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Recent Journal of Management Science and Engineering Articles

Recently published articles from Journal of Management Science and Engineering.

Refined analysis and prediction of natural gas consumption in China

Available online 31 July 2019
Ting Liang | Jian Chai | Yue-Jun Zhang | Zhe George Zhang

In view of the abrupt and phased features of natural gas consumption, this paper attempts to predict natural gas consumption in China with a refined forecasting approach. First, we establish a Markov...

Vehicle flow formulation for two-echelon time-constrained vehicle routing problem

Available online 30 May 2019
Hongqi Li | Ming Bai | Yibin Zhao | Changzhi Dai

Two-echelon routing problems, including variants such as the two-echelon vehicle routing problem (2E-VRP) and the two-echelon location routing problem (2E-LRP), involve assignment and location decisions....

Time-consistent investment and reinsurance strategies for insurers under multi-period mean-variance formulation with generalized correlated returns

Available online 23 May 2019
Zhongbao Zhou | Tiantian Ren | Helu Xiao | Wenbin Liu

The existing literature on investment and reinsurance is limited to the study of continuous-time problems, while discrete-time problems are always ignored by researchers. In this study, we first discuss...

Ensemble RBF modeling technique for quality design

Available online 22 May 2019
Linhan Ouyang | Liangqi Wan | Chanseok Park | Jianjun Wang | Yizhong Ma

This paper proposes an ensemble radial basis function neural network that selects important RBF subsets based on Pareto chart using Bootstrap samples. Then, the analysis of variance method is used to...

Policy Spillover and Regional Linkage Characteristics of the Real Estate Market in China’s Urban Agglomerations

Available online 17 May 2019
Xiangfei Li | Minghan Sun | Kees Boersma

The main purpose of this study is to determine the spillover effect of real estate regulatory policies released by core cities on the surrounding cities in major urban agglomerations based on regional...

Projection bias, sophistication, and sub-additive discounting

Available online 13 May 2019
Shou Chen | Richard Fu | Lei Wedge | Ziran Zou

Behavioral studies have revealed the sub-additive discounting pattern, which is at odds with the prevailing hyperbolic discounting framework that explains intertemporal choices. In this study, we demonstrate...

Risk measures for variable annuities: A hermite series expansion approach

Available online 13 May 2019
Zhenyu Cui | Jinhyoung Kim | Guanghua Lian | Yanchu Liu

In this study, we propose an efficient approach to the calculation of risk measures for an insurer's liability from writing a variable annuity with guaranteed benefits. Our approach is based on a novel...

Out-of-sample forecasts of China's economic growth and inflation using rolling weighted least squares

March 2019
Yuying Sun | Yongmiao Hong | Shouyang Wang

Macroeconomic forecasting in China is essential for the government to take proper policy decisions on government expenditure and money supply, among other matters. The existing literature on forecasting...

Versatile HAR model for realized volatility: A least square model averaging perspective

March 2019
Yue Qiu | Xinyu Zhang | Tian Xie | Shangwei Zhao

A rapidly growing body of literature has documented improvements in forecasting financial return volatility measurement using various heterogeneous autoregression (HAR) type models. Most HAR-type models...

Forecasting using supervised factor models

March 2019
Yundong Tu | Tae-Hwy Lee

This paper examines the theoretical and empirical properties of a supervised factor model based on combining forecasts using principal components (CFPC), in comparison with two other supervised factor...

A combined random effect and fixed effect forecast for panel data models

March 2019
Bai Huang | Tae-Hwy Lee | Aman Ullah

When some of the regressors in a panel data model are correlated with the random individual effects, the random effect (RE) estimator becomes inconsistent while the fixed effect (FE) estimator is consistent....

A decomposition clustering ensemble learning approach for forecasting foreign exchange rates

March 2019
Yunjie Wei | Shaolong Sun | Jian Ma | Shouyang Wang | Kin Keung Lai

A decomposition clustering ensemble (DCE) learning approach is proposed for forecasting foreign exchange rates by integrating the variational mode decomposition (VMD), the self-organizing map (SOM)...

Nowcasting China’s GDP Using a Bayesian Approach

2018
Yixiao Zhang | Cindy L. Yu | Haitao Li | Yongmiao Hong

Real time nowcasting is an assessment of current-quarter GDP from timely released economic and financial series before the GDP figure is disseminated. Providing a reliable current quarter nowcast in...

Econometric Modeling and Economic Forecasting

2018
Zongwu Cai | Yongmiao Hong | Shouyang Wang

A New Regime Switching Model with State–Varying Endogeneity

2018
Tingting Cheng | Jiti Gao | Yayi Yan

In this paper, we propose a state-varying endogenous regime switching model (the SERS model), which includes the endogenous regime switching model by Chang et al., the CCP model, as a special case....

