Publications

This is an overview of the reports and reprints of the department of Econometrics. This overview will help you to find journals, books, reference works and data sources that are critical for research and education.

  • The reports are organised by year of publication:

    • Report ID

      Title

      Data

      EI2019-01

      Gert-Jaap Polinder, Thomas Breugem, Twan Dollevoet & Gábor Maróti. An Adjustable Robust Optimization Approach for Periodic Timetabling. P. 25

       

      Electronic Data

      EI2019-02

      Sha Zhu, Willem van Jaarsveld & Rommert Dekker. Spare parts inventory control based on maintenance planning. P. 24

      Electronic Data

      EI2019-03

      Mathijs van Zon, Remy Spliet & Wilco van de Heuvel. The joint network vehicle routing game. P. 22

      Electronic Data

      EI2019-04

      Thomas R. Visser & Martin W.P. Savelsbergh. Strategic time slot management: A priori routing for online crocery retailing. P. 40

      Electronic Data

      EI2019-05

      L.P.J. Schlicher (Loe), M. Musegaas (Marieke) & L.E. Westerink-Duijzer (Evelot). Resource location games. P. 23

      Electronic Data

      EI2019-06L.E. Westerink-Duijzer (Evelot), L.P.J. Schlichter (Loe) & M. Musegaas (Marieke). Fair allocations for cooperation problems in vaccination. P. 50Electronic Data
      EI2019-07Chia-Lin Chang, Jukka Ilomäki, Hannu Laurila & Michael McAleer. Central Bank Intervention, Bubbles and Risk in Walrasian Financial Markets. P. 18Electronic Data
      EI2019-08Ha Minh Nguyen, Duc Hong Vo & Michael McAleer. Energy Consumption and Economic Growth: Evidence from Vietnam. P. 27Electronic Data
      EI2019-09Tan Ngoc Vu, Duc Hong Vo & Michael McAleer. Rent Seeking for Export Licenses: Application to the Vietnam Rice Market. P. 34Electronic Data
      EI2019-10Duc Hong Vo, Tan Ngoc Vu, Anh The Vo & Michael McAleer. Modelling the Relationship between Crude Oil and Agricultural Commodity Prices. P. 53Electronic Data
      EI2019-11Duc Hong Vo, Ha Minh Nguyen, Anh The Vo & Michael McAleer. CO2 Emissions, Energy Consumption and Economic Growth: Evidence from the Trans-Pacific Partnership. P.33Electronic Data
      EI2019-12Michael McAleer, Tamotsu Nakamura & Clinton Watkins. Size, Internationalization and University Rankings: Evaluating and Predicting Times Higher Education (THE) Data for Japan. P. 25Electronic Data
      EI2019-13Michael McAleer. What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model. P. 16Electronic Data
      EI2019-14Michael McAleer. What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model. P.12Electronic Data
      EI2019-15Duc Hong Vo, Binh Vo-Ninh Pham, Trung Vu-Thanh Pham & Michael McAleer. Corporate Financial Distress of Industry Level Listings in an Emerging Market. P. 33Electronic Data
      EI2019-16Manabu Asai, Rangan Gupta & Michael McAleer. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. P.24Electronic Data
      EI2019-17David E. Allen & Michael McAleer. Fake News and Propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany. P. 21Electronic Data
      EI2019-18Duc Hong Vo, Ngoc Phu Tran, Tam Nguyen-Thanh Duong & Michael McAleer. Risk Analysis of Energy in Vietnam. P. 21Electronic Data
      EI2019-19Marcel Turkensteen & Wilco van den Heuvel. The trade-off between costs and carbon emissions from lot-sizing decisionsElectronic Data
      EI2019-20David E. Allen & Michael McAleer. Drawbacks in the 3-Factor of Fama and French. P. 36Electronic Data
    • Report ID

      Title

      Data

      EI2018-01

      R.B.O. Kerkkamp, W. van den Heuvel & A.P.M. Wagelmans. Balancing expected and worst-case utility in contracting models with asymmetric information and pooling. P. 29

      Electronic Data

      EI2018-02

      Thai Young Kim. Improving warehouse responsiveness by job priority management: a European distribution centre field study. P. 28

      Electronic Data

      EI2018-03

      Chia-Lin Chang, Shu-Han Hsu & Michael McAleer. An event study of Chinese tourists to Taiwan. P. 30

      Electronic Data

      EI2018-04

      Chia-Lin Chang, Michael McAleer & Yu-Chieh Wu. A statistical analysis of industrial penetration and internet intensity in Taiwan. P. 48

      Electronic Data

      EI2018-05

      Chia-Lin Chang, Te-Ke Mai & Michael McAleer.  Pricing carbon emissions in China. P. 55

      Electronic Data

      EI2018-06

      Chia-Lin Chang, Michael McAleer & Wing-Keung Wong. Management information, decision sciences, and financial economics: a connection. P. 29

