Computing in Economics and Finance 2001

from Society for Computational Economics
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152: On Genes, Insects, and Crystals: Determining Marginal Diversification Effects With Nature Based Algorithms

Dietmar G. Maringer Christian Keber

151: Multiple Regimes in U.S. Monetary Policy? A Nonparametric Approach

John Duffy and Jim Engle-Warnick (Jim Engle-Warnick and John Duffy)

150: Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments

Nikolay Gospodinov

149: Studying Real Options with Genetic Algorithms

Oliver Musshoff Alfons Balmann (Oliver Musshoff and Alfons Balmann)

148: Adjustment Costs of Agri-Environmental Policy Switchings: A Multi-Agent Approach

Alfons Balmann, Kathrin Happe, Konrad Kellermann, Anne Kleingarn (Konrad Kellermann, Alfons Balmann and Kathrin Happe)

147: Risk Adjusted Returns to Technical Trading Rules: a Genetic Programming Approach

JP Marney, Colin Fyfe, Heather Tarbert, David Miller

146: An Adaptive Electronic Market-Maker

Nicholas T. Chan and Christian Shelton

145: The Real Interest Rate Gap as an Inflation Indicator

Katharine S. Neiss and Edward Nelson (Edward Nelson)

144: Cost of Business Cycles under Incomplete Markets

Yann Algan and Olivier Allais (Yann Algan and Olivier Allais)

143: A recursive algorithm for solving SUR models

Erricos J. Kontoghiorghes and Paolo Foschi (Erricos John Kontoghiorghes and Paolo Foschi)

140: Between-Group Dependence in PPP Equations and its Causes: A Principal Components Approach

Jerry Coakley, Ana-Maria Fuertes, Ron Smith (Jerry Coakley, Ronald Smith and Ana-Maria Fuertes)

139: Social Security evaluation: A critique

Jorge Soares

138: Practical

Gary Anderson

137: Solving and Estimating Finite Mixture Models in Parallel

Christopher Ferrall

136: Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity

Nikolay Gospodinov

135: Can Trade Theory Help Us Understand the Linkages Between International Trade and Business Cycles?

M. Ayhan Kose and Kei-Mu Yi (Kei-Mu Yi and Ayhan Kose)

134: Evaluating Business Cycle Models with Labor Market Search

Robert Hussey

133: Government Expenditure and Long-Run Stochastic Growth

Christiane Clemens

132: Bifurcation Routes and Economic Stability

Miloslav S. Vosvrda (Miloslav Vošvrda and Miloslav Stephan Vosvrda)

131: Evaluating Information Variables for Monetary Policy in a Noisy Economic Environment

Gunter Coenen, Volker Wieland, Andrew Levin (Andrew Theo Levin, Günter Coenen and Volker Wieland)

130: Micro Heterogeneity and Macro Dynamics: an Empirical Analysis

Paolo Zaffaroni Filippo Altissimo

128: Algorithmic Design and Beowulf Cluster Implementation of Stochastic Simulation Code of Stochastic Simulation Code for Large Scale Non Linear Models

gary anderson and raymond board

127: Spectral Analysis as a Tool for Financial Policy: An Analysis of the Short-End of the British Term Structure

Christian R Richter Andrew Hughes Hallett (Andrew Hughes Hallett and Christian R. Richter)

126: Increasing returns and cycles in fishing

M. Liski, P.M. Kort, A.J. Novak (Matti Liski and Peter Kort)

125: Return-based Style Analysis with Time-varying Exposures

Laurens A. P. Swinkels (Pieter Jelle van der Sluis)

124: Simulation

Nalan

123: G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models

S»bastien Laurent and Jean-Philippe Peters (Jean-Philippe Peters and Sébastien Laurent)

122: Financial Risk Management in the Danish Mortgage Market

Rolf Poulsen Soren S. Nielsen

121: A computational model for incomplete contracts

Juan D. Montoro-Pons

120: Succes and Failure of Technical Trading Strategies in the Cocoa Futures Market

Boswijk, H.P., Griffioen, G.A.W., Hommes, C.H. (H. Peter Boswijk and Cars Hommes)

119: Evolutionary dynamics in financial markets with many trader types

C.H. Hommes and F.O.O. Wagener W.A. Brock (Cars Hommes, William A. Brock and Florian Oskar Ottokar Wagener)

118: Evolving Automata Negotiate with a Variety of Opponents

D.D.B. van Bragt and J.A. La Poutre (David van Bragt)

117: How different is the cyclical behavior of home production across countries?

William Blankenau and M. Ayhan Kose (William Blankenau and Ayhan Kose)

116: International Portfolio Choice and Liquidity Constraints: Can Small Information Costs Explain the Home Equity Bias Puzzle?

Alexander Michaelides

115: Portfolio Choice, Liquidity Constraints and Stock Market Mean Reversion

Alexander Michaelides

114: Parallelization and Performance of Portfolio Choice Models

A. Bilas and A. Michaelides A. Abdelkhalek (Alexander Michaelides)

113: Krylov Methods and Preconditioning in Computational Economics Problems

Mico Mrkaic and Giorgio Pauletto (Giorgio Pauletto and Mico Mrkaic)

112: Parametric Path Method: An alternative to Fair-Taylor and L-B-J for solving perfect foresight models

Kenneth L. Judd

111: Market making, price formation, and technical trading

Doyne Farmer, John Geanakoplos, and Paul Melby (J. Doyne Farmer)

110: An Anticipative Feedback Solution for Infinite-Horizon Linear-Quadratic Dynamic Stackelberg Games

Baoline Chen and Peter Zadrozny (Peter A. Zadrozny and Baoline Chen)

108: Volatility

Blake LeBaron

107: Simulated Specification Tests for Panel Multinomial Probit Models: Some Finite Sample Evidence

Jiahui Wang

106: A Gibbs Sampler for Mixed Logit Analysis of Differentiated Product Markets Using Aggregate Data

Charles J. Romeo

105: Market Efficiency and Learning in an Endogenously Unstable Environment

David Goldbaum

104: Holdup and the Evolution of Bargaining Conventions

Herbert Dawid and Bentley MacLeod (W. Bentley Macleod and Herbert Dawid)

103: A numerically computed DNS-curve in a two state capital accumulation model

Peter Kort

102: The Present Value Model of the Current Account Has Been Rejected: Round Up the Usual Subjects

James M. Nason and John H. Rogers (John H. Rogers and James Nason)

101: The use of Fuzzy Decision Tree Analysis in Monitoring a Minimum Wage

Keith Whitfield Malcolm Beynon

100: A Dynamic Model of Job Search Behavior over the Life Cycle with Empirical Applications

Hugo Benitez-Silva

99: Econometric analysis of the sequential probit model with an application to innovation surveys

Patrick Waelbroeck