Computational Economics

1993 - 2013

Edited by Hans Amman

from Society for Computational Economics

This journal is a continuation of Computer Science in Economics & Management.
Contact information at EDIRC.
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Volume 41, issue 4, 2013

A Generic Framework for a Combined Agent-based Market and Production Model pp. 425-445

Bas Straatman, Danielle Marceau and Roger White

Optimal Tax Progressivity in Unionised Labour Markets: Simulation Results for Germany pp. 447-474

Stefan Boeters

Reverse Engineering Financial Markets with Majority and Minority Games Using Genetic Algorithms pp. 475-492

J. Wiesinger, D. Sornette and J. Satinover

Can They Beat the Cournot Equilibrium? Learning with Memory and Convergence to Equilibria in a Cournot Oligopoly pp. 493-516

Thomas Vallée and Murat Yıldızoğlu

SIMUL 3.2: An Econometric Tool for Multidimensional Modelling pp. 517-524

Rodolphe Buda

Solving Rational Expectations Models with Informational Subperiods: A Perturbation Approach pp. 525-555

Anna Kormilitsina

On the Use of the Renormalization Procedure to Estimate the Bifurcation Parameters in Nonlinear Dynamic Models pp. 557-574

Walter Briec and Laurence Lasselle

Volume 41, issue 3, 2013

Editorial for the Special Issue: Quantitative Methods in Banking and Finance pp. 297-298

Chrysovalantis Gaganis, Constantin Zopounidis and Michael Doumpos

Wind Derivatives: Modeling and Pricing pp. 299-326

A. Alexandridis and A. Zapranis

Explanatory Factors and Causality in the Dynamics of Volatility Surfaces Implied from OTC Asian–Pacific Currency Options pp. 327-358

Georgios Chalamandaris and Andrianos E. Tsekrekos

The Forecasting Performance of Corridor Implied Volatility in the Italian Market pp. 359-386

Silvia Muzzioli

Regulations and Audit Opinions: Evidence from EU Banking Institutions pp. 387-405

Chrysovalantis Gaganis, Fotios Pasiouras and Charalambos Spathis

Portfolio Risk Measures: The Time’s Arrow Matters pp. 407-424

Alain Ruttiens

Volume 41, issue 2, 2013

The Interest of Having Loyal Buyers in a Perishable Market pp. 151-170

Juliette Rouchier

Computing Equilibrium Wealth Distributions in Models with Heterogeneous-Agents, Incomplete Markets and Idiosyncratic Risk pp. 171-193

Muffasir Badshah, Paul Beaumont and Anuj Srivastava

Simulation Analysis for Choice of Binary Lotteries pp. 195-211

Ichiro Nishizaki and Tomohiro Hayashida

A Graphical Tool for Describing the Temporal Evolution of Clusters in Financial Stock Markets pp. 213-231

Argimiro Arratia and Alejandra Cabaña

Stochastic Evolutionary Game Dynamics and Their Selection Mechanisms pp. 233-247

Xing Gao, Weijun Zhong and Shue Mei

SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence pp. 249-265

Mohamed Chikhi, Anne Péguin-Feissolle and Michel Terraza

Comparing Numerical Methods for Solving the Competitive Storage Model pp. 267-295

Christophe Gouel

Volume 41, issue 1, 2013

Response Surface Estimates of the Cross-Sectionally Augmented IPS Tests for Panel Unit Roots pp. 1-9

Jesus Otero and Jeremy Smith

Norwegian Overnight Interbank Interest Rates pp. 11-29

Q. Akram and Casper Christophersen

Motivations for Open Source Project Participation and Decisions of Software Developers pp. 31-57

Dongryul Lee and Byung Kim

Testing for Unit Roots in Panel Data Using a Wavelet Ratio Method pp. 59-69

Yushu Li and Ghazi Shukur

Computing Equilibria in Discounted 2 × 2 Supergames pp. 71-88

Kimmo Berg and Mitri Kitti

Unit Root Hypothesis in the Presence of Stochastic Volatility, a Bayesian Analysis pp. 89-100

Jin-Yu Zhang, Yong Li and Zhu-Ming Chen

Testing for Structural Breaks at Unknown Time: A Steeplechase pp. 101-123

Makram El-Shagi and Sebastian Giesen

Monetary Policy Under Time-Varying Uncertainty Aversion pp. 125-150

Fidel Gonzalez and Arnulfo Rodriguez

Volume 40, issue 4, 2012

DSGE Modeling on an iPhone/iPad Using SpaceTime pp. 313-332

Andrew Peter Blake

Public Expenditure on Health and Private Old-Age Insurance in an OLG Growth Model with Endogenous Fertility: Chaotic Dynamics Under Perfect Foresight pp. 333-353

Luciano Fanti and Luca Gori

The Efficient Frontier for Weakly Correlated Assets pp. 355-375

Michael Best and Xili Zhang

Using a Differential Evolutionary Algorithm to Test the Efficient Market Hypothesis pp. 377-385

Phillip Ray Simmons

An Economic Model of Oil Exploration and Extraction pp. 387-399

Alfred Greiner, Willi Semmler and Tobias Mette

Performance of Some Logistic Ridge Regression Estimators pp. 401-414

B. Kibria, Kristofer Månsson and Ghazi Shukur

Pareto Frontier of a Dynamic Principal–Agent Model with Discrete Actions: An Evolutionary Multi-Objective Approach pp. 415-443

Itza Curiel, Sonia B. Di Giannatale, Juan Herrera and Katya Rodríguez

Volume 40, issue 3, 2012

Bayesian Analysis of Student t Linear Regression with Unknown Change-Point and Application to Stock Data Analysis pp. 203-217

