https://thesis.eur.nl/col/4303/ List of Publications en https://thesis.eur.nl/pub/4545/ Fri, 29 Aug 2008 00:00:01 GMT <div>Velden, M. van der</div> Nowadays, web 2.0 functionalities offer organizations several opportunities to interact with the web site visitor. Using these new functionalities can result in more profit, extended online services, or improved customer relations. Service organizations, such as academic libraries, can also extent their web site with web 2.0 functionalities to improve the process of dissemination of information. In this research, all students and (academic) staff members of the Erasmus University Rotterdam (EUR) were invited to join the survey about the usability of web 2.0 functionalities on the web site of the University Library (EUR). Furthermore, the survey also consisted of an evaluation of the current library web site to discover the essential improvements. The results of 502 respondents indicate the usability of new functionalities like text message (sms) / e-mail notifications, advanced search methods, e-books, and personalization. A focus group, which consisted of five survey respondents, confirmed these findings, and added valuable remarks concerning their needs. Moreover, web 2.0 functionalities are not equally familiar to all respondents; the age is significantly associated with the familiarity of most new functionalities. https://thesis.eur.nl/pub/5127/ Thu, 01 Jan 2009 00:00:01 GMT <div>Dalakouras, Dimitri</div> Primary aim of this research is to contribute to the literature on oil prices and stock markets by studying the relation between oil price volatility and stock market volatility. We use a large sample of developed and emerging stock market indices, based on monthly observations over the period January 1982 – December 2008. Volatility is approximated as realized volatility and our methodology is based on regression analysis. Results indicate that one month lagged oil price volatility has significant predicting power in a considerable number of stock market indices, despite the high persistence of stock market volatility. The explanatory power of our model is maximized with the inclusion of an additional lag of five or ten days, which is consistent with the existence of delayed reaction by investors. Furthermore, sector analysis reveals that oil price volatility has greater influence in non oil related industries than in oil related. Additionally, we find strong evidence of asymmetric effects of oil prices on stock market returns. The results denote that increases on oil price appear to have a larger (and negative) impact on the stock market indices than the decreases. Moreover, the existence of asymmetric effects on oil price volatility to stock market volatility is not supported by empirical evidence. https://thesis.eur.nl/pub/4974/ Thu, 05 Feb 2009 00:00:01 GMT <div>Feitsma, P.A.W.</div> https://thesis.eur.nl/pub/4829/ Tue, 17 Mar 2009 00:00:01 GMT <div>Evers, L.</div> https://thesis.eur.nl/pub/4842/ Wed, 25 Mar 2009 00:00:01 GMT <div>Westland, H.</div> Longevity risk is the risk that people on average grow older than anticipated on; it is the negative effect of changes in mortality rates on the risk measures of companies involved in pensions. As a pension provider, the Group Life department of Nationale-Nederlanden is heavily confronted with this risk. A new possibility to cover (part of) the longevity risk arises with the emergence of a market in longevity derivatives: over-the-counter products based on indices of mortality rates, nalogous to products in the established financial markets. One of these products is the longevity swap. This thesis examines the possibilities longevity swaps might offer in hedging the longevity risk in a standard group pension contract of Nationale-Nederlanden. A portfolio of longevity swaps is attached to the liability stemming from the contract, after which the hedge is evaluated in terms of its effects on a risk margin called the Market Value Margin. Hedging the standard group pension contract results in a reduction of the Market Value Margin of 29%, while the risk capital required to cover the longevity risk decreases substantially as well (20%). However, the hedge is not cost-effective: the decrease in Market Value Margin is smaller than its expected costs. https://thesis.eur.nl/pub/4926/ Tue, 14 Apr 2009 00:00:01 GMT <div>Jekkers, D.