Econometrics and Operations Research

Research Output 1978 2019

2019

A bargaining experiment with asymmetric institutions and preferences

Kamm, A. & Houba, H., 2019, (Accepted/In press) In : Social Choice and Welfare.

Research output: Contribution to JournalArticleAcademicpeer-review

bargaining power
asymmetry
experiment
laboratory experiment
heuristics

Accelerating score-driven time series models

Blasques, F., Gorgi, P. & Koopman, S. J., 2019, (Accepted/In press) In : Journal of Econometrics.

Research output: Contribution to JournalArticleAcademicpeer-review

Time series models
Innovation
Time-varying
Autocorrelation
Weighting

A Fully Polynomial Time Approximation Scheme for Packing While Traveling

Neumann, F., Polyakovskiy, S., Skutella, M., Stougie, L. & Wu, J., 1 Jan 2019, Algorithmic Aspects of Cloud Computing - 4th International Symposium, ALGOCLOUD 2018, Revised Selected Papers. Disser, Y. & Verykios, V. S. (eds.). Springer Verlag, p. 59-72 14 p. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); vol. 11409 LNCS).

Research output: Chapter in Book / Report / Conference proceedingConference contributionAcademicpeer-review

Fully Polynomial Time Approximation Scheme
Memory architecture
Computer architecture
Combinatorial optimization
Dynamic programming

A misspecification test for the higher order co-moments of the factor model

Lu, W., Yang, D. & Boudt, K., 1 Jan 2019, (Accepted/In press) In : Statistics.

Research output: Contribution to JournalArticleAcademicpeer-review

Misspecification
Factor Models
Higher Order
Moment
Factor Structure

Analyzing the effects of the choice of model in the context of marginal changes in final demand

Heijungs, R. & de Koning, A., 1 Dec 2019, In : Journal of Economic Structures. 8, 1, 6.

Research output: Contribution to JournalArticleAcademicpeer-review

Multiplier
Input-output table
Industry
Impact analysis
Life cycle assessment

Approximate Multi-matroid Intersection via Iterative Refinement

Linhares, AE., Olver, N., Swamy, C. & Zenklusen, R., 1 Jan 2019, Integer Programming and Combinatorial Optimization - 20th International Conference, IPCO 2019, Proceedings. Lodi, A. & Nagarajan, V. (eds.). Springer Verlag, p. 299-312 14 p. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); vol. 11480 LNCS).

Research output: Chapter in Book / Report / Conference proceedingConference contributionAcademicpeer-review

Matroid Intersection
Iterative Refinement
Matroid
Rounding
Integrality

A quasi-experimental, longitudinal evaluation of a school-based bicycle helmet campaign for children age 4–8 years in the Netherlands

Boele-Vos, M., Goldenbeld, C., van Strijp-Houtenbos, M., Commandeur, J. J. F. & Twisk, D. A. M., 2019, (Accepted/In press) In : Journal of Transportation Safety and Security.

Research output: Contribution to JournalArticleAcademicpeer-review

Bicycles
bicycle
Netherlands
campaign
Wear of materials

A tool to guide the selection of impact categories for LCA studies by using the representativeness index

Esnouf, A., Heijungs, R., Coste, G., Latrille, É., Steyer, J. P. & Hélias, A., 25 Mar 2019, In : Science of the Total Environment. 658, p. 768-776 9 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Life cycle
life cycle
environmental indicator
index
assessment method

Bank Business Models at Zero Interest Rates

Lucas, A., Schaumburg, J. & Schwaab, B., 2019, (Accepted/In press) In : Journal of Business and Economic Statistics. p. 1-14 14 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Business Model
Interest Rates
interest rate
bank
Zero

Bayesian nonparametric sparse VAR models

Billio, M., Casarin, R. & Rossini, L., 2019, (Accepted/In press) In : Journal of Econometrics.

Research output: Contribution to JournalArticleAcademicpeer-review

Vector autoregressive model
Coefficients
Clustering
Stylized facts
Prediction accuracy

Bayesian Risk Forecasting for Long Horizons

Borowska, A., Hoogerheide, L. F. & Koopman, S. J., 2019, 018/III ed., Amsterdam: Tinbergen Institute, 40 p. (TI Discussion Paper Series; vol. 2019, no. 018/III).

