Report NEP-ORE-2022-04-18

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:

• Demian Pouzo & Zacharias Psaradakis & Martín Sola, 2021. "Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities," Department of Economics Working Papers 2021_07, Universidad Torcuato Di Tella.
• Bu, R. & Li, D. & Linton, O. & Wang, H., 2022. "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Cambridge Working Papers in Economics 2218, Faculty of Economics, University of Cambridge.
• Javier Hualde & Morten Ørregaard Nielsen, 2022. "Truncated sum-of-squares estimation of fractional time series models with generalized power law trend," CREATES Research Papers 2022-07, Department of Economics and Business Economics, Aarhus University.
• Hafner, Christian & Linton, Oliver & Wang, Linqi, 2022. "Dynamic Autoregressive Liquidity (DArLiQ)," LIDAM Discussion Papers ISBA 2022009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Marion, Rebecca & Lederer, Johannes & Govaerts, Bernadette & von Sachs, Rainer, 2021. "VC-PCR: A Prediction Method based on Supervised Variable Selection and Clustering," LIDAM Discussion Papers ISBA 2021040, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2022. "Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference," Working Paper 1485, Economics Department, Queen's University.
• Pesaran, M. H. & Pick, A. & Timmermann, A., 2022. "Forecasting with panel data: estimation uncertainty versus parameter heterogeneity," Cambridge Working Papers in Economics 2219, Faculty of Economics, University of Cambridge.
• Krebs, Johannes & Rademacher, Daniel & von Sachs, Rainer, 2022. "Statistical inference for intrinsic wavelet estimators of SPD covariance matrices in a log-Euclidean manifold," LIDAM Discussion Papers ISBA 2022004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Gonzalo Ballestero, 2022. "Collusion and Artificial Intelligence: A Computational Experiment with Sequential Pricing Algorithms under Stochastic Costs," Working Papers 118, Red Nacional de Investigadores en Economía (RedNIE).
• Dupret, Jean-Loup & Hainaut, Donatien, 2022. "A subdiffusive stochastic volatility jump model," LIDAM Discussion Papers ISBA 2022001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Mark Aguiar & Satyajit Chatterjee & Harold Cole & Zachary Stangebye, 2021. "Self-Fulfilling Debt Crises, Revisited," Working Papers 2021-92, Princeton University. Economics Department..
• Tomás Caravello & Turalay Kenc & Martín Sola, 2021. "Risk Aversion and Changes in Regime," Department of Economics Working Papers 2021_08, Universidad Torcuato Di Tella.
• Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High Dimensional Vector Autoregressive Models," CEIS Research Paper 534, Tor Vergata University, CEIS, revised 24 Mar 2022.
• Njike Leunga, Charles G. & Hainaut, Donatien, 2022. "Long memory self-exciting jump diffusion for asset prices modeling," LIDAM Discussion Papers ISBA 2022003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Yuan Li & Kenichiro Shiraya & Yuji Umezawa & Akira Yamazaki, 2022. "Moments of Maximum of Lévy Processes: Application to Barrier and Lookback Option Pricing," CARF F-Series CARF-F-536, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Tomás Caravello & Zacharias Psaradakis & Martín Sola, 2021. "Rational Bubbles: Too Many to be True?," Department of Economics Working Papers 2021_06, Universidad Torcuato Di Tella.
• Marko Mlikota & Frank Schorfheide, 2022. "Sequential Monte Carlo With Model Tempering," Papers 2202.07070, arXiv.org.
• Nicolás Ronderos Pulido, 2022. "Modified Instruments: An Iterative Process for Reducing Endogeneity Bias Using Large Samples," Documentos de Economía 20049, Universidad Javeriana - Bogotá.
• Bianchi, Daniele & Babiak, Mykola, 2021. "On the Performance of Cryptocurrency Funds," Working Paper Series 408, Sveriges Riksbank (Central Bank of Sweden).
• Glötzl, Erhard, 2022. "A simple General Constrained Dynamics (GCD) model for demand, supply and price shocks," MPRA Paper 112386, University Library of Munich, Germany.
• Amberg, Niklas & Jansson, Thomas & Klein, Mathias & Rogantini Picco, Anna, 2021. "Five Facts about the Distributional Income Effects of Monetary Policy," Working Paper Series 403, Sveriges Riksbank (Central Bank of Sweden).
• Archil Gulisashvili, 2022. "Multivariate Stochastic Volatility Models and Large Deviation Principles," Papers 2203.09015, arXiv.org, revised Nov 2022.
• De Wolf, Daniel & Diop, Ngagne & Kilani, Moez, 2022. "Environmental impacts of enlarging electric vehicles market share," LIDAM Discussion Papers CORE 2022011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Clavijo, R, 2022. "Price discrimination under nonuniform calling circles and call externalities," Documentos de Trabajo 20054, Universidad del Rosario.
• Fuzhou Gong & Ting Wang, 2022. "The Variable Volatility Elasticity Model from Commodity Markets," Papers 2203.09177, arXiv.org.
• Wosnitza, Jan Henrik, 2022. "Calibration alternatives to logistic regression and their potential for transferring the dispersion of discriminatory power into uncertainties of probabilities of default," Discussion Papers 04/2022, Deutsche Bundesbank.
• Ng, Joe Cho Yiu & Chan, Chao Hung & Tsang, Byron Kwok Ping & Leung, Charles Ka Yui, 2022. "Greenfield Foreign Direct Investment: Social Learning drives Persistence," MPRA Paper 112448, University Library of Munich, Germany.