To understand changes in individuals' opinions and attitudes it would be best to collect data through panels. Such panels, however, often cause irritation among respondents, resulting in low response rates and low response quality. We address whether this problem can be alleviated by designing a...

In this chapter we discuss inventory systems where several demand classes may be distinguished. In particular, we focus on single-location inventory systems and we analyse the use of a so-called critical level policy. With this policy some inventory is reserved for high-priority demand. A number...

This paper examines volatility and correlation dynamics in price returns of gold, silver, platinum and palladium, and explores the corresponding risk management implications for market risk and hedging. Value-at-Risk (VaR) is used to analyze the downside market risk associated with investments...

The non-stationary gamma process is a non-decreasing stochastic process with independent increments. By this monotonic behavior this stochastic process serves as a natural candidate for modelling time-dependent phenomena such as degradation. In condition-based maintenance the first time such a...

We study a deterministic linear-quadratic (LQ) control problem over an infinite horizon, and develop a general apprach to the problem based on semi-definite programming (SDP)and related duality analysis. This approach allows the control cost matrix R to be non-negative (semi-definite), a case...

This paper presents a unified study of duality properties for the problem of minimizing a linear function over the intersection of an affine space with a convex cone in finite dimension. Existing duality results are carefully surveyed and some new duality properties are established. Examples are...

Forecasting with many predictors is of interest, for instance, in macroeconomics and finance. This paper compares two methods for dealing with many predictors, that is, principal component regression (PCR) and principal covariate regression (PCovR). The forecast performance of these methods is...

Various ways of extracting macroeconomic information from a data-rich environment are compared with the objective of forecasting yield curves using the Nelson-Siegel model. Five issues in factor extraction are addressed, namely, selection of a subset of the available information, incorporation...

In this paper we provide a result that shows existence and uniqueness of Nash equilibrium in cases in which existent methods are problematic to apply. We employ this result to the model with simple logit demand, and show existence and uniqueness of price equilibrium when firms produce multiple...

In this paper we introduce a sequential seasonal unit root testing approach which explicitly addresses its application to high frequency data. The main idea is to see which unit roots at higher frequency data can also be found in temporally aggregated data. We illustrate our procedure to the...