Research output: Working paperAcademic

CCE estimation of factor-augmented regression models with more factors than observables

Karabiyik, H., Urbain, J. P. & Westerlund, J., Mar 2019, In : Journal of Applied Econometrics. 34, 2, p. 268-284 17 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
regression
Estimator
Regression model
Factors
Common factors

Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings

Opschoor, A., Lucas, A., Barra, I. & Van Dijk, D., 2019, 013/IV ed., Amsterdam: Tinbergen Institute, 49 p. (TI Discussion Paper Series; vol. 2019, no. 013/IV).

Research output: Working paperAcademic

Comments on: recent developments in the queueing problem

van den Brink, R., 13 Feb 2019, In : TOP. p. 1-4 4 p.

Research output: Contribution to JournalComment / Letter to the editorAcademic

Comments on “Unobservable Selection and Coefficient Stability: Theory and Evidence” and “Poorly Measured Confounders are More Useful on the Left Than on the Right”

De Luca, G., Magnus, J. R. & Peracchi, F., 3 Apr 2019, In : Journal of Business and Economic Statistics. 37, 2, p. 217-222 6 p.

Research output: Contribution to JournalComment / Letter to the editorAcademic

stability theory
Causal Effect
Misspecification
Stability Theory
Restriction

Contribution-based prioritization of LCI database improvements: the most important unit processes in ecoinvent

Reinhard, J., Wernet, G., Zah, R., Heijungs, R. & Hilty, L. M., 1 Jan 2019, In : International Journal of Life Cycle Assessment.

Research output: Contribution to JournalArticleAcademicpeer-review

prioritization
life cycle
ranking
environmental impact
electricity generation

Evaluating the Shariah-compliance of equity portfolios: The weighting method matters

Boudt, K., Raza, M. W. & Wauters, M., 2019, (Accepted/In press) In : International Review of Financial Analysis. p. 1-31 31 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Weighting
Equity
Financial performance
Market capitalization
Investing

Expected utility and catastrophic risk in a stochastic economy–climate model

Ikefuji, M., Laeven, R. J. A., Magnus, J. R. & Muris, C., 2019, (Accepted/In press) In : Journal of Econometrics.

Research output: Contribution to JournalArticleAcademicpeer-review

Catastrophic risk
Climate
Expected utility
Uncertainty
Climate change

Fixed-Order Scheduling on Parallel Machines

Bosman, T., Frascaria, D., Olver, N., Sitters, RE. & Stougie, L., 1 Jan 2019, Integer Programming and Combinatorial Optimization - 20th International Conference, IPCO 2019, Proceedings. Lodi, A. & Nagarajan, V. (eds.). Springer Verlag, p. 88-100 13 p. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); vol. 11480 LNCS).

Research output: Chapter in Book / Report / Conference proceedingConference contributionAcademicpeer-review

Parallel Machines
Scheduling Problem
Scheduling
Multi-server
Queuing System

Forecast density combinations of dynamic models and data driven portfolio strategies

Baştürk, N., Borowska, A., Grassi, S., Hoogerheide, L. & van Dijk, H. K., 2019, (Accepted/In press) In : Journal of Econometrics.

Research output: Contribution to JournalArticleAcademicpeer-review

Portfolio strategy
Density forecasts
Diagnostics
Empirical results
Modeling

Forecasting daily electricity prices with monthly macroeconomic variables

Foroni, C., Ravazzolo, F. & Rossini, L., 20 Mar 2019, Working paper, (ECB Working Paper Series).

Research output: Working paperAcademic

Macroeconomic variables
Electricity price
Macroeconomics
Forecasting accuracy
Oil prices

Forecasting economic time series using score-driven dynamic models with mixed-data sampling

Gorgi, P., Koopman, S. J. & Li, M., 1 Jan 2019, (Accepted/In press) In : International Journal of Forecasting.

Research output: Contribution to JournalArticleAcademicpeer-review

Economic forecasting
Sampling
Weighting
GDP growth
Inflation

Forecasting football match results in national league competitions using score-driven time series models

Koopman, S. J. & Lit, R., 1 Jan 2019, (Accepted/In press) In : International Journal of Forecasting.

Research output: Contribution to JournalArticleAcademicpeer-review

Football
Time series models
Model specification
Betting
Simulation

Forecasting German crash numbers: The effect of meteorological variables

Diependaele, K., Martensen, H., Lerner, M., Schepers, A., Bijleveld, F. & Commandeur, J. J. F., 2019, (Accepted/In press) In : Accident Analysis and Prevention.

