Econometric Institute Research Papers

From Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
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102819: Is Equality always desirable?

Thomas Breugem, Twan Dollevoet and Dennis Huisman

102704: Spurious Principal Components

Philip Hans Franses and Eva Janssens

102576: Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory

Manabu Asai, Michael McAleer and Shelton Peiris

102548: A New Inequality Measure that is Sensitive to Extreme Values and Asymmetries

Michael McAleer, Hang Ryu and Daniel Slottje

102298: Specification Testing of Production in a Stochastic Frontier Model

Xu Guo, Gao-Rong Li, Michael McAleer and Wing-Keung Wong

101765: Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management

A.C. Tan and Michael McAleer

101764: This time it is different! Or not?

Philip Hans Franses and Eva Janssens

101763: A Tourism Financial Conditions Index for Tourism Finance

Chia-Lin Chang, Hui-Kuang Hsu and Michael McAleer

101762: A Generalized Email Classification System for Workflow Analysis

Piyanuch Chaipornkaew, Takorn Prexawanprasut, Chia-Lin Chang and Michael McAleer

101761: Stationarity and Invertibility of a Dynamic Correlation Matrix

Michael McAleer

100854: US Antidumping Petitions and Revealed Comparative Advantage of Shrimp Exporting Countries

Chia-Lin Chang, Michael McAleer and Dank-Khoa Nguyen

100853: Impact of Psychological Needs on Luxury Consumption

Ning Mao, Michael McAleer and Shuyu Bai

100852: Efficient Move Evaluations for Time-Dependent Vehicle Routing Problems

Thomas Visser and Remy Spliet

100837: Solution methods for the tray optimization problem

Twan Dollevoet, Theresia van Essen and Kristiaan Glorie

100417: Theory and Application of an Economic Performance Measure of Risk

Cuizhen Niu, Xu Guo, Michael McAleer and Wing-Keung Wong

100416: The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH

Chia-Lin Chang and Michael McAleer

100332: Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors

Anastasios Zopiatis, Christos Savva, Neophytos Lambertides and Michael McAleer

100331: Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA

Chia-Lin Chang, Michael McAleer and Guandong Zuo

100165: Robust Pooling for Contracting Models with Asymmetric Information

Rutger Kerkkamp, Wilco van den Heuvel and Albert Wagelmans

100164: Recent Topical Research on Global, Energy, Health & Medical, and Tourism Economics, and Global Software

Chia-Lin Chang and Michael McAleer

100163: Re-Opening the Silk Road to Transform Chinese Trade

Mao Ning and Michael McAleer

100162: You’ve Got Email: a Workflow Management Extraction System

Piyanuch Chaipornkaew, Takorn Prexawanprasut and Michael McAleer

100161: Realized Stochastic Volatility with General Asymmetry and Long Memory

Manabu Asai, Chia-Lin Chang and Michael McAleer

100160: A multi-layered risk estimation routine for strategic planning and operations for the maritime industry

Sabine Knapp and Stephen Vander Hoorn

99788: Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models

Jinghui Chen, Masahito Kobayashi and Michael McAleer

99517: Forecasting the Volatility of Nikkei 225 Futures

Manabu Asai and Michael McAleer

99516: Connecting VIX and Stock Index ETF

Chia-Lin Chang, Tai-Lin Hsieh and Michael McAleer

99515: The benefits of combining early aspecific vaccination with later specific vaccination

Evelot Westerink-Duijzer, Willem van Jaarsveld and Rommert Dekker

99514: The Fiction of Full BEKK

Chia-Lin Chang and Michael McAleer

99513: Literature Review - the vaccine supply chain

Evelot Westerink-Duijzer, Willem van Jaarsveld and Rommert Dekker

99512: Tourism Stocks in Times of Crises: an Econometric Investigation of Non-macro Factors

Anastasios Zopiatis, Christos Savva, Neophytos Lambertides and Michael McAleer

98658: A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies

David Allen, Michael McAleer and Abhay Singh

98657: Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices

Chia-Lin Chang, Michael McAleer and Yu-Ann Wang

98656: Joint and Cross-border Patents as Proxies for International Technology Diffusion

Chia-Lin Chang, Michael McAleer and Ju-Ting Tang

98655: Theravada Buddhism and Thai Luxury Fashion Consumption

Mao Ning and Michael McAleer

98648: Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers

Manabu Asai, Chia-Lin Chang and Michael McAleer

98603: A Simple Test for Causality in Volatility

Chia-Lin Chang and Michael McAleer

98037: Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

David Allen, Michael McAleer, Robert Powell and Abhay Singh

98036: Evaluation of total risk exposure and insurance premiums in the maritime industry

Sabine Knapp and Christiaan Heij

97802: A branch-and-cut algorithm for the Time Window Assignment Vehicle Routing Problem

Kevin Dalmeijer and Remy Spliet

95143: The Vehicle Rescheduling Problem with Retiming

Rolf van Lieshout, Judith Mulder and Dennis Huisman

93650: Simultaneous optimization of speed and buffer times for robust transportation systems

Judith Mulder, Willem van Jaarsveld and Rommert Dekker

93334: Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes

Manabu Asai and Michael McAleer

93333: A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics

Manabu Asai and Michael McAleer

93332: Recovering historical inflation data from postal stamps prices

Philip Hans Franses and Eva Janssens

93331: Yet another look at MIDAS regression

Philip Hans Franses

93118: An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors

Chia-Lin Chang, Michael McAleer and Chien-Hsun Wang

93117: Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China

Chia-Lin Chang, Michael McAleer and Jiarong Tian

93116: Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances

Chia-Lin Chang, Michael McAleer and Yanghuiting Wang

93115: Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture

Chia-Lin Chang, Chia-Ping Liu and Michael McAleer