Econometric Institute Research Papers

From Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
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17296: Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence

Abdul Hakim and Michael McAleer

17295: VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds

Abdul Hakim and Michael McAleer

17159: Forecasting Sales

Philip Hans Franses

17112: Rostering at a Dutch Security Firm

Richard Freling, Nanda Piersma, Albert Wagelmans and A. van de Wetering

17106: Generalized canonical correlation analysis with missing values

Michel van de Velden and Y. Takane

17018: Macroeconomic forecasting with real-time data: an empirical comparison

Christiaan Heij, Dick van Dijk and Patrick Groenen

17017: Modeling and prediction of surgical procedure times

Pieter Stepaniak, Christiaan Heij and Guus de Vries

17016: Labour Market Status and Migration Dynamics

Govert Bijwaard

16746: Railway Crew Rescheduling with Retiming

Lucas Veelenturf, Daniel Potthoff, Dennis Huisman and Leo Kroon

16722: The effect of changes in wind strength and wave heights on the safety of vessels in shipping

Sabine Knapp and Jiajun Shen

16709: Real-time inflation forecasting in a changing world

Jan Groen and Richard Paap

16708: Estimating the impact of whaling on global whale watching

Hsiao-I Kuo, Chi-Chung Chen and Michael McAleer

16707: A framework for closed-loop supply chains of reusable articles

Ruth Carrasco-Gallego, Eva Ponce-Cueto and Rommert Dekker

16675: On the Economic Order Quantity Model With Transportation Costs

Ilker Birbil, K. Bulbul, Hans Frenk and Martyn Mulder

16513: How Volatile is ENSO?

LanFen Chu, Michael McAleer and Chi-Chung Chen

16512: What Happened to Risk Management During the 2008-09 Financial Crisis?

Michael McAleer, Juan Jimenez-Martin and Teodosio Pérez-Amaral

16331: ICT as an Enabler for Innovation Adoption

Michel Verkerk, Gert van der Pijl and Eelco van Asperen

16265: Finding optimal policies in the (S - 1, S ) lost sales inventory model with multiple demand classes

Willem van Jaarsveld and Rommert Dekker

16264: How Accurate are Government Forecast of Economic Fundamentals?

Chia-Lin Chang, Philip Hans Franses and Michael McAleer

16216: Testing Changing Harmonic Regressors

Philip Hans Franses

16107: Forecasting volatility and spillovers in crude oil spot, forward and future markets

Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat

16105: Modelling conditional correlations for risk diversification in crude oil markets

Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat

16100: Yet another bidirectional algorithm for shortest paths

Wim Pijls and Henk Post

15779: Cointegration in a historical perspective

Philip Hans Franses and Dick van Dijk

15564: Testing Non-nested Demand Relations: Linear Expenditure System versus Indirect Addilog

Paul de Boer and Richard Paap

15112: A Bayesian approach to two-mode clustering

Bram van Dijk, Joost van Rosmalen and Richard Paap

14861: Testing for seasonal unit roots in monthly panels of time series

Robert Kunst and Philip Hans Franses

14823: Does ratification matter and do major conventions improve safety and decrease pollution in shipping?

Sabine Knapp and Philip Hans Franses

14704: A method to measure flag performance for the shipping industry

Mikhail Perepelkin, Sabine Knapp, German Perepelkin and Michiel De Pooter

14454: Risk-based stock decisions for projects

Willem van Jaarsveld and Rommert Dekker

14423: Column generation with dynamic duty selection for railway crew rescheduling

Daniel Potthoff, Dennis Huisman and Guy Desaulniers

14351: Economic Lot-Sizing Problem with Bounded Inventory and Lost-Sales

Hark-Chin Hwang

14154: Moment-bases estimation of smooth transition regression models with endogenous variables

Waldyr Areosa, Michael McAleer and Marcelo Medeiros

13992: A simple expected volatility (SEV) index

Chatayan Wiphatthanananthakul and Michael McAleer

13986: A decision rule to minimize daily capital charges in forecasting value-at-risk

Michael McAleer, Juan Jimenez-Martin and Teodosio Pérez-Amaral

13980: Does the ROMC have expertise, and can it forecast?

Philip Hans Franses, Michael McAleer and Rianne Legerstee

13910: The ten commandments for optimizing value-at-risk and daily capital charges

Michael McAleer

13904: Asymmetry and leverage in realized volatility

Manabu Asai, Michael McAleer and Marcelo Medeiros

13902: Expert opinion versus expertise in forecasting

Philip Hans Franses, Michael McAleer and Rianne Legerstee

13901: A new bidirectional algorithm for shortest paths

Wim Pijls and Henk Post

13780: Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets

Shawkat Hammoudeh, Yun Yuan and Michael McAleer

13778: Managerial implications and suitability of a master surgical scheduling approach

Jeroen van Oostrum, Eelco Bredenhoff and Erwin Hans

13777: A method for clustering surgical cases to allow master surgical scheduling

Jeroen van Oostrum, Tessa Parlevliet, Albert Wagelmans and Geert Kazemier

13776: Mining frequent itemsets a perspective from operations research

Wim Pijls and Walter A. Kosters

13775: Lack of peaceful resolution with Israel: economic cost for Palestinians

Paul de Boer

13773: Modelling sustainable international tourism demand to the Brazilian Amazon

Jose Angelo Divino and Michael McAleer

13771: An econometric analysis of SARS and Avian flu on international tourist arrivals to Asia

Michael McAleer, Bing-Wen Huang, Hsiao-I Kuo, Chi-Chung Chen and Chia-Lin Chang

13768: Axiomatic characterization of the interval function of a graph

Martyn Mulder and L. Nebesky

13767: The new Dutch timetable: The OR revolution

Leo Kroon, Dennis Huisman, Erwin Abbink, Pieter-Jan Fioole, Matteo Fischetti, Gábor Maróti, Lex Schrijver, Adri Steenbeek and Roelof Ybema

13100: Product bundling in global ocean transportation

Michele Acciaro and Hercules Haralambides