Research output: Contribution to JournalArticleAcademicpeer-review

Accidents
Plant shutdowns
accident
Administrative Personnel
road

Fractional integration and fat tails for realized covariance kernels

Opschoor, A. & Lucas, A., 1 Jan 2019, In : Journal of Financial Econometrics. 17, 1, p. 66-90 25 p., 17.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Kernel
Fractional integration
Fat tails
Covariance matrix
Integrated model

Generalized autoregressive score models in R: The GAS package

Ardia, D., Boudt, K. & Catania, L., 29 Jan 2019, In : Journal of Statistical Software. 88, 6, p. 1-28 28 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Time series
Model
Conditional Density
Score Function
Univariate

Hierarchical Species Sampling Models

Bassetti, F., Casarin, R. & Rossini, L., 30 Jan 2019, In : arXiv.org.

Research output: Contribution to JournalArticleAcademic

Prior distribution
Random Measure
Model
Random Probability Measure
Nonparametric Inference

Interactions between cyclists and automated vehicles: Results of a photo experiment *

Hagenzieker, M. P., van der Kint, S., Vissers, L., van Schagen, I. N. L. G., de Bruin, J., van Gent, P. & Commandeur, J. J. F., 2019, (Accepted/In press) In : Journal of Transportation Safety and Security.

Research output: Contribution to JournalArticleAcademicpeer-review

Railroad cars
experiment
interaction
Experiments
bicycle

Jockeying for Position in CEO Letters: Impression Management and Sentiment Analytics

Boudt, K. & Thewissen, J., 2019, (Accepted/In press) In : Financial Management.

Research output: Contribution to JournalArticleAcademicpeer-review

Sentiment
Chief executive officer
Impression management
Smile
Predictive power

Macro-financial regimes and performance of Shariah-compliant equity portfolios

Boudt, K., Raza, M. W. & Ashraf, D., 22 Jan 2019, (Accepted/In press) In : Journal of International Financial Markets, Institutions and Money. p. 1-15 15 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Equity
Methodology
Economic forecasting
Relative performance
Value at risk

Modified efficient importance sampling for partially non-Gaussian state space models

Koopman, S. J., Lit, R. & Nguyen, T. M., 1 Feb 2019, In : Statistica Neerlandica. 73, 1, p. 44-62 19 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Importance Sampling
State-space Model
Kernel Density
Signal Extraction
Filter Method

Morphological and molecular characterization of orchid fruit development

Dirks-Mulder, A., Ahmed, I., uit het Broek, M., Krol, L., Menger, N., Snier, J., van Winzum, A., de Wolf, A., van't Wout, M., Zeegers, J. J., Butôt, R., Heijungs, R., van Heuven, B. J., Kruizinga, J., Langelaan, R., Smets, E. F., Star, W., Bemer, M. & Gravendeel, B., 19 Feb 2019, In : Frontiers in Plant Science. 10, FEBRUARY, p. 1-18 18 p., 137.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access

Moving from completing system boundaries to more realistic modeling of the economy in life cycle assessment

Yang, Y. & Heijungs, R., 11 Feb 2019, In : International Journal of Life Cycle Assessment. 24, 2, p. 211-218 8 p.

Research output: Contribution to JournalArticleAcademicpeer-review

life cycle
modeling
ethanol
maize
economy

Multivariate GARCH models for large-scale applications: A survey

Boudt, K., Galanos, A., Payseur, S. & Zivot, E., 20 Mar 2019, (Accepted/In press) Handbook of Statistics. Srinivasa Rao, A. S. R. & Rao, C. R. (eds.). Elsevier Science B.V., Vol. 40. (Handbook of Statistics).

Research output: Chapter in Book / Report / Conference proceedingChapterAcademicpeer-review

Multivariate GARCH
GARCH Model
Multivariate Models
Computer programming languages
Model Specification

Naïve learning in social networks with random communication

Huang, J. P., Heidergott, B. & Lindner, I., 1 Jul 2019, In : Social Networks. 58, p. 1-11 11 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Social Support
social network
Communication
Learning
communication

On a flexible construction of a negative binomial model

Leisen, F., Mena, R. H., Palma, F. & Rossini, L., Sep 2019, In : Statistics and Probability Letters. 152, p. 1-8 8 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Negative Binomial Model
Closed-form
Birth and Death Process
Negative Binomial
Binomial distribution

Properties for Allocation Rules for Cooperative Games and Revenue Sharing Problems

Wang, W., 2019, 190 p.