      Electronic Data

      EI2018-07

      Manabu Asai & Michael McAleer. Bayesian analysis of realized matrix-exponential GARCH models. P. 27

      Electronic Data

      EI2018-08

      Chia-Lin Chang, Michael McAleer & Wing Keung Wong. Big data, computational science, economics, finance, marketing, management, and psychology: connections. P. 55

      Electronic Data

      EI2018-09

      Christiaan Heij & Sabine Knapp. Predictive Power of Inspection Outcomes for Future Shipping Accidents – An Empirical Appraisal with Special Attention for Human Factor Aspects. P. 27

      Electronic Data

      EI2018-10

      David E. Allen, Michael McAleer & David McHardy Reid. Fake news and indifference to truth: Dissecting tweets and state of the union addresses by presidents Obama and Trump. P. 22

      Electronic Data

      EI2018-11

      Michael McAleer, Judit Oláh & József Popp. Pros and Cons of the Impact Factor in a Rapidly Changing Digital World. P. 34

      Electronic Data

      EI2018-12

      Chia-Lin Chang & Michael McAleer. The Fiction of Full BEKK:

      Pricing Fossil Fuels and Carbon Emissions. P 24

      Electronic Data

      EI2018-13

      Chia-Lin Chang, Michael McAleer &Wing-Keung Wong.  Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections. P. 58

      Electronic Data

      EI2018-14

      Philip Hans Franses. Model-based forecast adjustment; With an illustration to inflation. P. 18

      Electronic Data

      EI2018-15

      Chia-Lin Chang, Te-Ke Mai & Michael McAleer. Establishing National Carbon Emission Prices for China. P. 57

      Electronic Data

      EI2018-16

      Chia-Lin Chang, Shu-Han Hsu & Michael McAleer. Risk Spillovers in Returns for Chinese and International Tourists to Taiwan. P. 41

      Electronic Data

      EI2018-17

      R.B.O. Kerkkamp, W. van den Heuvel & A.P.M. Wagelmans. Two-Echelon Lot-Sizing With Asymmetric Information. P. 32

      Electronic Data

      EI2018-18

      Chia-Lin Chang, Shu-Han Hsu & Michael McAleer. Asymmetric Risk Impacts of Chinese Tourists to Taiwan. P. 41

      Electronic Data

      EI2018-19

      Jukka Ilomäki, Hannu Laurila & Michael McAleer. Simple Market Timing with Moving Averages. P. 37

      Electronic Data

      EI2018-20

      Rolf N. van Lieshout, Paul Bouman & Dennis Huisman. Determining and evaluating alternative line plans in (near) out-of-control situations. P. 43

      Electronic Data

      EI2018-21

      Philip Hans Franses & Wilco van den Heuvel. Aggregate statistics on trafficker-destination relations in the Atlantic slave trade. P. 16

      Electronic Data

      EI2018-22

      Wing-Keung Wong, Hooi Hooi Lean, Michael McAleer & Feng-Tse Tsai. Why did Warrant Markets Close in China

      but not Taiwan?. P. 32

      Electronic Data

      EI2018-23

      Chia-Lin, Michael McAleer & Yu-Ann Wang. Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs. P. 53

      Electronic Data

      EI2018-24

      David E. Allen & Michael McAleer. Fake news and indifference to scientific fact: President Trump’s confused tweeds on global warming, climate change and weather. P. 7

      Electronic Data

      EI2018-25

      Mark M. Dekker, Rolf N. van Lieshout, Robin C. Ball, Paul C. Bouman, Stephan C. Dekker, Henk A. Dijkstra, Rob M.P. Goverde, Dennis Huisman, Deb Panja, Alfons A.M.Schaafsma & Marjan van den Akker. A next step in disruption management: combining operations research and complexity science.  P. 19

      Electronic Data

      EI2018-26

      David E. Allen, Michael McAleer & Abhay K. Singh. A multi-criteria financial and energy portfolio analysis of hedge fund strategies. P. 24

      Electronic Data

      EI2018-27

      WeiMing Mou, Wing-Keung Wong & Michael McAleer. Financial Credit Risk and Core Enterprise Supply Chains. P. 28

      Electronic Data

      EI2018-28

      Jukka Ilomäki, Hannu Laurila & Michael McAleer. Market Timing with Moving Averages. P. 37

      Electronic Data

      EI2018-29

      Rowan Hoogervorst, Twan Dollevoet, Gabor Maroti & Dennis Huisman. Reducing passenger delays by rolling stock rescheduling. P.33

      Electronic Data

      EI2018-30

      Philip Hans Franses & Thomas Wiemann. Intertemporal  Similarity of Economic Time Series: An Application of Dynamic Time Warping. P. 28

      Electronic Data

      EI2018-31

      Gilian van den Hengel & Philip Hans Franses. Forecasting social conflicts in Africa using an Epidemic Type Aftershock Sequence model. P. 53

      Electronic Data

      EI2018-32

      Manabu Asai, Shelton Peiris, Michael McAleer & David E. Allen. Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates. P. 31

