Econometric Institute Research Papers

From Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
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93114: Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

Shelton Peiris, Manabu Asai and Michael McAleer

93113: Management Science, Economics and Finance: A Connection

Chia-Lin Chang, Michael McAleer and Wing-Keung Wong

93112: A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices

David Allen, Chia-Lin Chang, Michael McAleer and Abhay Singh

80110: Industrial Penetration and Internet Intensity

Chia-Lin Chang, Michael McAleer and Yu-Chieh Wu

80109: Prediction of Gas Concentration Based on the Opposite Degree Algorithm

Xiaoguang Yue, Rui Gao and Michael McAleer

80108: An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series

David Allen, Michael McAleer and Abhay Singh

80106: Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization

Zhidong Bai, Hua Li, Michael McAleer and Wing-Keung Wong

80105: Incorporating Driving Range Variability in Network Design for Refueling Facilities

Harwin de Vries and Evelot Westerink-Duijzer

80104: Two-echelon supply chain coordination under information asymmetry with multiple types

Rutger Kerkkamp, Wilco van den Heuvel and Albert Wagelmans

80103: Waiting times in classical priority queues via elementary lattice path counting

Lars van Vianen, Adriana Gabor and Jan-Kees van Ommeren

79973: Real-time Container Transport Planning with Decision Trees based on Offline Obtained Optimal Solutions

Bart van Riessen, Rudy Negenborn and Rommert Dekker

79925: Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models

Jinghui Chen, Masahito Kobayashi and Michael McAleer

79923: Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn

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

79922: Enabling customer satisfaction and stock reduction through service differentiation with response time guarantees

Adriana Gabor, Lars van Vianen, Guangyuan Yang and Sven Axsäter

79921: The value of express delivery services for cross-border e-commerce in European Union markets

Thai Young Kim, Rommert Dekker and Christiaan Heij

79920: Spare part demand forecasting for consumer goods using installed base information

Thai Young Kim, Rommert Dekker and Christiaan Heij

79917: A heuristic for real-time crew rescheduling during small disruptions

Thijs Verhaegh, Dennis Huisman, Pieter-Jan Fioole and Juan Vera

79915: Design of a robust railway line system for severe winter conditions in The Netherlands

Maarten Trap, Dennis Huisman and Rob Goverde

79913: How are VIX and Stock Index ETF Related?

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

79912: The most efficient critical vaccination coverage and its equivalence with maximizing the herd effect

Evelot Westerink-Duijzer, Willem van Jaarsveld, Jacco Wallinga and Rommert Dekker

79911: Optimization in container liner shipping

Judith Mulder and Rommert Dekker

79909: Will liner ships make fewer port calls per route?

Judith Mulder and Rommert Dekker

79908: Analysis of FPTASes for the Multi-Objective Shortest Path Problem

Thomas Breugem, Twan Dollevoet and Wilco van den Heuvel

79731: Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?

Massimiliano Caporin, Chia-Lin Chang and Michael McAleer

79730: A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction during Financial Crises

Xu Guo, Michael McAleer, Wing-Keung Wong and Lixing Zhu

79542: A simple approach to discrete-time infinite horizon problems

Jan Brinkhuis

79541: On the uniform limit condition for discrete-time infinite horizon problems

Jan Brinkhuis

79540: A new proof of the Lagrange multiplier rule

Jan Brinkhuis and Vladimir Protassov

79539: Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance

Chia-Lin Chang, Juan Jimenez-Martin, Esfandiar Maasoumi and Michael McAleer

79290: Designing multi-period supply contracts in a two-echelon supply chain with asymmetric information

Zahra Mobini, Wilco van den Heuvel and Albert Wagelmans

79222: Benchmarking judgmentally adjusted forecasts

Philip Hans Franses and Bert de Bruijn

79221: The Fundamental Equation in Tourism Finance

Michael McAleer

79219: Informatics, Data Mining, Econometrics and Financial Economics: A Connection

Chia-Lin Chang, Michael McAleer and Wing-Keung Wong

79217: Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies

David Allen, Michael McAleer, Shelton Peiris and Abhay Singh

79216: Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC

David Allen, Michael McAleer, Robert Powell and Abhay Singh

79214: From Disorder to Order

Xiaoguang Yue, Yong Cao and Michael McAleer

79213: Market Integration Dynamics and Asymptotic Price Convergence in Distribution

Alfredo Garcia-Hiernaux, David Guerrero and Michael McAleer

79212: Dose-optimal vaccine allocation over multiple populations

Evelot Westerink-Duijzer, Willem van Jaarsveld, Jacco Wallinga and Rommert Dekker

78774: Consensus forecasters: How good are they individually and why?

Philip Hans Franses and Nancy Maassen

78719: An Iterative Framework for Real-time Railway Rescheduling

Twan Dollevoet, Dennis Huisman, Leo Kroon, Lucas Veelenturf and Joris Wagenaar

78718: Behavioural, Financial, and Health & Medical Economics: A Connection

Chia-Lin Chang, Michael McAleer and Wing-Keung Wong

78716: Research Ideas for the Journal of Informatics and Data Mining: Opinion

Michael McAleer

78715: Research Ideas for the Journal of Health & Medical Economics: Opinion

Chia-Lin Chang and Michael McAleer

78714: Industrial Agglomeration and Use of the Internet

Chia-Lin Chang, Michael McAleer and Yu-Chieh Wu

78713: Daily Market News Sentiment and Stock Prices

David Allen, Michael McAleer and Abhay Singh

78711: Multivariate Volatility Impulse Response Analysis of GFC News Events

David Allen, Michael McAleer, Robert Powell and Abhay Singh

78710: Stochastic levels and duration dependence in US unemployment

Bert de Bruijn and Philip Hans Franses

78708: A Column Generation Approach for Locating Roadside Clinics in Africa based upon Effectiveness and Equity

José Núñez Ares, Harwin de Vries and Dennis Huisman

78349: Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice

Chia-Lin Chang, Yong Li and Michael McAleer

78348: Axiomatic Characterization of the Median and Antimedian Function on a Complete Graph minus a Matching

Manoj Changat, Divya Lekha, Shilpa Mohandas, Martyn Mulder and Ajitha Subhamathi