Research output: PhD ThesisPhD Thesis - Research VU, graduation VUAcademic

Open Access
File

Properties of the Margrabe Best-of-two strategy to tactical asset allocation

Ardia, D., Boudt, K., Hartmann, S. & Nguyen, G., 10 Jan 2019, In : International Review of Financial Analysis. p. 1-15 15 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Asset allocation
Assets
Equity
Allocation problem
Portfolio allocation

Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values

Ardia, D., Bluteau, K. & Boudt, K., 1 Jan 2019, (Accepted/In press) In : International Journal of Forecasting.

Research output: Contribution to JournalArticleAcademicpeer-review

Sentiment
News
Economic growth
Economic indicators
Weighting

Realized wishart-garch: A score-driven multi-Asset volatility model

Gorgi, P., Hansen, P. R., Janus, P. & Koopman, S. J., Jan 2019, In : Journal of Financial Econometrics. 17, 1, p. 1-32 32 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Assets
Volatility models
Covariance matrix
Small sample
Sample size

Resource depletion potentials from bottom-up models: Population dynamics and the Hubbert peak theory

Hélias, A. & Heijungs, R., 10 Feb 2019, In : Science of the Total Environment. 650, p. 1303-1308 6 p.

Research output: Contribution to JournalArticleAcademicpeer-review

resource depletion
Population dynamics
population dynamics
Life cycle
life cycle

Sensitivity of large dengue epidemics in Ecuador to long-lead predictions of El Niño

Petrova, D., Lowe, R., Stewart-Ibarra, A., Ballester, J., Koopman, S. J. & Rodó, X., 1 Mar 2019, (Accepted/In press) In : Climate Services. p. 1-9 9 p.

Research output: Contribution to JournalArticleAcademicpeer-review

El Nino
prediction
dengue fever
teleconnection
tropical region

Strong consistency of the least squares estimator in regression models with adaptive learning

Christopeit, N. & Massmann, M., 1 Jan 2019, In : Electronic Journal of Statistics. 13, 1, p. 1646-1693 48 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Adaptive Learning
Strong Consistency
Least Squares Estimator
Regression Model
Recursion

Tackling a VRP challenge to redistribute scarce equipment within time windows using metaheuristic algorithms

Kheiri, A., Dragomir, A. G., Mueller, D., Gromicho, J., Jagtenberg, C. & van Hoorn, J. J., 2019, (Accepted/In press) In : EURO Journal on Transportation and Logistics.

Research output: Contribution to JournalArticleAcademicpeer-review

Time Windows
Routing algorithms
Metaheuristics
heuristics
Genetic algorithms

The alpha-constant-sum games

Wang, W., van den Brink, R., Sun, H., Xu, G. & Zou, Z., 2019, 022/II ed., Amsterdam: Tinbergen Institute, 22 p. (TI Discussion Paper Series; vol. 2019, no. 022/II).

Research output: Working paperAcademic

The analysis and forecasting of tennis matches by using a high dimensional dynamic model

Gorgi, P., Koopman, S. J. & Lit, R., 2019, (Accepted/In press) In : Journal of the Royal Statistical Society. Series A: Statistics in Society.

Research output: Contribution to JournalArticleAcademicpeer-review

Forecasting
Dynamic Model
High-dimensional
Time-varying
Tournament

The Degree Ratio Ranking Method for Directed Networks

van den Brink, R. & Rusinowska, A., 2019, 026/II ed., Amsterdam: Tinbergen Institute, 27 p. (TI Discussion Paper Series; vol. 2019, no. 026/II).

Research output: Working paperAcademic

The effect of velocity sparsity on the performance of cardinality constrained particle swarm optimization

Boudt, K. & Wan, C., 2019, (Accepted/In press) In : Optimization Letters.

Research output: Contribution to JournalArticleAcademicpeer-review

Constrained Optimization
Sparsity
Particle Swarm Optimization
Cardinality
Cardinality Constraints

The Family of Ideal Values for Cooperative Games

Wang, W., Sun, H., van den Brink, R. & Xu, G., 2019, (Accepted/In press) In : Journal of Optimization Theory and Applications. p. 1-22 22 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Cooperative Game
Coalitions
Reward
Coefficient
Centre of gravity

The Impact of Worst-Case Deviations in Non-Atomic Network Routing Games

Kleer, P. & Schäfer, G., 15 Jan 2019, In : Theory of Computing Systems. 63, 1, p. 54-89 36 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Network routing
Latency
Routing
Deviation
Game