      Electronic Data

      EI2018-33

      David E. Allen & Michael McAleer. Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”:Comment. P. 8

      Electronic Data

      EI2018-34

      Marcin Jaskowski &Michael McAleer. Spurious Cross-Sectional Dependence in Credit Spread Changes. P. 30

      Electronic Data

      EI2018-35

      Thomas van Breugem, Twan Dollevoet & Dennis Huisman. Analyzing a Family of Formulations for Cyclic Crew Rostering. P.27

      Electronic Data

      EI2018-36

      Christiaan Heij & Sabine Knapp

       

      EI2018-37

      Chia-Lin Chang, Tai-Lin Hsieh, Michael McAleer. Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. P. 63

      Electronic Data

      EI2018-38

      Manabu Asai, Chia-Lin Chang, Michael McAleer & Laurent Pauwels. Asymptotic Theory for Rotated Multivariate GARCH Models. P. 29

      Electronic Data

      EI2018-39

      Chia-Lin Chang, Jukka Ilomäki, Hannu Laurila & Michael McAleer. Long Run Returns Predictability and Volatility with Moving Averages. P.33

      Electronic Data

      EI2018-40

      Chia-Lin Chang, Michael McAleer & Wing-Keung Wong.  Editorial Statement of Intent for Advances in Decision Sciences (ADS): 22nd Anniversary Special Issue in 2018. P. 10

      Electronic Data

      EI2018-41

      Chia-Lin Chang, Michael McAleer & Wing-Keung Wong.  Research Ideas for Advances in Decision Sciences (ADS): 22nd Anniversary Special Issue in 2018. P. 20

      Electronic Data

      EI2018-42

      WeiMing Mou, Wing-Keung Wong & Michael McAleer. Financial Credit Risk Evaluation Based on Core Enterprise Supply Chains. P. 32

      Electronic Data

      EI2018-43

      Michael McAleer, Tamotsu Nakamura & Clinton Watkins. Size, Internationalization and University Rankings: Evaluating Times Higher Education (THE) Data for Japan. P. 22

      Electronic Data

      EI2018-44

      Chia-Lin Chang, Jukka Ilomäki, Hannu Laurila & Michael McAleer. Market Timing with Moving Averages for Fossil Fuel and Renewable Energy Stocks. P.33

      Electronic Data

      EI2018-45

      Ying Wang, Zheming Zhang, Dennis Huisman, Andrea D’Ariano & Jinchuan Zhang. A Lagrangian Relaxation Approach Based on a Time-Space-State Network for Railway Crew Scheduling. P. 24

      Electronic Data

      EI2018-46

      Anh The Vo, Loan Thi-Hong Van, Duc Hong Vo & Michael McAleer, Financial Inclusion and Macroeconomic Stability in Emerging and Frontier Markets. P. 43

      Electronic Data

      EI2018-47

      Philip Hans Franses & Max Welz. Evaluating heterogeneous forecasts for vintages of macroeconomic variables. P. 22

      Electronic Data

       

    • Report ID

      Title

      Data

      EI2017-01

      Evelot Duijzer, Willem van Jaarsveld, & Rommert Dekker. Literature Review - the vaccine supply chain. p.30

      Electronic Data

      EI2017-02

      Sabine Knapp & Stephen Vander Hoorn. A multi-layered risk estimation routine for strategic planning and operations for the maritime industry. p.19

      Electronic Data

      EI2017-03

      Evelot Duijzer, Willem van Jaarsveld & Rommert Dekker. The benefi
      ts of combining early aspeci
      c vaccination with later speci
      c vaccination. p.41

      Electronic Data

      EI2017-04

      Meltem Kiygi-Calli, Marcel Weverbergh & Philip Hans Franses. Call Center Performance with Direct Response Advertising. p.39

      Electronic Data

      EI2017-05

      Chia-Lin Chang & Michael McAleer. The Fiction of Full BEKK. p.10

      Electronic Data

      EI2017-06

      Manabu Asai & Michael McAleer. Forecasting the Volatility of Nikkei 225 Futures. p.26

      Electronic Data

      EI2017-07

      Chia-Lin Chang, Tai-Lin Hsieh & Michael McAleer. Connecting VIX and Stock Index ETF. p.41

      Electronic Data

      EI2017-08

      Jinghui Chen, Masahito Kobayashi & Michael McAleer. Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models. p.30

      Electronic Data

      EI2017-09

      Manabu Asai, Chia-Lin Chang & Michael McAleer. Realized Stochastic Volatility with General Asymmetry and Long Memory. p.36

      Electronic Data

      EI2017-10

      Rutger Kerkkamp, Wilco van den Heuvel & Albert Wagelmans. Robust Pooling for Contracting Models with Asymmetric Information. p.61

      Electronic Data

      EI2017-11

      Piyanuch Chaipornkaew, Takorn Prexawanprasut & Michael McAleer. You’ve Got Email: A Workflow Management Extraction System. p.20

