Econometric Institute Research Papers

From Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
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1654: From boom til bust: how loss aversion affects asset prices

Arjan Berkelaar and Roy Kouwenberg

1653: On the variation of hedging decisions in daily currency risk management

Charles Bos, Ronald Mahieu and Herman van Dijk

1652: Using a bootstrap method to choose the sample fraction in tail index estimation

Jon Danielsson, Laurens de Haan, Liang Peng and Casper de Vries

1650: A bootstrap-based method to achieve optimality on estimating the extreme-value index

Gerrit Draisma, Laurens de Haan, Liang Peng and T.T. Pereira

1649: Scheduling train crews: a case study for the Dutch Railways

Richard Freling, Ramon Lentink and M.A. Odijk

1647: A framework for response surface methodology for simulation optimization

H.G. Neddermeijer, Gerrit van Oortmarssen, Nanda Piersma and Rommert Dekker

1646: A new perspective on inventory systems

Emö Bazsa-Oldenkamp and P. den Iseger

1645: Dynamic asset allocation and downside-risk aversion

Arjan Berkelaar and Roy Kouwenberg

1642: New multi-country evidence on purchasing power parity: multivariate unit root test results

Jan Groen

1641: Optimal portfolio choice under loss aversion

Arjan Berkelaar and Roy Kouwenberg

1640: Modeling charity donations: target selection, response time and gift size

Jedid-Jah Jonker, Richard Paap and Philip Hans Franses

1639: Seasonal smooth transition autoregression

Philip Hans Franses, Paul de Bruin and Dick van Dijk

1638: On forecasting cointegrated seasonal time series

Marten Löf and Philip Hans Franses

1637: Asymmetric and common absorption of shocks in nonlinear autoregressive models

Dick van Dijk, Philip Hans Franses and H. Peter Boswijk

1635: Goodness of fit for the constancy of a classical statistical model over time

Alex Koning

1634: Model based control charts in stage 1 quality control

Alex Koning

1633: The political economy of regionalism

Sanjeev Goyal and Klaas Staal

1632: Scheduling preventive railway maintenance activities

Gabriella Budai-Balke, Dennis Huisman and Rommert Dekker

1631: Forecasting in marketing

Philip Hans Franses

1630: A robust semi-definite optimization based solution to the robust order reduction problem for parametric uncertain dissipative linear systems

F.D. Barb

1629: A bilinear programming solution to the quadratic assignment problem

Johan Kaashoek and Jean Paelinck

1628: Impulse-response analysis of the market share attraction model

Dennis Fok and Philip Hans Franses

1627: Testing for changes in volatility in heteroskedastic time series - a further examination

Michiel De Pooter and Dick van Dijk

1625: Bilateralism and free trade

Sanjeev Goyal and S. Joshi

1622: Inventory control of spare parts using a Bayesian approach: a case study

K-P. Aronis, Ioulia Magou, Rommert Dekker and George Tagaras

1621: Combined forecasts from linear and nonlinear time series models

Nobuhiko Terui and Herman van Dijk

1620: A dynamic lot-sizing model with demand time windows

Chung-Yee Lee, S. Cetinkaya and Albert Wagelmans

1619: Inference and Forecasting for Fractional Autoregressive Integrated Moving Average Models, with an application to US and UK inflation

Marius Ooms and Jurgen Doornik

1617: Famas-NewCon: A generator program for stacking in the reference case

Patrick Voogd, Rommert Dekker and P.J.M. Meersmans

1616: A multivariate STAR analysis of the relationship between money and output

Philip Rothman, Dick van Dijk and Philip Hans Franses

1615: A branch and price algorithm for the multi-period single-sourcing problem

Richard Freling, Edwin Romeijn, Dolores Romero Morales and Albert Wagelmans

1610: Fractional Programming

Hans Frenk and S. Schaible

1608: Censored regression analysis in large samples with many zero observations

Philip Hans Franses, Erica Slagter and Jan Cramer

1607: A savings based method for real-life vehicle routing problems

Alexander Poot, Goos Kant and Albert Wagelmans

1606: Monitoring time-varying parameters in an autoregression

Frédéric Carsoule and Philip Hans Franses

1605: Daily exchange rate behaviour and hedging of currency risk

Charles Bos, Ronald Mahieu and Herman van Dijk

1604: Stochastic programming for multiple-leg network revenue management

Sanne de Boer, Richard Freling and Nanda Piersma

1603: Testing for integration using evolving trend and seasonal models: A Bayesian approach

Gary Koop and Herman van Dijk

1602: Ordered logit analysis for selectively sampled data

Dennis Fok, Philip Hans Franses and Jan Cramer

1601: Inventory control and regenerative processes: computations

Emö Bazsa-Oldenkamp, Hans Frenk and P. den Iseger

1600: Inventory control and regenerative processes

Emö Bazsa-Oldenkamp, Hans Frenk and P. den Iseger

1599: A strategic analysis of network reliability

V. Bala and Sanjeev Goyal

1598: Forecasting with periodic autoregressive time series models

Philip Hans Franses and Richard Paap

1597: Outlier detection in the GARCH (1,1) model

Philip Hans Franses and Dick van Dijk

1596: Monitoring structural change in variance

Frédéric Carsoule and Philip Hans Franses

1595: Comparison of response surface methodology and the Nelder and Mead simplex method for optimization in microsimulation models

H.G. Neddermeijer, Nanda Piersma, Gerrit van Oortmarssen, Dik Habbema and Rommert Dekker

1593: Seasonal adjustment and the business cycle in unemployment

Philip Hans Franses and Paul de Bruin

1592: Testing for Stochastic Unit Roots - Some Monte Carlo evidence

Robert Taylor and Dick van Dijk

1590: LQ Control without Riccati Equations: Stochastic Systems

David Yao, Shuzhong Zhang and Xun Yu Zhou

1589: Arbitrage and sampling uncertainty in financial stochastic programming models

Arjan Berkelaar, Henk Hoek and Andre Lucas