Econometric Institute Report

from Erasmus University Rotterdam, Econometric Institute
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EI 2001-20: Splitting Orders in Fragmented Markets; evidence from cross-listed stocks

Albert J. Menkveld

EI 2001-16: Testing for common deterministic trend slopes

Timothy Vogelsang and Ph.H.B.F. Franses

EI 2001-15: On the Duality Theory of Convex Objects

J. Brinkhuis and V. Tikhomirov

EI 2001-14: The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production

Ph.H.B.F. Franses and D.J.C. van Dijk

EI 2001-13: Structural breaks and long memory in US inflation rates: do they matter for forecasting?

N. Hyung and Ph.H.B.F. Franses

EI 2001-12: The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series

D.J.C. van Dijk, Birgit Strikholm and Timo Teräsvirta

EI 2001-11: Short-term volatility versus long-term growth: evidence in US macroeconomic time series

Marianne Sensier and D.J.C. van Dijk

EI 2001-10: On the decay of infinite products of trigonometric polynomials

V. Protassov

EI 2001-08: Stochastic approaches for product recovery network design: a case study

O.L. Listes and Rommert Dekker

EI 2001-06: Logarithmic residues of analytic Banach algebra valued functions possessing a simply meromorphic inverse

H. Bart, T. Ehrhardt and B. Silbermann

EI 2001-05: Neural networks as econometric tool

J.F. Kaashoek and H.K. van Dijk

EI 2001-04: Comparison of the Anderson-Rubin test for overidentification and the Johansen test for cointegration

L.F. Hoogerheide and H.K. van Dijk

EI 2001-03: The stability of subdivision operator at its fixed point

V. Protassov

EI 2001-02: Constructing seasonally adjusted data with time-varying confidence intervals

Siem Jan Koopman and Ph.H.B.F. Franses

EI ; ECONOMETRIC INSTITUTE REPORT 2000-16/A Revision_Date: 2009-07-29: The Bayesian Score Statistic

Frank Kleibergen, R.H. Kleijn and Richard Paap

EI 2000/-36/A: On the complexity of the primal self-concordant barrier method

J. Brinkhuis

EI 2000-35/A: Estimting parameters of a microsimulation model for breast cancer screening using the score function method

S.Y.G.L. Tan, G.J. van Oortmarssen and N. Piersma

EI 2000-34/A: Determining the direct mailing frequency with dynamic stochastic programming

N. Piersma and J-J. Jonker

EI 2000-33/A: Consideration sets, intentions and the inclusion of "Don't know" in a two-stage model for voter choice

Richard Paap, J.E.M. van Nierop, H.J. van Heerde, M. Wedel, Ph.H.B.F. Franses and K.J. Alsem

EI 2000-32/A: From e-trash to e-treasure: how value can be created by the new e-business models for reverse logistics

Angelika . Kokkinaki, Rommert Dekker, M.B.M. de Koster and C.P. Pappis

EI 2000-31/A: Neural networks as econometric tool

J.F. Kaashoek and H.K. van Dijk

EI 2000-30/A: A nonlinear long memory model for US unemployment

D.J.C. van Dijk, Ph.H.B.F. Franses and Richard Paap

EI 2000-29/A: Return handling options and order quantities for single period products

D. Vlachos and Rommert Dekker

EI 2000-26A: R&D Networks

S. Goyal and Jose Luis Moraga-Gonzalez

EI 2000-25/A: Daily exchange rate behaviour and hedging of currency risk

Charles S. Bos, Ronald Mahieu and H.K. van Dijk

EI 2000-23/A: Smooth transition autoregressive models - A survey of recent developments

D.J.C. van Dijk, Timo Teräsvirta and Ph.H.B.F. Franses

EI 2000-22/A: Adaptive extensions of the Nelder and Mead Simplex Method for optimization of stochastic simulation models

H.G. Neddermeijer, G.J. van Oortmarssen, N. Piersma, Rommert Dekker and J.D.F. Habbema

EI 2000-21/A: From boom til bust: how loss aversion affects asset prices

A.B. Berkelaar and R.R.P. Kouwenberg

EI 2000-20/A: On the variation of hedging decisions in daily currency risk management

Charles S. Bos, Ronald Mahieu and H.K. van Dijk

EI 2000-19/A: Using a bootstrap method to choose the sample fraction in tail index estimation

Jon Danielsson, L.F.M. de Haan, L. Peng and C.G. de Vries

EI 2000-18/A: A bootstrap-based method to achieve optimality on estimating the extreme-value index

G. Draisma, L.F.M. de Haan, L. Peng and T.T. Pereira

EI 2000-17/A: Scheduling train crews: a case study for the Dutch Railways

R. Freling, R.M. Lentink and M.A. Odijk

EI 2000-16/A: The Bayesian Score Statistic

Frank Kleibergen, R.H. Kleijn and Richard Paap

EI 2000-14/A: A framework for response surface methodology for simulation optimization

H.G. Neddermeijer, G.J. van Oortmarssen, N. Piersma and Rommert Dekker

EI 2000-13/A: A new perspective on inventory systems

E.M. Bazsa and P. den Iseger

EI 2000-12/A: Dynamic asset allocation and downside-risk aversion

A.B. Berkelaar and R.R.P. Kouwenberg

EI 2000-09/A: New multi-country evidence on purchasing power parity: multivariate unit root test results

Jan J. J. Groen

EI 2000-08/A: Optimal portfolio choice under loss aversion

A.B. Berkelaar and R.R.P. Kouwenberg

EI 2000-07/A: Modeling charity donations: target selection, response time and gift size

J-J. Jonker, Richard Paap and Ph.H.B.F. Franses

EI 2000-06/A: Seasonal smooth transition autoregression

Ph.H.B.F. Franses, P. de Bruin and D.J.C. van Dijk

EI 2000-04/A: On forecasting cointegrated seasonal time series

M. Löf, and Ph.H.B.F. Franses

EI 2000-01/A: Asymmetric and common absorption of shocks in nonlinear autoregressive models

D.J.C. van Dijk, Ph.H.B.F. Franses and H. Peter Boswijk

-0834: Introduction to Convex and Quasiconvex Analysis

J.B.G. Frenk and G. Kassay

TI 99-082/4: Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk

Luc Bauwens, Charles S. Bos and H.K. van Dijk