We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston- ouwenhorst (1994) model. We...

This paper addresses the problem of estimating an Origin-Destination (O-D) matrix with platoon dispersion from fully disaggregate data: that is, the passage times of vehicles at the entries and exits or the origins and destinations of a network. Given a list of entry times and a list of exiting...

This paper deals with two mathematically similar problems in transport network analysis: trip matrix estimation and traffic signal optimisation on congested road networks. These two problems are formulated as bi-level programming problems with stochastic user equilibrium assignment as the...

This paper investigates the stability of the classical car-following model (for example, Chandler et al., Operations Research, 6, 165-184, 1958; Herman et al., Operations Research, 7, 86-106, 1959; Wilhelm and Schmidt, Transportation Engineering Journal (ASCE) 99, 923-933, 1973). Conditions for local...

This paper presents a methodology for the design of optimal transport strategies and demonstrates its application to six UK cities. An objective function representing the total welfare of a transport strategy is used to measure the performance of the strategy; the levels of policy instruments in...