Now showing items 1-10 of 29
A multi-dynamic-factor model for stock returns
(Elsevier, 1992)
In this paper, we define dynamic and static factors and distinguish between the dynamic and static structure of asset excess returns. We examine the value-weighted market portfolio as a dynamic factor and propose an ...
Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills
(Elsevier, 1990)
In this paper we suggest using the FACTOR-ARCH model as a parsimonious structure for the conditional covariance matrix of asset excess returns. This structure allows us to study the dynamic relationship between asset risk ...
Heuristics for minimizing tool switches when scheduling part types on a flexible machine
(Kluwer Academic Publishers; Springer Science+Business Media, 1998-08)
This article considers a tool loading problem whose objective is to minimize the number of tool switches over time in order to process several parts on a flexible machine. New heuristics are presented and compared. Some ...
Integrated design of run-to-run PID controller and SPC monitoring for process disturbance rejection
(Kluwer Academic Publishers; Springer Science+Business Media, 1999-05)
An integrated design methodology has been developed for a run-to-run PID controller and SPC monitoring for the purpose of process disturbance rejection. In the paper, the process disturbance is assumed to be an ARMA (1,1) ...
The GLRT for statistical process control of autocorrelated processes
(Kluwer Academic Publishers; Springer Science+Business Media, 1999-12)
This paper presents an on-line Statistical Process Control (SPC) technique, based on a Generalized Likelihood Ratio Test (GLRT), for detecting and estimating mean shifts in autocorrelated processes that follow a normally ...
Software Process Models and Project Performance
(Kluwer Academic Publishers; Springer Science+Business Media, 1999-10)
In this paper we review the progress in software process research and the role of process improvement in enhancing business outcomes of software projects. We first describe the process view of software development. Next, ...
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 1
(Blackwell Publishing Ltd, 1992-10)
Estimating the distributional impact of time-of-day pricing of electricity
(Elsevier, 1984)
We consider the general problem of recovering estimates of welfare measures such as willingness to pay, price indices, etc. from demand data with particular emphasis on the problem of unobserved taste variation across ...
Production planning for flexible flow systems with limited machine flexibility
(Kluwer Academic Publishers; Springer Science+Business Media, 1998-07)
A flexible manufacturing system (FMS) is highly capital-intensive and FMS users are concerned with achieving high system utilization. The production planning function for setting up an FMS prior to production should be ...