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Lagged cross-products of regression residuals and a family of serial correlation tests
Gooijer, Jan G. de; MacNeill, Ian B. - 1994
Persistent link: https://www.econbiz.de/10000151697
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Polynomial time algorithms for some multi-level lot-sizing problems with production capacities
Hoesel, Stan van; Romeijn, H. Edwin; Romero Morales, … - 2002
We consider a model for a serial supply chain in which production, inventory, and transportation decisions are integrated, in the presence of production capacities and for different transportation cost functions. The model we study is a generalization of the traditional single-item economic...
Persistent link: https://www.econbiz.de/10011326946
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Pivotal suppliers and market power in experimental supply function competition
Brandts, Jordi; Reynolds, Stanley S.; Schram, Arthur - 2011
In the process of regulatory reform in the electric power industry, the mitigation of market power is one of the basic problems regulators have to deal with. We use experimental data to study the sources of market power with supply function competition, akin to the competition in wholesale...
Persistent link: https://www.econbiz.de/10011383176
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Polynomial time algorithms for some multi-level lot-sizing problems with production capacities
Hoesel, Stan van; Romeijn, H. Edwin; Morales, Dolores Romero - 2002
Persistent link: https://www.econbiz.de/10001689289
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Tail distribution of the maximum of correlated Gaussian random variables
Botev, Zdravko I.; Mandjes, Michel; Ridder, Ad - 2015
In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...
Persistent link: https://www.econbiz.de/10011431354
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A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010
We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...
Persistent link: https://www.econbiz.de/10011380135
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Level-slope-curvature : fact or artefact?
Lord, Roger; Pelsser, Antoon André Jean - 2005
conditions have the nice interpretation of restricting the level, slope and curvature of the correlation surface. It is proven … that the Schoenmakers-Coffey correlation matrix also brings along such factors. Finally, we formulate and corroborate our … conjecture that the order present in correlation matrices causes slope. …
Persistent link: https://www.econbiz.de/10011346478
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The comovement between real activity and prices in the G7
Den Haan, Wouter J. - 2002
robust across countries and time periods. Typically, the correlation coefficients at long-run horizons are significantly … negative and the correlation coefficients at short-run horizons are substantially higher. Additionally, there is evidence of … positive correlation at short-run forecast horizons for some countries. …
Persistent link: https://www.econbiz.de/10011327530
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Detecting serial dependence in tail events
Diks, Cees G. H. - 2002
A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...
Persistent link: https://www.econbiz.de/10011327543
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Ten things you should know about the dynamic conditional correlation representation
Caporin, Massimiliano; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009767004