Jin-Guan Lin, Ji Chen and Yong Li

Sequential Action and Beliefs Under Partially Observable DSGE Environments pp. 219-244

Seong-Hoon Kim

Nonlinearity in Forecasting of High-Frequency Stock Returns pp. 245-264

Juan Reboredo, José Matías and Raquel Garcia-Rubio

On Boundary Conditions Within the Solution of Macroeconomic Dynamic Models with Rational Expectations pp. 265-291

Frank Hespeler

Velocity Volatility Assessment of Monetary Shocks on Cash-in-Advance Economies pp. 293-311

Jose Julian Cao-Alvira

Volume 40, issue 2, 2012

A Stochastic Chartist–Fundamentalist Model with Time Delays pp. 105-113

Ghassan Dibeh and Haidar Harmanani

Implied Severity Density Estimation: An Extended Semiparametric Method to Compute Credit Value at Risk pp. 115-129

J. Baixauli and Susana Alvarez

Hiring, Firing and Infighting: A Tale of Two Companies pp. 131-149

Arnav Sheth

Massively Parallel Computation Using Graphics Processors with Application to Optimal Experimentation in Dynamic Control pp. 151-182

Sergei Morozov and Sudhanshu Mathur

Nonparametric Testing for Long-Run Neutrality with Applications to US Money and Output Data pp. 183-202

Jin Lee

Volume 40, issue 1, 2012

The Hitting Time Density for a Reflected Brownian Motion pp. 1-18

Qin Hu, Yongjin Wang and Xuewei Yang

Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity pp. 19-48

Cathy W. S. Chen, Simon Lin and Philip L.H. Yu

A Second-Order Difference Scheme for the Penalized Black–Scholes Equation Governing American Put Option Pricing pp. 49-62

Zhongdi Cen, Anbo Le and Aimin Xu

Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models pp. 63-104

Andrey Itkin and Peter Carr

Volume 39, issue 4, 2012

Heuristic Optimization Methods for Dynamic Panel Data Model Selection: Application on the Russian Innovative Performance pp. 337-363

Ivan Savin and Peter Winker

A Closed-Form Solution to Stollery’s Problem with Damage in Utility pp. 365-386

Andrei V. Bazhanov

Transitional Dynamics in Sticky-Information General Equilibrium Models pp. 387-407

Orlando Gomes

Exploring US Business Cycles with Bivariate Loops Using Penalized Spline Regression pp. 409-427

Göran Kauermann, Timo Teuber and Peter Flaschel

A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control pp. 429-446

Walailuck Chavanasporn and Christian-Oliver Ewald

Volume 39, issue 3, 2012

Propagation of Data Error and Parametric Sensitivity in Computable General Equilibrium Models pp. 219-241

Joshua Elliott, Meredith Franklin, Ian Foster, Todd Munson and Margaret Loudermilk

Repeated Price Search pp. 243-257

A. Norman, J. Berman, K. Brehm, M. Drake, A. Dyer, J. Frisby, C. Govil, C. Hinchey, L. Heuer, J. Ke, S. Kejriwal, K. Kuang, S. Keyburn, S. Ler, K. Powers, A. Robertson, J. Sanghai, C. Schulze, J. Schieck, J. Sussman, L. Tan, A. Tello, R. Wang, K. Yan and T. Zeinullayev

Two-State Volatility Transition Pricing and Hedging of TXO Options pp. 259-287

En- Der Su and Feng-Jeng Lin

Valuation of N-stage Investments Under Jump-Diffusion Processes pp. 289-313

Rainer Andergassen and Luigi Sereno

What Drives Short Rate Dynamics? A Functional Gradient Descent Approach pp. 315-335

Francesco Audrino

Volume 39, issue 2, 2012

Properties of the DGS-Auction Algorithm pp. 113-133

Tommy Andersson and Christer Andersson

A Flexible Markov Chain Approach for Multivariate Credit Ratings pp. 135-143

Eric Fung and Tak Siu

Modelling the Evolution of National Economies Based on Input–Output Networks pp. 145-155

Wen-Qi Duan

Opinions and Networks: How Do They Effect Each Other pp. 157-171

Zhengzheng Pan

Statistical Inferences for Generalized Pareto Distribution Based on Interior Penalty Function Algorithm and Bootstrap Methods and Applications in Analyzing Stock Data pp. 173-193

Chao Huang, Jin-Guan Lin and Yan-Yan Ren

Consumption Utility-Based Pricing and Timing of the Option to Invest with Partial Information pp. 195-217

Jinqiang Yang and Zhaojun Yang

Volume 39, issue 1, 2012

An Integer Programming Model for Pricing American Contingent Claims under Transaction Costs pp. 1-12

M. Pınar and A. Camcı

Using Chebyshev Polynomials to Approximate Partial Differential Equations: A Reply pp. 13-27

Alejandro Mosiño

Fuzzy Statistical Analysis of Multiple Regression with Crisp and Fuzzy Covariates and Applications in Analyzing Economic Data of China pp. 29-49

Jin-Guan Lin, Qing-Yun Zhuang and Chao Huang

BRA: An Algorithm for Simulating Bounded Rational Agents pp. 51-69

Stephan Schuster

Introduction to the Works of Rodney C. Wingrove: Engineering Approaches to Macroeconomic Modeling pp. 71-76

Ronald Davis, Dallas Denery, David Andrew Kendrick and Raman Mehra

Classical Linear-Control Analysis Applied to Business-Cycle Dynamics and Stability pp. 77-98

Rodney Wingrove and Ronald Davis

Manual-Control Analysis Applied to the Money Supply Control Task pp. 99-111

Rodney Wingrove and Ronald Davis