovskaya, Elena, 2022. "The equal split-off set for NTU-games," Research Memorandum 002, Maastricht University, Graduate School of Business and Economics (GSBE).
• Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman van Dijk, 2022. "A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods," Tinbergen Institute Discussion Papers 22-013/III, Tinbergen Institute.
• Selim Amrouni & Aymeric Moulin & Tucker Balch, 2022. "CTMSTOU driven markets: simulated environment for regime-awareness in trading policies," Papers 2202.00941, arXiv.org, revised Feb 2022.
• Minheng Xiao, 2022. "Data-Driven Risk Measurement by SV-GARCH-EVT Model," Papers 2201.09434, arXiv.org, revised Dec 2024.
• Kiss, Tamás & Kladivko, Kamil & Lunander, Anders & Österholm, Pär, 2022. "Varför har arbetstagar- och arbetsgivarorganisationer olika förväntningar om lönetillväxt?," Working Papers 2022:3, Örebro University, School of Business.
• Isuru Ratnayake & V. A. Samaranayake, 2022. "Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model," Papers 2202.03351, arXiv.org, revised Mar 2022.
• Sylvain Béal & Stéphane Gonzalez & Philippe Solal & Peter Sudhölter, 2022. "Axiomatic characterizations of the core without consistency," Working Papers 2022-02, CRESE.
• H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2022. "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Papers 2202.02532, arXiv.org.
• Zi Yang Kang & Shoshana Vasserman, 2022. "Robustness Measures for Welfare Analysis," NBER Working Papers 29656, National Bureau of Economic Research, Inc.
• Caio Almeida & Paul Schneider, 2021. "Constrained Polynomial Likelihood," Working Papers 2021-45, Princeton University. Economics Department..
• Aurbacher, Joachim & Rabenau, Philip, 2021. "Interactive Modelling with Agricultural Stakeholders using Bayesian Networks," 61st Annual Conference, Berlin, Germany, September 22-24, 2021 317058, German Association of Agricultural Economists (GEWISOLA).
• Kenichi Shimizu, 2022. "Asymptotic properties of Bayesian inference in linear regression with a structural break," Papers 2201.07319, arXiv.org.
• Anindya Goswami & Kedar Nath Mukherjee & Irvine Homi Patalwala & Sanjay N. S, 2022. "Regime recovery using implied volatility in Markov modulated market model," Papers 2201.10304, arXiv.org, revised Mar 2022.
• Harold D Chiang & Bruce E Hansen & Yuya Sasaki, 2022. "Standard errors for two-way clustering with serially correlated time effects," Papers 2201.11304, arXiv.org, revised Dec 2023.
• Benjamin Poignard & Manabu Asai, 2022. "High-Dimensional Sparse Multivariate Stochastic Volatility Models," Papers 2201.08584, arXiv.org, revised May 2022.
• Julio Guerrero & Giuseppe Orlando, 2022. "Stochastic Local Volatility models and the Wei-Norman factorization method," Papers 2201.11241, arXiv.org.
• Joel Gilmore & Tahlia Nolan & Paul Simshauser, 2022. "The Levelised Cost of Frequency Control Ancillary Services in Australia’s National Electricity Market," Working Papers EPRG2202, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
• Liang Jiang & Oliver B. Linton & Haihan Tang & Yichong Zhang, 2022. "Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance," Papers 2201.13004, arXiv.org, revised Jun 2023.
• Karel Janda & Ladislav Kristoufek & Binyi Zhang, 2022. "Return and volatility spillovers between Chinese and US clean energy related stocks," CAMA Working Papers 2022-17, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Karim Anaya & Michael Pollitt, 2021. "An evaluation of a local reactive power market: the case of Power Potential," Working Papers EPRG2124, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
• Gold, Heather T. & McDermott, Cara & Hoomans, Ties & Wagner, Todd H., 2022. "Cost data in implementation science: categories and approaches to costing," LSE Research Online Documents on Economics 113704, London School of Economics and Political Science, LSE Library.
• Paul Simshauser, 2021. "Rooftop solar PV and the peak load problem in the NEM’s Queensland region," Working Papers EPRG2125, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
• Zheng, Bang Quan, 2021. "RGLS and RLS in Covariance Structure Analysis," SocArXiv aejgf, Center for Open Science.
• Congressional Budget Office, 2022. "Economic Effects of Five Illustrative Single-Payer Health Care Systems: Working Paper 2022-02," Working Papers 57637, Congressional Budget Office.
• Joshua Bernstein & Alexander W. Richter & Nathaniel A. Throckmorton, 2022. "The Matching Function and Nonlinear Business Cycles," Working Papers 2201, Federal Reserve Bank of Dallas.
• Driver, Charles C, 2022. "Inference With Cross-Lagged Effects - Problems in Time and New Interpretations," OSF Preprints xdf72, Center for Open Science.
• Henrique Guerreiro & Jo~ao Guerra, 2022. "VIX pricing in the rBergomi model under a regime switching change of measure," Papers 2201.10391, arXiv.org.
• Filippo Gusella, 2022. "Detecting and Measuring Financial Cycles in Heterogeneous Agents Models: An Empirical Analysis," Working Papers - Economics wp2022_02.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
• Saglam, Ismail, 2022. "Monopoly Persistence under the Threat of Supply Function Competition," MPRA Paper 111829, University Library of Munich, Germany.
• Joshua C. C. Chan, 2022. "Large Hybrid Time-Varying Parameter VARs," Papers 2201.07303, arXiv.org, revised Jun 2022.
• Stefan Vamosi & Michael Platzer & Thomas Reutterer, 2022. "AI-based Re-identification of Behavioral Clickstream Data," Papers 2201.10351, arXiv.org.
• Panggabean, Angelita Nauli, 2022. "Mengelola Disruption Pada Industri Otomotif," OSF Preprints zkjd9, Center for Open Science.
• Eric C. K. Cheung & Oscar Peralta & Jae-Kyung Woo, 2021. "Multivariate matrix-exponential affine mixtures and their applications in risk theory," Papers 2201.11122, arXiv.org.
• Beatrice Acciaio & Anastasis Kratsios & Gudmund Pammer, 2022. "Designing Universal Causal Deep Learning Models: The Geometric (Hyper)Transformer," Papers 2201.13094, arXiv.org, revised Mar 2023.
• José Renato Haas Ornelas & Marcos Soares da Silva & Bernardus F Nazar Van Doornik, 2022. "Informational switching costs, bank competition, and the cost of finance," BIS Working Papers 990, Bank for International Settlements.
• Pratama, Muhammad Andika Rizki, 2022. "GSLC SESSION 21 - Disruption Management pada Industri Otomotif," OSF Preprints pwsne, Center for Open Science.
• Hasan, Zubair, 2021. "Islamic finance, growth, and stability," MPRA Paper 111885, University Library of Munich, Germany, revised Feb 2022.
• Jean-Pierre Aubry, 2022. "How to Increase Usage of Social Security’s Online Tools," Issues in Brief ib2022-1, Center for Retirement Research.
• Jan Rosenzweig, 2022. "Fat Tails and Optimal Liability Driven Portfolios," Papers 2201.10846, arXiv.org, revised Apr 2023.
• Sternberg, Jeff, 2021. "Revisiting the Urban Question in the Age of the New Urban Crisis: The (Re)Production of the Regime of Flexible Accumulation," SocArXiv gbq78, Center for Open Science.
• Khalid El-Awady, 2021. "Applicability of Large Corporate Credit Models to Small Business Risk Assessment," Papers 2201.08276, arXiv.org.