Firm Characteristics and Chinese Stocks

2018
Fuwei Jiang | Guohao Tang | Guofu Zhou

This paper presents a comprehensive study on predicting the cross section of Chinese stock market returns with a large panel of 75 individual firm characteristics. We use not only the traditional Fama-MacBeth...

Assessing Tail Risk Using Expectile Regressions with Partially Varying Coefficients

2018
Zongwu Cai | Ying Fang | Dingshi Tian

To characterize heteroskedasticity, nonlinearity, and asymmetry in tail risk, this study investigates a class of conditional (dynamic) expectile models with partially varying coefficients in which some...

The Coordination and Preference of Supply Chain Contracts Based on Time-Sensitivity Promotional Mechanism

2018
Xin Fang | Fengjiao Yuan

To encourage retailers to submit orders as soon as possible, manufacturers usually launch a time-sensitivity promotional mechanism that the earlier you order, the cheaper the wholesale price will be...

Divergence in Reservation Prices and Its Impact on Housing Market Liquidity: A Theoretical Analysis

2018
Pu Gong | Yunyi Zhang | Huainan Zhao

In this paper, we build a two-period English auction model to study the relative movements between buyers’ and sellers’ reservation prices in the housing market. We show that changes in sellers’ reservation...

Competitive Analysis for Discrete Multiple Online Rental Problems

2018
Maolin Hu | Weijun Xu | Hongyi Li | Xiaoli Chen

Many actual rental activities present online rental problems with multiple units of assets or equipment whose use can be continuous, separable, or discrete. Using online algorithms and competitive analysis,...

Corporate Financial Policies under Heterogeneous Beliefs

2018
Wei-Ning Niu | Wei-Xing Wu | Leng Ling | Rong-Xi Zhou

This study investigates a firm’s financing, investment, and payout policies through a rational expectation equilibrium based on which managers and outside investors have heterogeneous prior beliefs....

Stochastic Route Choice Equilibrium Assignment for Travelers with Heterogeneous Regret Aversions

2018
Meng Li | Hai-Jun Huang | Henry X. Liu

Most route choice models assume that people are completely rational. Recently, regret theory has attracted researchers’ attentions because of its power to depict real travel behavior. This paper proposes...

Heterogeneous Traders, the Leverage Effect and Volatility of the Chinese P2P Market

2018
Xing Fang | Bo Wang | Lanbiao Liu | Yong Song

The new financial industry represented by peer-to-peer lending has gradually become a new source of volatility due to the increasing complexity of the Chinese financial market. This volatility leads...

The Effect of Market Quality on the Causality between Returns and Volatilities: Evidence from CSI 300 Index Futures

2018
Zhihong Jian | Pingjun Deng | Kaiyuan Luo | Zhican Zhu

This paper investigates the impact of market quality on volatility asymmetry of CSI 300 index futures by using short- and long-run causality measures proposed by Dufour et al. (2012). We use a high-frequency-based...

Using Two-layer Minimax Optimization and DEA to Determine Attribute Weights

2018
Yao-Yao Song | Guo-Liang Yang | Jian-Bo Yang | Mohammad Khoveyni | Dong-Ling Xu

This study aims to explore a novel method for determining attribute weights, which is a key issue in constructing and analyzing multiple-attribute decision-making (MADM) problems. To this end, a hybrid...

Overall Efficiency and its Decomposition in a Two-Stage Network DEA Model

2017
Guo-Liang Yang | Yao-Yao Song | Dong-Ling Xu | Jian-Bo Yang

This paper aims to propose a new approach to decompose an overall data envelopment analysis model into equivalent two-stage models. In this approach, we use a minimax reference point method to set the...

A General Approach to Testing Volatility Models in Time Series

2017
Yongmiao Hong | Yoon-Jin Lee

Volatility models have been playing important roles in economics and finance. Using a generalized spectral second order derivative approach, we propose a new class of generally applicable omnibus tests...

Patient Experience Enhancement at Accident and Emergency Department: Junior Doctor Manpower Reallocation Optimization

2017
Hong-Choon Oh | Wai-Leng Chow | Peter Looi | Ling Tiah | Pak-Liang Goh | Hoon-Chin Steven Lim | Mohan Tiruchittampalam

This study aimed to develop a new junior doctor allocation plan, and evaluate its impact on the door-to-doctor time (DDT) of a specific patient population at the Accident & Emergency (A&E) department...

Optimal Exit Layout Strategy for Crowd Safety Evacuation in a Ramp Domain

2017
Xiaoxia Jian | Hua Wang | Xiaoning Zhang

Pedestrian behavior modeling plays a considerably important role in improving operational efficiency and safety of pedestrian infrastructure. In this paper, we first propose a cost potential field cellular...