</div> Because demand for train transportation is very high during rush hours, train operators need a lot of rolling stock to supply this demand. Outside the rush hours, especially during the night, this results in a surplus of rolling stock which need to be parked at a shunt yard. Because of limit track capacity and the diversity in train types, scheduling this process is a hard and time consuming task. We have developed a tool that is able to generate good shunt schedules to support local shunt planners. With the use of a genetic algorithm, we were able to extend the basic problem formulation with exible shunt times for each shunt activity in the schedule. Our model is successfully tested on a series of theoretical cases and two real-world cases from Netherlands Railways. https://thesis.eur.nl/pub/4932/ Mon, 20 Apr 2009 00:00:01 GMT <div>Hogenboom, F.</div> In this thesis, the effects of adding procurement information to a sales-based regime model, which is used for predicting price trends in a simulated supply chain, are researched. This supply chain is simulated in the TAC SCM game, which is an annual international competition held for several years, where researchers from around the world submit their artificial trading agents. The regime model extended in this thesis is used by the MinneTAC agent of the University of Minnesota. We find that component offer prices can be used to extend the regime model, which is currently based on a one-dimensional Gaussian Mixture Model where probabilities are clustered. The resulting clusters hold as regimes. Extending the model with a new dimension results in newly defined regime clusters. Implementing the new regime model, MinneTAC increases its customer orders significantly. However, because the agent configuration shows a structural error in predicting future price trends – possibly due to an insufficient pricing mechanism – we have strong indications that our new approach leads to lower profits, although the decrease of the amount of cash at the end of a game is not significant. We believe that this decrease of profits can be tackled in the future by research into price trend prediction in the newly defined regime model. i https://thesis.eur.nl/pub/4930/ Mon, 20 Apr 2009 00:00:01 GMT <div>Heuvel, E. van den</div> https://thesis.eur.nl/pub/4975/ Wed, 29 Apr 2009 00:00:01 GMT <div>Nes, G.P. van</div> This thesis considers a long term investor with liabilities that invests internationally and therefore runs currency risk and has to decide on how much of this risk it wants to hedge. The purpose of this thesis is to optimize this currency hedging decision. To achieve this, a mean-variance framework is derived that includes exchange rates and liabilities. It will be found that the investment horizon of the investor will play an important role in the optimal currency decision and that this decision also depends on the characteristics of the investor. Furthermore, it will be found that the total exposure to foreign currency in the portfolio is not important in determining the optimal currency decision but that this decision is mainly determined by the correlations of the exchange rates with the assets and the liabilities. https://thesis.eur.nl/pub/5120/ Fri, 01 May 2009 00:00:01 GMT <div>Ackermans, M.</div> ABSTRACT This thesis analyses British stock market returns between 1965 and 2008, by testing two theories that describe the interaction between economics and politics: the political policy theory and the political business cycle theory. Despite that (both nominal and excess) stock market returns were higher in times of Conservative Party dominance, a political premium was found for times of a Labour government: corrected for economic variables that help to explain excess returns, the stock market performs better under a Labour administration and this outperformance is statistically significant. Furthermore, in UK stock market returns no election cycle was found. Since inflation rates do show a cyclical pattern that follows election dates, the political business cycle theory is not rejected: these outcomes just show that the stock market is too efficient to be ‘fooled’ by a government aiming for re-election in its economic policy. https://thesis.eur.nl/pub/5223/ Fri, 01 May 2009 00:00:01 GMT <div>Kortram, Ishan</div> The growth in the use of the internet and e-commerce is accompanied by new challenges. The distant and impersonal nature of e-commerce and the use of a global open infrastructure for transactions have rendered risk an inevitable element of e-commerce. This research addresses the contribution of popular trust mechanisms to the increase of consumers’ purchasing likelihood and the growth of the Dutch