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Conditional Heteroskedasticity of Return Range Processes [article]

Yan Sun, Jennifer Loveland, Isaac Blackhurst
2015 arXiv   pre-print
Price range contains important information about the asset volatility, and has long been considered an important indicator for it. In this paper, we propose to jointly model the [low, high] price range as a random interval and introduce an interval-valued GARCH (Int-GARCH) model for the corresponding [low, high] return range process. Model properties are presented under the general framework of random sets, and the parameters are estimated by a metric-based conditional least squares (CLS)
more » ... . Our empirical analysis of the daily return range data of Dow Jones component stocks yields very interesting results.
arXiv:1502.04740v1 fatcat:3vqj33mmsnffbhlypzwgsjsts4

Guest editorial

Dmitry Ivanov, Jennifer Blackhurst, Ajay Das
2021 International Journal of Physical Distribution & Logistics Management  
Dmitry Ivanov Supply Chain and Operations Management, Berlin School of Economics and Law, Berlin, Germany Jennifer Blackhurst Management Sciences, The University of Iowa, Iowa City, Iowa, USA, and Ajay  ... 
doi:10.1108/ijpdlm-03-2021-409 fatcat:h6xjmudcxbc55pgn5lmgcfszuy

An interval-valued GARCH model for range-measured return processes [article]

Yan Sun, Guanghua Lian, Zudi Lu, Jennifer Loveland, Isaac Blackhurst
2019 arXiv   pre-print
Range-measured return contains more information than the traditional scalar-valued return. In this paper, we propose to model the [low, high] price range as a random interval and suggest an interval-valued GARCH (Int-GARCH) model for the corresponding range-measured return process. Under the general framework of random sets, the model properties are investigated. Parameters are estimated by the maximum likelihood method, and the asymptotic properties are established. Empirical application to
more » ... cks and financial indices data sets suggests that our Int-GARCH model overall outperforms the traditional GARCH for both in-sample estimation and out-of-sample prediction of volatility.
arXiv:1901.02947v1 fatcat:gcdov5umvvbv5nlqyp234tezte

Systemic Risk and the Ripple Effect in the Supply Chain [chapter]

Kevin P. Scheibe, Jennifer Blackhurst
2019 Integrität als Führungskompetenz  
As such, understanding and managing supply chain disruptions has become a key focus for companies (Blackhurst, Scheibe, & Johnson, 2008) .  ...  Scheibe and Blackhurst (2018) found two factors that greatly influenced the systemic risk nature of ripple effects in supply chains, cyclical linkages and counterparty risk.  ... 
doi:10.1007/978-3-030-14302-2_4 fatcat:p4iphl63brbchmwi7mzoqantle

MMR: An algorithm for clustering categorical data using Rough Set Theory

Darshit Parmar, Teresa Wu, Jennifer Blackhurst
2007 Data & Knowledge Engineering  
A variety of cluster analysis techniques exist to group objects having similar characteristics. However, the implementation of many of these techniques is challenging due to the fact that much of the data contained in today's databases is categorical in nature. While there have been recent advances in algorithms for clustering categorical data, some are unable to handle uncertainty in the clustering process while others have stability issues. This research proposes a new algorithm for
more » ... categorical data, termed Min-Min-Roughness (MMR), based on Rough Set Theory (RST), which has the ability to handle the uncertainty in the clustering process. Published by Elsevier B.V.
doi:10.1016/j.datak.2007.05.005 fatcat:lb6d36olq5d7peunb3zd2zzr6q

Longevity of Donor Serum

Jennifer E. Graves, H. Lee Higdon III, Jane E. Johnson, Dawn W. Blackhurst, William R. Boone
2004 Journal of Assisted Reproduction and Genetics  
Purpose : To determine the viability of long-term, stored serum, which is used in human in vitro production as a source of energy substrates, amino acids, vitamins, growth factors, and other nutrients. Method : Two-cell mouse embryos were used in this prospective, cohort study. Serum stored for 1-, 5-, 10-, and 12-year intervals was subjected to four replications of mouse-embryo testing. Result(s) : There were no significant differences in blastocyst rates between any of the replicates by year
more » ... 80-100% blastocyst rate; P > 00.1) or between pooled replicate means by time period. Conclusion(s) : Serum may be frozen up to 12 years.
doi:10.1023/b:jarg.0000025938.67218.47 pmid:15186022 pmcid:PMC3455446 fatcat:oomdzlnj5rcxvnxu4akd54tali