Measuring Performance Evolution of Academic Journals in Management Science and Operations Research: A DEA-Malmquist Approach

2017
Kun Chen | Guoliang Yang | Mohammad Khoveyni

This paper aims to measure the productivity of academic journals in the field of management science and operations research on the basis of a data envelopment analysis (DEA)-Malmquist approach. Using...

The Relationship between Firm-Specific Return Variation and Price Informativeness: Some Cross-Sectional Evidence

2017
Xiao Li | Dehua Shen | Silvano Cincotti

The progressive removal of short-selling constraints in the Chinese stock market provides us with a natural experiment to investigate the relationship between firm-specific return variation (FSRV) and...

Warranty and Preventive Maintenance Analysis for Sustainable Reverse Supply Chains

2017
Ammar Y. Alqahtani | Surendra M. Gupta

In addition to being environmentally friendly, remanufactured products are popular with consumers because they offer the latest technology at a lower price, in comparison to brand new products. However,...

Sourcing Decisions with Capacity Reservations under Supply Disruptions

March 2017
Jing Hou | Shan Zhao | Huimin Wang | Enkai Bi

Firms employing both offshore outsourcing and nearshore sourcing strategies may face supply disruption, demand uncertainty, and quality risks simultaneously. Sourcing decisions become inevitably important...

A Bibliometric Analysis of Digital Innovation from 1998 to 2016

March 2017
Xi Zhang | Yao Meng | Hui Chen | Jiang Yu | Yongqiang Sun | Patricia Ordóñez de Pablos | Joy Wei He

Digital technologies are ubiquitous in our everyday lives. They have been widely embedded into the core processes of services and products, as well as into the operations of many organizations. These...

Pricing Continuously Monitored Barrier Options under the SABR Model: A Closed-Form Approximation

March 2017
Nian Yang | Yanchu Liu | Zhenyu Cui

The stochastic alpha beta rho (SABR) model introduced by Hagan et al. (2002) is widely used in both fixed income and the foreign exchange (FX) markets. Continuously monitored barrier option contracts...

Cluster Analysis in Data‐Driven Management and Decisions

March 2017
Leilei Sun | Guoqing Chen | Hui Xiong | Chonghui Guo

Clustering plays an important role in management and decision‐making processes. This paper first discusses three types of cluster analysis methods—centroid‐based, connectivity‐based, and density‐based....

Intraday Volatility Spillover between the Shanghai and Hong Kong Stock Markets—Evidence from A+H Shares after the Launch of the Shanghai-Hong Kong Stock Connect

March 2017
Yajing Xu | Saiping Li | Xiong Xiong | Fei Ren

Using minute data of eligible A+H stocks under the Shanghai-Hong Kong Stock Connect (SHHKSC), we investigate the volatility spillover between the Shanghai and Hong Kong stock markets based on a generalized...

Option Pricing under the Double Exponential Jump-Diffusion Model with Stochastic Volatility and Interest Rate

March 2017
Rongda Chen | Zexi Li | Liyuan Zeng | Lean Yu | Qi Lin | Jia Liu

This paper proposes an efficient option pricing model that incorporates stochastic interest rate (SIR), stochastic volatility (SV), and double exponential jump into the jump-diffusion settings. The...

Identifying Human Capital Externality: Evidence from China

2016
Yunling Liang | Zhiqiang Liu | Haizheng Li

Using data from two well-known individual surveys in China, we estimate human capital externality. We find a positive and statistically significant effect of city-level human capital on individual earnings....

Intraday Market-Wide Ups/Downs and Returns

2016
Wei Zhang | Shen Lin | Yongjie Zhang

Using stock market data over 16 years for Chinese stock markets and over 3 years for U.S. stock markets, this study explores the explanatory power of early intraday market-wide up and down movements...

Online Healthcare Community Interaction Dynamics

2016
Xitong Guo | Shanshan Guo | Douglas Vogel | Yijun Li

With the increasing dilemma of the rapid global demand for healthcare services (often in the presence of limited resources), how to creatively allocate and use healthcare resources across a widespread...

Asymmetries of Positive Feedback Trading in Individual Stocks: Evidences from China

2016
Die Wan | Weiyi Liu | Junbo Wang | Xiaoguang Yang

The paper investigates the positive feedback trading phenomenon of individual stocks in China’s stock market. Heterogeneous regression models and a non-parametric Sentana-Wadhwani model are developed...

A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs

2016
Xue-Zhong He | Lei Shi

This paper provides a difference-in-opinions equilibrium framework for pricing asset and option in a multi-period binomial economy with heterogeneous beliefs. Agents agree to disagree about their beliefs...

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