      Electronic Data

      EI2017-12

      Ning Mao & Michael McAleer. Re-Opening the Silk Road to Transform Chinese Trade. p.18

      Electronic Data

      EI2017-13

      Chia-Lin Chang & Michael McAleer. Recent Topical Research on Global, Energy, Health & Medical, and Tourism Economics, and Global Software. p.14

      Electronic Data

      EI2017-14

      Chia-Lin Chang, Michael McAleer & Guangdong Zuo. Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. p.49

      Electronic Data

      EI2017-15

      Anastasios Zopiatis, Christos S. Savva, Neophytos Lambertides & Michael McAleer. Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors. p.49

      Electronic Data

      EI2017-16

      Twan Dollevoet, J. Theresia van Essen & Kristiaan M. Glorie. Solution methods for the tray optimization problem. p.34

      Electronic Data

      EI2017-17

      Chia-Lin Chang & Michael McAleer. The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH. p.9

      Electronic Data

      EI2017-18

      Cuizhen Niu, Xu Guo, Michael McAleer & Wing-Keung Wong. Theory and Application of an Economic Performance Measure of Risk. p.43

      Electronic Data

      EI2017-19

      Ning Mao, Michael McAleer & Shuyu Bai. Impact of Psychological Needs on Luxury Consumption. p.10

      Electronic Data

      EI2017-20

      Michael McAleer. Stationarity and Invertibility of a

      Dynamic Correlation Matrix. p. 19

      Electronic Data

      EI2017-21

      Piyanuch Chaipornkaew, Takorn Prexawanprasut, Chia-Lin Chang & Michael McAleer. A Generalized Email Classification System for Workflow Analysis. p.20

      Electronic Data

      EI2017-22

      David E. Allen & Michael J. McAleer. Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management. P.28

      Electronic Data

      EI2017-23

      Thomas R. Visser & Remy Spliet. Efficient Move Evaluations for Time-Dependent Vehicle Routing Problems. P.25

      Electronic Data

      EI2017-24

      Chia-Lin Chang, Hui-Kuang Hsu & Michael McAleer. A Tourism Financial Conditions Index for Tourism Finance. p.34

      Electronic Data

      EI2017-25

      Philip Hans Franses & Eva Janssens. This time it is different! Or not? Discounting past data when predicting the future. p.39

      Electronic Data

      EI2017-26

      Philip Hans Franses & Eva Janssens.  Inflation in Africa, 1960-2015. p.67

      Electronic Data

      EI2017-27

      Xu Guo, Gao-Rong Li, Michael McAleer, Wing-Keung Wong. Specification Testing of Production in a Stochastic Frontier Model. P.22

      Electronic Data

      EI2017-28

      Michael McAleer, Hang K. Ryu & Daniel J. Slottje. A New Inequality Measure that is Sensitive to Extreme Values and Asymmetries. P. 34

      Electronic Data

      EI2017-29

      Manabu Asai, Michael McAleer & Shelton Peiris. Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. P. 25

      Electronic Data

      EI2017-30

      Thomas Breugem, Twan Dollevoet & Dennis Huisman. Is Equality always desirable? Analyzing the Trade-Off between Fairness and Attractiveness in Crew Rostering. p. 29

      Electronic Data

      EI2017-31

      Philip Hans Franses & Eva Janssens. Spurious Principal Components. P.9

      Electronic Data

      EI2017-32

      Chongshuang Chen, Twan Dollevoet & Jun Zhao. One-block train formation in large-scale railway networks:  An exact model and a tree-based decomposition algorithm. P.39

       

      Electronic Data

      EI2017-33

      Not yet available

      Electronic Data

    •  Report ID

      Title

      Data

      EI2016-01

      Xu Guo, Micheal McAleer, Wing-Keung Wong & Lixing Zhu. A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction during Financial Crisis. p.26

      Electronic Data

      EI2016-02

      Massimiliano Caporin, Chia-Lin Chang & Michael McAleer. Are S&P 500 Index and Ethanol Futures Related for Intra-Day Data? p.44

      Electronic Data

      EI2016-03

      Thomas Breugem, Twan Dollevoet, Wilco van den Heuvel.Analysis of FPTASes for Multi-Objective Shortest Path Problem. p.25

      Electronic Data

      EI2016-04

      Judith Mulder & Rommert Dekker. Will liner ships make fewer port calls per route? P.28

      Electronic Data

      EI2016-05

      Judith Mulder & Rommert Dekker. Optimization in container liner shipping. p.24

      Electronic Data

      EI2016-06

      Evelot Duijzer, Willem van Jaarsveld, Jacco Wallinga & Rommert Dekker. The most efficient critical vaccination coverage and its equivalence with maximizing the herd effect. p.36

      Electronic Data

      EI2016-07

      Chia-Lin Chang, Tai-Lin Hsieh &Michael McAleer. How are VIX and Stock Index ETF Related? p.46