Supply Chain Network Robustness Against Disruptions: Topological Analysis, Measurement, and Optimization

Kang Zhao, Kevin Scheibe, Jennifer Blackhurst, Akhil Kumar
2018 IEEE transactions on engineering management  
This paper focuses on understanding the robustness of a supply network in the face of a disruption. We propose a decision support system for analyzing the robustness of supply chain networks against disruptions using topological analysis, performance measurement relevant to a supply chain context and an optimization for increasing supply network performance. The topology of a supply chain network has considerable implications for its robustness in the presence of disruptions. The system allows
more » ... ecision makers to evaluate topologies of their supply chain networks in a variety of disruption scenarios, thereby proactively managing the supply chain network to understand vulnerabilities of the network before a disruption occurs. Our system calculates performance measurements for a supply chain network in the face of disruptions and provides both topological metrics (through network analysis) and operational metrics (through an optimization model). Through an example application, we evaluate the impact of random and targeted disruptions on the robustness of a supply chain network.
doi:10.1109/tem.2018.2808331 fatcat:aty3dxye3vddvb4rtizxpa2uam

Supply chain disruption propagation: a systemic risk and normal accident theory perspective

Kevin P. Scheibe, Jennifer Blackhurst
2017 International Journal of Production Research  
., Blackhurst, J., Supply chain disruption propagation: a systemic risk and normal accident theory perspective.  ...  Even a very small initial disruption may propagate throughout the supply chain (Blackhurst et al. 2011) , growing in magnitude.  ...  A better understanding of disruption propagation is necessary to manage supply chain disruptions (Wu et al. 2007; Blackhurst et al. 2011) .  ... 
doi:10.1080/00207543.2017.1355123 fatcat:huvijstiera5rbxbv6qj5dnv6a

PCDM: a decision support modeling methodology for supply chain, product and process design decisions

Jennifer Blackhurst, Tong Wu, Peter O'Grady
2005 Journal of Operations Management  
While there is considerable pressure to improve the operation of supply chains, their inherent complexity can make modeling a supply chain a difficult task. This difficulty is compounded when the need to model the effects of product and process design changes are also considered. Yet there could be considerable benefits in designing supply chains taking into account the operation of the supply chain as well as the design of the product and the design of the manufacturing processes used in the
more » ... pply chain. This paper aims to address the central research issue of developing a methodology that can assist a manager in making decisions by modeling both the operation of a supply chain design and the effects of product and process design decisions. The proposed methodology, called Product Chain Decision Model (PCDM), is presented in this paper. This uses an abstracted network to model supply chain systems. Finally, an industry example of joint supply chain and product design is described to illustrate the application of PCDM. #
doi:10.1016/j.jom.2004.05.009 fatcat:zuitnvpzpnd53fds3s5tz64b7u

Supply chain vulnerability assessment: A network based visualization and clustering analysis approach

Jennifer Blackhurst, M. Johnny Rungtusanatham, Kevin Scheibe, Saurabh Ambulkar
2018 Journal of Purchasing and Supply Management  
Disciplines Business Administration, Management, and Operations | Operations and Supply Chain Management | Organizational Behavior and Theory | Strategic Management Policy Comments This article is published as Blackhurst  ...  INTRODUCTION Globally competing firms have inherently large and complex supply chain systems that are particularly vulnerable to disruptive events (Blackhurst et al., 2005a; Craighead et al., 2007; Manuj  ...  For example, Scheibe and Blackhurst (2017) describe cyclical risks caused by the structure of a supply chain network that allow disruptions to grow through a feedback effect.  ... 
doi:10.1016/j.pursup.2017.10.004 fatcat:yyf345vch5e6hgxsjkfmmifv3i

Developing techniques for determining sperm morphology in today's andrology laboratory

Jennifer E. Graves, H. Lee Higdon, William R. Boone, Dawn W. Blackhurst
2005 Journal of Assisted Reproduction and Genetics  
Journal of Assisted Reproduction and Genetics, Vol. 22, No. 5, May 2005 Graves, Higdon, Boone, and Blackhurst  ... 
doi:10.1007/s10815-005-4925-3 pmid:16047584 pmcid:PMC3455498 fatcat:s6sna6nffbcwhe2qfssiym6ram

A Structure-Conduct-Performance Perspective of How Strategic Supply Chain Integration Affects Firm Performance