e-commerce market. According to the ‘Theory of Reasoned Action’ trust mechanisms mitigate overall perceived risk and increase consumers’ purchase intention. For an effective design of the survey, a research framework was developed. A non-probability sampling method was applied, namely snowball sampling, and an online survey research employed. The findings indicate that the main contributors to the growth of the Dutch e-commerce market are familiarity with the online vendor and vendors’ reputation. The other conclusions are: encrypting sensitive information lowers perceived financial risk; online product feedback mechanisms have a positive influence on product performance risk, and third party assurance (only for some assuring companies) has a positive influence on psychological risk. https://thesis.eur.nl/pub/5040/ Fri, 08 May 2009 00:00:01 GMT <div>Borgman, B.</div> With the current increase of container traffic volumes around the globe, it becomes ever more important to have efficiently running container terminals. In this thesis, we investigate two concepts with which to increase efficiency, and compare them to several benchmark algorithms, using a Java-based discrete-event simulation tool. The first concept is to use any knowledge known about container departure times, in order to limit the number of reshuffles. We stack containers leaving shortly before the previous on top of each other. The second is the evaluation of the tradeoff between stacking further away in the terminal vs. stacking close by the exit points and accepting more reshuffles. We have formulated several strategies based on these concepts, some of which mix the two. We compare the strategies derived from these concepts primarily by looking at the exiting time of containers, and secondarily by looking at reshuffle occurrences, ground position usage, entry time and crane workload. It is concluded that even the use of imperfect or imprecise departure time information leads to significant improvements in efficiency. Minimizing the difference in departure times proved to be very important. It was also found that the tradeoff between stacking further away in the terminal vs. stacking close by the exit points and accepting more reshuffles leads to improvements over the benchmark. https://thesis.eur.nl/pub/5045/ Mon, 11 May 2009 00:00:01 GMT <div>Castaneda, Cabriel</div> This study applies the Factor-MIDAS approach (Marcellino and Schumacher, 2007) in the forecasting of Colombian GDP. The main objective is to test the performance of the predictions generated under this framework by means of Mean Squared Error values and forecast evaluation tests. Two forms of MIDAS (Mixed Data Sampling) projections were studied, MIDAS with exponential almon and MIDAS with unrestricted coefficients. Also, two methods for factor were used, one based on the EM algorithm and the other based on the state-space model with the Kalman filter. Both methods are able to handle missing values at the end of the sample due lags of publication. In addition, the factors were calculated using a large dataset of macroeconomic variables and a subset of it. The regressions were estimated using fixed factor lags along with an automatic lag selection. The nowcast and forecast performance of these regressions were compared with a simple benchmark model AR(1) model. The empirical findings show in general, that the MIDAS projections do not outperform the benchmark when the forecast tests are applied. There is only slight evidence that the MIDAS projections do better in the nowcast horizon. In terms of lower Mean Squared Error values, the better results are achieved when the number of factor lags is at most 3. Moreover, in this case there is no difference in the performance of these two projections. The automatic factor lag selection did not show any improvement compared to the use of very few fixed factor lags. https://thesis.eur.nl/pub/5367/ Thu, 25 Jun 2009 00:00:01 GMT <div>Gaast, J. van der</div><div>Rietveld, N.</div> https://thesis.eur.nl/pub/5383/ Tue, 30 Jun 2009 00:00:01 GMT <div>Everdingen, Y. van</div> https://thesis.eur.nl/pub/5403/ Tue, 07 Jul 2009 00:00:01 GMT <div>Zeeuw van der Laan, J.</div> https://thesis.eur.nl/pub/5435/ Fri, 10 Jul 2009 00:00:01 GMT <div>Velden, R. van der</div> https://thesis.eur.nl/pub/5476/ Thu, 16 Jul 2009 00:00:01 GMT <div>Dam, J.-W. van</div><div>Vandic, D.</div> https://thesis.eur.nl/pub/5481/ Fri, 17 Jul 2009 00:00:01 GMT <div>Goossen, F.</div> https://thesis.eur.nl/pub/5480/ Fri, 17 Jul 2009 00:00:01 GMT <div>Sangers, J.</div>