      Electronic Data

      EI2016-08

      Maarten L. Trap, Dennis Huisman & Rob M.P. Goverde. Design of a robust railway line system for severe winter conditions in The Netherlands. p.21

      Electronic Data

      EI2016-09

      Thijs Verhaegh, Dennis Huisman, Pieter-Jan Fioole & Juan C. Vera. A heuristic for real-time crew rescheduling during small disruptions. p.16

      Electronic Data

      EI2016-10

      Thai Young Kim, Rommert Dekker & Christiaan Heij. The impact of forecasting errors on warehouse labor efficiency: A case study in consumer electronics. p.29

      Electronic Data

      EI2016-11

      Thai Young Kim, Rommert Dekker & Christiaan Heij. Spare part demand forecasting for consumer goods using installed base information. p.30

      Electronic Data

      EI2016-12

      Thai Young Kim, Rommert Dekker & Christiaan Heij. The value of express delivery services for cross-border-e-commerce in European Union markets. p.35

      Electronic Data

      EI2016-13

      Adriana F. Gabor, Lars van Vianen, Guangyuan & Sven Axsäter. Enabling customer satisfaction and stock reduction through service differentiation with response time guarantees. p.27

      Electronic Data

      EI2016-14

      Bart van Riessen, Rudy R. Negenborn & Rommert Dekker, Real-time Container Transport Planning with Decision Trees based on Offline Obtained Optimal Solutions. p.30

      Electronic Data

      EI2016-15

      Chai-Lin Chang, McAleer & Yu-Ann Wang. Modelling Volatility Spillovers for Bio-ehtanol, Sugarcane and Corn. p.46

      Electronic Data

      EI2016-16

      Jinghui Chen, Masahito Kobayashi & Michael McAleer. Testingfor a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models. p.35

      Electronic Data

      EI2016-17

      Lars van Vianen, Adriana Gabor & Jan-Kees van Ommeren. Waiting times in classical priority queues via elementary lattice path counting. p.10

      Electronic Data

      EI2016-18

      R.B.O. Kerkkamp, W. van den Heuvel & A.P.M. Wagelmans. Two-echelon supply chain coordination under information asymmetry with multiple types. p.43

      Electronic Data

      EI2016-19

      Harwin de Vries & Evelot Duijzer. Incorporation Driving Range Variability in Network Design for Refueling Facilities. p.28

      Electronic Data

      EI2016-20

      Zhidong Bai, Hua Li, Micheal McAleer & WIng Keung Wong. Spectrally-Corrected Estimation for High-Dimentional Markowitz Mean-Variance Optimization. p.47

      Electronic Data

      EI2016-21

      David E. Allen, Micheal McAleer & Abhay K. Singh. An entropy based analysis of the relationschip between the DOW JONES Index and the TRNA Sentiment series. p.22

      Electronic Data

      EI2016-22

      Xiao-Guang Yue, Rui Gao & Micheal McAleer. Prediction of Gas Concentration Based on the Opposite Degree Algorithm. p.21

      Electronic Data

      EI2016-23

      Chai-Lin Chang, Micheal McAleer & Yu-Chieh Wu. Industrial Penetration and Internet Intensity. p.48

      Electronic Data

      EI2016-24

      David E. Allen, Chialin Chang, Micheal McAleer & Abhay K. Singh. A Cointegration Analysis of Agricultural Energy and Bio-Fuel Spot and Futures Prices. p.24

      Electronic Data

      EI2016-25

      Sabine Knapp & Christiaan Heij. Evaluation of total risk exposure and insurance premiums in the maritime industry. p.20

      Electronic Data

      EI2016-26

      Chia-Lin Chang, Micheal McAleer & Wing-Keung Wong. Management Science, Economics and Finance: A Connection. p.17

      Electronic Data

      EI2016-27

      Shelton Peiris, Manabu Asai & Micheal McAleer. Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models. p.22

      Electronic Data

      EI2016-28

      Chia-Lin Chang, Chia-Ping Liu & Micheal McAleer. Volatility Spillovers for Spot, Futures and ETF Prices in Energy and Agriculture. p.53

      Electronic Data

      EI2016-29

      Chia-Lin Chang, Micheal McAleer & Yanghuiting Wang. Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF spot using Dynamic Conditional Covariances. p.54

      Electronic Data

      EI2016-30

      Chai-Lin Chang, Micheal McAleer & Jiarong Tian. Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. p.45

      Electronic Data

      EI2016-31

      Chai-Lin Chang, Micheal McAleer & Chien-Hsun Wang. An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. p.56

      Electronic Data

      EI2016-32

      Philip Hans Franses. Yet another look at MIDAS regression. p.19

      Electronic Data

      EI2016-33

      Philip Hans Franses. Recovering historical inflation data from postal stamps prices

      Electronic Data

      EI2016-34

      Manabu Asai & Michael McAleer. A Multivariate symmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics. p.13

      Electronic Data

      EI2016-35

      Manabu Asai & Michael McAleer. Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes. p.22

