We analyze periodic and seasonal cointegration models for bivariate quarterly observed time series in an empirical forecasting study. We include both single equation and multiple equation methods. A VAR model in first differences with and without cointegration restrictions is also included in...

We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a high-quality data set of German mark denominated bonds, we show that this yields more realistic spreads than conventionally obtained spread curves that...

Correspondence analysis (CA) is a popular method that can be used to analyze relationships between categorical variables. It is closely related to several popular multivariate analysis methods such as canonical correlation analysis and principal component analysis. Like principal component...

Macroeconomic forecasts are frequently produced, published, discussed and used. The formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has been addressed, and in this review we analyse some recent developments from that...

In many distribution networks, it is vital that time windows in which deliveries are made are assigned to customers for the long term. However, at the moment of assigning time windows demand is not known. In this paper we introduce the time window assignment vehicle routing problem, the TWAVRP....

The paper models the dynamic conditional correlations in emerging stock, bond and foreign exchange markets using the DCC model of Engle (2002) and the GARCC model of McAleer et al. (2008). The highly restrictive DCC model suggests that the conditional correlations of the overall returns are...

Khouja and Park (Omega 31, 539-545, 2003) analyze the problem of optimizing the lot size under continuous price decrease. They show that the classic EOQ formula can lead to far from optimal solutions and develop an alternative lot size formula using the software package Mathematica. This formula...

To study the block structure of a connected graph G=(V,E), we introduce two algebraic approaches that reflect this structure: a binary operation + called a leap operation and a ternary relation L called a leap system, both on a finite, nonempty set V. These algebraic structures are easily...

We consider the Nelder and Mead Simplex Method for the optimization of stochastic simulation models. Existing and new adaptive extensions of the Nelder and Mead simplex method designed to improve the accuracy and consistency of the observed best point are studied. We compare the performance of...

A major problem in applying neural networks is specifying the size of the network. Even for moderately sized networks the number of parameters may become large compared to the number of data. In this paper network performance is examined while reducing the size of the network through the use of...