Peter M. Ralston, Jennifer Blackhurst, David E. Cantor, Michael R. Crum
2014 Journal of Supply Chain Management  
There are several factors that affect a firm's ability to successfully integrate internally and externally for organizational improvement. This study seeks to understand the relationship between a firm's strategy, its supply chain integration efforts, and firm performance. Leveraging the theoretical lens of structure-conduct-performance from the industrial organization economics literature, and utilizing both archival and survey data, we describe how firms may align their internal and external
more » ... upply chain integration strategies with customers and suppliers. In doing so, these internal and external integration strategies affect the firm's ability to respond to customer demand, which then impacts operational and financial performance. Our work provides theoretical and empirical evidence of these relationships and thus extends prior strategic supply chain integration literature.
doi:10.1111/jscm.12064 fatcat:ojavn2czvbbvtmuqywcfawlmsu

Towards supply chain collaboration: an operations audit of VMI initiatives in the electronics industry

Jennifer Blackhurst, Christopher W. Craighead, Robert B. Handfield
2006 The International Journal of Integrated Supply Management  
Recently, there has been an increased focus on supply chain collaboration efforts such as Vendor-Managed Inventory (VMI). Often, supply chain partners have experienced gaps between desired and actual performance in working towards a successful collaborative relationship. In this research, we analysed two VMI initiatives that have not yet produced the level of performance desired by the supply chain partners involved. In each case, an operations audit was performed to determine where
more » ... ic and performance gaps existed. The output of this research effort is inherent in the operations audit process employed, the VMI initiative gaps discovered during the process as well as the steps that could be undertaken to minimise or eliminate these gaps. The paper culminates in a framework that describes the operations audit in terms of an iterative, collaboration evaluation process. The framework and process can serve as valuable mechanisms for understanding the evolution towards collaborative supply chain relationships.
doi:10.1504/ijism.2006.008340 fatcat:asukjytthjehhhcz7amh6gvb3i

AIDEA: a methodology for supplier evaluation and selection in a supplier-based manufacturing environment

Teresa Wu, Dan Shunk, Jennifer Blackhurst, Rajendra Appalla
2007 International Journal of Manufacturing Technology and Management (IJMTM)  
., Blackhurst, J. and Appalla, R. (2007) 'AIDEA: a methodology for supplier evaluation and selection in a supplier-based manufacturing environment', Int.  ... 
doi:10.1504/ijmtm.2007.013190 fatcat:5quhomjgevg7xoofviehzleqnq

FDRAnalysis: A Tool for the Integrated Analysis of Tandem Mass Spectrometry Identification Results from Multiple Search Engines

David C. Wedge, Ritesh Krishna, Paul Blackhurst, Jennifer A. Siepen, Andrew R. Jones, Simon J. Hubbard
2011 Journal of Proteome Research  
Confident identification of peptides via tandem mass spectrometry underpins modern highthroughput proteomics. This has motivated considerable recent interest in the post-processing of search engine results to increase confidence and calculate robust statistical measures, for example through the use of decoy databases to calculate false discovery rates (FDR). FDR-based analyses allow for multiple testing and can assign a single confidence value for both sets and individual peptide spectrum
more » ... s (PSMs). We recently developed an algorithm for combining the results from multiple search engines, integrating FDRs for sets of PSMs made by different search engine combinations. Here we describe a web-server, and a downloadable application, which makes this routinely available to the proteomics community. The web server offers a range of outputs including informative graphics to assess the confidence of the PSMs and any potential biases. The underlying pipeline provides a basic protein inference step, integrating PSMs into protein ambiguity groups where peptides can be matched to more than one protein. Importantly, we have also implemented full support for the mzIdentML data standard, recently released by the Proteomics Standards Initiative, providing users with the ability to convert native formats to mzIdentML files, which are available to download. Keywords bioinformatics; false discovery rate; multiple search engines; web server; data standards * To whom correspondence should be addressed. simon.hubbard@manchester.ac.uk, tel: +44 (0)161 306 8930, fax: +44 (0)161 275 5082 . Supporting Information Available: File 1. Sample output file in tab-separated format containing a summary of the results (number of true positives, false negatives and calculated FDR for individual search engines and for the consensus approach) a list of peptides identified by FDRAnalysis and information for each peptide including: sequence, spectrum ID, parent protein, identifying search engine(s), FDR score, position within protein, calculated and experimental masses, charge and mods. This material is available free of charge via the Internet at
doi:10.1021/pr101157s pmid:21222473 pmcid:PMC3707089 fatcat:nj3kfuxpkzamxmjcmck6yeldgm
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