      Electronic Data

      EI2016-36

      Judith Mulder, Willem van Jaarsveld & Rommert Dekker. Simultaneous optimization of speed and buffer times for robust transportation systems. p.49

      Electronic Data

      EI2016-37

      Rolf van Lieshout, Judith Mulder & Dennis Huisman. The Vehicle Rescheduling Problem with Retiming. p.20

      Electronic Data

      EI2016-38

      David E. Allen, Michael McAleer, Robert Powell, and Abhay K. Singh. Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events. p.37

      Electronic Data

      EI2016-39

      Kevin Dalmeijer & Remy Spliet. A branch-and-cut algorithm for the Time Window Assignment Vehicle Routing Problem. p.31

      Electronic Data

      EI2016-40

      Chia-Lin Chang & Michael McAleer. A Simple Test for Causality in Volatility. p.9

      Electronic Data

      EI2016-41

      Manabu Asai, Chia-Lin Chang & Michael McAleer. Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. p.38

      Electronic Data

      EI2016-42

      Anastasios Zopiatis, Christos S. Savva, Neophytos Lambertides & Michael McAleer. Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors. p.39

      Electronic Data

      EI2016-43

      Mao Ning & Michael McAleer. Theravada Buddhism and Thai Luxury Fashion Consumption. p.20

      Electronic Data

      EI2016-44

      Chia-Lin Chang & Michael McAleer. Joint and Cross-border Patents as Proxies for International Technology Diffusion. p.53

      Electronic Data

      EI2016-45

      Chia-Ling Chang, Michael McAleer & Yu-Ann Wang. Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices. p.64

      Electronic Data

      EI2016-46

      David E. Allen, Michael McAleer & Abhay K. Singh. A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies. p.24

      Electronic Data

      EI2016-47

      Chia-Lin Chang, Michael McAleer & Dang-Khoa Nguyen. US Antidumping Petitions and Revealed Comparative

      Advantage of Shrimp Exporting Countries. p.32

      Electronic Data

    • Report ID

      Title

      Data

      EI2015-01

      Rutger van Oest & Philip Hans Franses. A new test for random slope in the hierarchical linear model. pp. 18

      electronic data

      EI2015-02

      Chia-Lin Chang & Michael McAleer. Econometric Analysis of financial derivatives: An overview. pp. 27

      An Overview

      electronic data

      EI2015-03

      Tina Dulam & Philip Hans Franses. Return migration of high skilled workers: The case of Suriname. pp. 28

      electronic data

      EI2015-04

      Denice Bodeutsch & Philip Hans Franses. Risk attitudes in company boardrooms in a developing country: An empirical study for Suriname. pp.25

      electronic data

      EI2015-05

      Chia-Lin Chang & Michael McAleer. Quality weighted citations versus total citations in the sciences and social sciences, with an application to finance and accounting. pp. 64

      electronic data

      EI2015-06

      Manabu Asai & Michael McAleer. The impact of jumps and leverage in forecasting co-volatility. pp. 22

      electronic data

      EI2015-07

      Shiqing Ling, Michael McAleer & Howell Tong. Frontiers in time series and financial eonometrics: An overview. pp. 22

      electronic data

      EI2015-08

      Chia-Lin Chang & Michael McAleer. Bibliometric rankings of journals based on the thomson reuters citations database. pp. 13

      electronic data

      EI2015-09

      Denice Bodeutsch & Philip Hans Franses.  Risk attitudes in the board room and company performance: Evidence for an emerging economy. pp. 18

      electronic data

      EI2015-10

      Tina Dulam & Philip Hans Franses. How to gain brain for Suriname. pp. 41

      electronic data

      EI2015-11

      Not yet available

       

      EI2015-12

      Guillaume Gaetan Martinet & Michael McAleer. On the Invertibility of EGARCH(p,q). pp. 55

      electronic data

      EI2015-13

      Chia-Lin Chang, Michael McAleer & Ju-Ting Tang. International Technology Diffusion of Joint and Cross-border Patents. pp. 43

      electronic data

      EI2015-14

      Chia-Lin Chang, Juan-Ángel Jiménez-Martín, Esfandiar Maasoumi, Michael McAleer & Teodosio Pérez-Amaral. A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR? pp. 39

      electronic data

      EI2015-15

      Yoshikazu Terada & Patrick J.F. Groenen. Symbolic Multidimensional Scaling. pp. 22

      electronic data

      EI2015-16

      F.R. McMorris, Henry Martyn Mulder, Beth Novick & R.C. Powers. An ABC-Problem for Location and Consensus

      Functions on Graphs. pp. 26

      electronic data

      EI2015-17

      Manoj Changat, Divya Sindhu Lekha, Shilpa Mohandas, Henry Martyn Mulder & Ajitha R. Subhamathi. Axiomatic Characterization of the Median and Antimedian Function on a Complete Graph minus a Matching. pp. 15

      electronic data

      EI2015-18

      Chia-Lin Chang, Yiying Li & Michael McAleer. Volatility Spillovers Between Energy and Agricultural Markets:

      A Critical Appraisal of Theory and Practice. pp. 36

      electronic data

       

      EI2015-19

      José Núñez Ares, Harwin de Vries & Dennis Huisman. Column Generation Approach for Locating Roadside

      Clinics in Africa based on E_ectiveness and Equity. P.32

      electronic data

      EI2015-20

      Bert de Bruin & Philip Hans Franses. Stochastic levels and duration dependence in US unemployment. P.36

      electronic data

      EI2015-21

      Philip Hans Franses, Nancy Maassen. Consensus Forecasters: How good are they individually and why? P.25

      Electronic data

      EI2015-22

      David E. Allen, Micheal McAleer, Robert Powell & AbhayK. Singh. Multivariate Volatility Impulse Response Analysis

      of GFC News Events. P.26

      electronic data

      EI2015-23

      David E. Allen, Michael McAleer &Abhay K. Singh. Daily Market News Sentiment and Stock Prices. P. 43

      electronic data

      EI2015-24

      Chia-Lin Chang, Michael McAleer & Yu-Chien Wu. Industrial Agglomeration and Use of the Internet. P.49

      electronic data

      EI2015-25

      Chia-Lin Chang & Michael McAleer. Research Ideas for the Journal of Health & Medical Economics:

      Opinion. P. 6

      electronic data

      EI2015-26

      Michael McAleer. Research Ideas for the Journal of Informatics and Data Mining: Opinion. P. 9

      electronic data

      EI2015-27

      Chia-Lin Chang, Michael McAleer & Wing-Keung Wong. Behavioural, Financial, and Health & Medical Economics:

      A Connection. P. 10

      electronic data

      EI2015-28

      Twan Dollevoet, Dennis Huisman, Leo G. Kroon, Lucas P. Veelenturf & Joris C. Wagenaar. An Iterative Framework for

      Real-time Railway Rescheduling. P. 28

      electronic data

      EI2015-29

      Evelot Duijzer, Willem van Jaarsveld, Jacco Wallinga & Rommert Dekker. Dose-optimal vaccine allocation over multiple populations. P. 46

      Electronic data

      EI2015-30

      Alfred García Hiernaux, David E. Guerrero & Michael McAleer. Market Integration Dynamics and Asymptotic Price Convergence in Distribution. P. 39

      Electronic data

      EI2015-31

      Xiao-Guang Yue, Yong Cao & Michael McAleer.From Disorder to Order. P. 14

      Electronic data

      EI2015-32

      David E. Allen, Michael McAleer, Robert J. Powell &

      Abhay K. Singh. Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC. P. 21

      Electronic data

      EI2015-33

      David E. Allen, Michael McAleer, Shelton Peiris &

      Abhay K. Singh. Nonlinear time series and neutral-network models of exchange rates between the US dollar and major currencies. P. 18

      Electronic data

      EI2015-34

      Chia-Lin Chang, Michael McAleer & Wing-Keung Wong. Informatics, Data Mining, Econometrics and Financial Economics: A Connection. P. 12

      Electronic data

      EI2015-35

      Michael McAleer. The Fundamental Equation in Tourism Finance. P. 9

      Electronic data

      EI2015-36

      Philip Hans Franses & Bert de Bruijn. Benchmarking judgmentally adjusted forecasts. P. 20

      Electronic data

      EI2015-37

      Not yet available

      Electronic data

      EI2015-38

      Chia-Lin Chang, Juan-Ángel Jiménez-Martin, Esfandiar Maasoumi, Michael McAleer & Teodosio Pérez-Amaral

      Electronic data

      EI2015-39

      Jan Brinkhuis & Vladimir Protassov. A new proof of the Lagrange multiplier rule. P.4

      Electronic data

      EI2015-40

      Jan Brinkhuis. On the uniform limit condition for discrete-time infinite horizon problems. P.11

      Electronic data

      EI2015-41

      Jan Brinkhuis. A simple approach to discrete-time infinite horizon problems. P.8

      Electronic data

    • Report ID

      Title

      Data

      EI2014-01

      Harwin de Vries, Joris van Klundert & Albert Wagelmans. Health benefits of roadside healthcare services. pp. 15

      electronic data

      EI2014-02

      Denice Bodeutsch & Philip Hans Franses. The stock exchange of suriname: returns, volatility, correlations and weak-form efficiency. pp. 34

      electronic data

      EI2014-03

      Lukas Bach, Twan Dollevoet & Dennis Huisman. Integrating timetabling and crew scheduling at a freight railway operator. pp. 24

      electronic data

      EI2014-04

      Chia-Lin Chang, Hui-Kuang Hsu & Micheal McAleer. A tourism condition index. pp. 30

      electronic data

      EI2014-05

      Chia-Lin Chang, Michael McAleer. Quality weighted citations versus total citations in the sciences and social sciences. pp. 54

