In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily and weekly data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a new LM test that is resistant to additive outliers. The data...

In this report a support system for predicting end prices on eBay is proposed. The end price predictions are based on the item descriptions found in the item listings of eBay, and on some numerical item features. The system uses text mining and boosting algorithms from the field of machine...

The consideration of environmental issues has emerged as a topic of critical importance for today’s globalized supply chains. The purpose of this paper is to develop a strategic-tactical decision-support methodology to assist managers in evaluating the impact of environmental issues, related...

Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the international oil market, namely West Texas Intermediate...

This paper describes a method for solving the cyclic crew rostering problem (CCRP). This is the problem of cyclically ordering a set of duties for a number of crew members, such that several complex constraints are satisfied and such that the quality of the obtained roster is as high as...

We study the following lot-sizing models that recently appeared in the literature: a lot-sizing model with a remanufacturing option, a lot-sizing model with production time windows, and a lot-sizing model with cumulative capacities. We show the equivalence of these models with a classical model:...

The monotonicity constraint is a common side condition imposed on modeling problems as diverse as hedonic pricing, personnel selection and credit rating. Experience tells us that it is not trivial to generate artificial data for supervised learning problems when the monotonicity constraint...

Using the standard linear model as a base, a unified theory of Bayesian Analyses of Cointegration Models is constructed. This is achieved by defining (natural conjugate) priors in the linear model and using the implied priors for the cointegration model. Using these priors, posterior results for...

Whenever demand for a single item can be categorized into classes of different priority, an inventory rationing policy should be considered. In this paper we analyse a continuous review (s,Q) model with lost sales and two demand classes. A so-called critical level policy is applied to ration the...

Ship recycling has received considerable attention during the last two decades for a variety of reasons and the industry is currently under a thorough scrutiny with the likelihood of the adoption of a new multilateral convention under the auspices of the International Maritime Organization...