      electronic data

      EI2014-06

      Michael McAleer. Discussion of "principal volatility component analysis" by Yu-Pin Hu and Ruey Tsay. pp. 7

      electronic data

      EI2014-07

      Chia-Lin Chang & Michael McAleer. Ranking Economics and Econometrics ISI journals by quality weighted citations. pp. 26

      electronic data

      EI2014-08

      Liesbeth Noordegraaf-Eelens & Philip Hans Franses. Do los profiles on the mortgage market resonate with changes in macro economic prospects, business cycle movements or policy measure? pp. 30

      electronic data

      EI2014-09

      Harwin de Vries, Joris van de Klundert & Albert P.M. Wagelmans. The roadside healthcare facility location problems. pp. 20

      electronic data

      EI2014-10

      F.R. McMorris, Henry Martyn Mulder, Beth Novick & R.C. Powers. Five axioms for location functions on median graph. pp. 32

      electronic data

      EI2014-11

      Chia-Lin Chang, Hui-Kuang Hsu & Michael McAleer. A Tourism financial conditions index. pp. 26

      electronic data

      EI2014-12

      Xichen Ji, Jan Brinkhuis & Sabine Knapp. A method to measure enforcement effort in shipping with incomplete information. pp.21

      electronic data

      EI2014-13

      Janet M. Carey, Savine Knapp & Paul Irving. Assessing ecological sensitivities of marine assets to oil spill by means of expert knowledge. pp. 19

      electronic data

      EI2014-14

      Stephen Vander Hoorn & Sabine Knapp. A multi-layered risk exposure assessment approach for the shipping industry. pp. 19

      electronic data

      EI2014-15

      Christiaan Heij & Sabine Knapp. Effects of wind strength and wave height on ship incident risk: regional trends and seasonality. pp. 19

      electronic data

      EI2014-16

      Liesbeth Noordegraaf-Eelens & Philip Hans Franses. Does a financial crisis make consumers increasingly prudent. pp. 22

      electronic data

      EI2014-17

      Kannan Balakrishnan, Manoj Changat, Anandavally K. Lakshmikuttyamma, Joseph Mathews, Henry Martin Mulder, Prasanth G. Narasimha-Shenoi & N. Narayanan. Axiomatic characterization of the interval function of a block graph. pp. 14

      electronic data

      EI2014-18

      Chia-Lin Chang & Michael McAleer. Just how good are the top three journals in finance? An assessment based on quantity and quality citations. pp. 36

      electronic data

      EI2014-19

      Chia-Lin Chang, Wei-Chen Chen & Michael McAleer. Survival analysis of very low birth weight infant mortality in Taiwan. pp. 36

      electronic data

      EI2014-20

      Michael McAleer & Christian M. Hafner. A one line derivation of EGARCH. pp. 8

      electronic data

      EI2014-21

      Tina Dulam & Philip Hans Franses. Microeconomic determinants of skilled migration: The case of Suriname. pp. 37

      electronic data

      EI2014-22

      Christian M. Hafner & Michael McAleer. A one line derivation of DCC: application of a vector random coefficient moving average process. pp. 15

      electronic data

      EI2014-23

      Pieter C. Schoonees, Patrick J.F. Groenen & Michel van de Velden. Least-squares bilinear clustering of three-way data. pp. 38

      electronic data

      EI2014-24

      M. van de Velden, A. Iodice D'Enza & F. Palumbo. Cluster correspondence analysis. pp. 30

      electronic data

      EI2014-25

      Koen Bel, Dennis Fok & Richard Paap. Parameter estimation in multivariate logit models with many benary choices. pp. 24

      electronic data

      EI2014-26

      Koen Bel & Richard Paap. A multivariate model for multinomial choices. pp. 34

      electronic data

      EI2014-27

      Philip Hans Franses. The life cycle of social media. pp. 13

      electronic data

      EI2014-28

      Zhara Mobini, Wilco van den Heuvel & Albert Wagelmans. Designing Multi-Period Supply Contracts in a Two-Echelon Supply Chain Asymmetric Information. P.32

      Electronic data

      EI2014-29

      Wim Pijls & Rob Potharst. Repairing non-monotone ordinal data sets by changing class labels. pp. 9

      electronic data

      EI2014-30

      Bert de Bruijn, Rene Segers & Philip Hans Franses. A novel aproach to measuring consumer confidence. pp. 20

      electronic data

      EI2014-31

      Manjoh Changat, Divya Sindhu Lekha, Henry Martin Mulder & Ajitha R. Subhamathi. Axiomatic Characterization of the Median and Antimedian Functions on Cocktail-Party Graphs and Complete Graphs. pp. 13

      electronic data

      EI2014-32

      Michael McAleer. Asymmetry and leverage in conditional volatility models. pp. 9

      electronic data

      EI2014-33

      G.J.J. van den Burg & P.J.F. Groenen. GenSVM: A generalized multicalss support vector machine. pp. 32

      electronic data

Contact

If you cannot find the desired report or reprint, please contact the secretary of the department Anneke Kop.