Computing in Economics and Finance 2005

from Society for Computational Economics
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257: Emergence in multi-agent systems:Cognitive hierarchy, detection, and complexity reduction

Jean Louis Dessalles and Denis Phan

254: Multi-Step Perturbation Solution of Nonlinear Rational Expectations Models

Baoline Chen and Peter A. Zadrozny

253: UK Real-time Macro Data Characteristics

Shaun P. Vahey and Tony Garratt

252: Trend and Cycles: A New Approach and Explanations of Some Old Puzzles

Tatsuma Wada and Pierre Perron

251: Demand Uncertainty and employment: A cross-country empirical examination

J-F Piferini

250: Do so-called multivariate filters have better revision properties? An empirical analysis

L. Christopher Plantier and Ozer Karagedikli

249: An Interpretation of Fluctuating Macro Policies

Eric Leeper and Troy Davig

247: When do open economy rules perform badly? Identifying fault tolerant monetary policy

Kirdan Lees

246: What do robust policies look like for open economy inflation targeters?

Kirdan Lees

245: Value versus price of an asset: is an expected utility representation possible?

Emmanuel Haven

244: Heterogeneity, Profitability and Autocorrelations

Youwei Li and Xuezhong He

243: Analytical solutions to the generalized Black-Scholes PDE with the help of an adiabatic approximation to the Schrödinger PDE

Emmanuel Haven and Emmanuel

241: Bayesian Sampling Algorithms for the Sample Selection and Two-Part Models

Martijn van Hasselt

240: Learning and Endogenous Business Cycles in a Standard Growth Model

Laurent Cellarier

239: The Kalman Foundations of Adaptive Least Squares: Applications to Unemployment and Inflation

J. Huston McCulloch

238: General Equilibrium Implications of the Capital Adequacy Regulation for Banks

Roger Aliaga-Diaz

236: Learning-by-Doing, Organizational Forgetting, and Industry Dynanmics

David Besanko and Ulrich Doraszelski

235: Forecasting with the New-Keynesian Model: An Experiment with Canadian Data

Ali Dib and Kevin Moran

234: Study of Nonlinearities in the Dynamics of Exchange Rates: Is There Any Evidence of Chaos?

Vitaliy Vandrovych

233: Dynamic analysis of an institutional conflict within the music industry

Oleg V. Pavlov

231: Mitigating the Tragedy of the Digital Commons: the Case of Unsolicited Commercial Email

Oleg V. Pavlov and Nigel Melville

229: Proprietary Income, Entrepreneurial Risk and the Predictability of U.S. Stock Returns

Mathias Hoffmann

228: Evolution with Individual and Social Learning in an Agent-Based Stock Market

Ryuichi YAMAMOTO

227: Pricing bonds in an incomplete market: Linear and Dynamic Programming approach

Arnab Sarkar and N. Hemachandra

226: Extracting expectations from currency option prices: a comparison of methods

Marian Micu

224: Portfolio Flows, Foreign Direct Investment, Crises

Merih A. Uctum and Remzi Uctum

223: Neural Networks for Extracting the Asset Price Dynamics Implicit in Market Prices of Stock Index Options

Ing-Chyuan Wu

222: Firm Structure, Search and Environmental Complexity

Nobuyuki Hanaki and Jason Barr

221: Alternative Characterizations of the European Continuous-Installment Option Valuation Problem

Ilir Roko and Pierangelo Ciurlia

220: Optimal Timing of Mark-to-Market for Contingent Credit Risk Control

Jiali Liao and Theodore V. Theodosopoulos

219: Estimating the Interest Rate Rule with Open Market Operations or Lump-Sum Transfers of Money

Filippo Ochinno and John Landon-Lane

217: SPECULATIVE STRATEGIES IN THE FOREIGN EXCHANGE MARKET BASED ON GENETIC PROGRAMMING PREDICTIONS

Marcos Alvarez-Diaz And Alberto Ãlvarez

216: Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach

Alfredo Ibáñez

215: Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index

Christoph Schleicher, Matthew Hurd and Mark Salmon

214: Common Trends and Common Cycles in Canadian Sectoral Output

Christoph Schleicher and Francisco Barillas

213: Environmental Taxation in Energy Sector - A Theoretical and Applied Analysis

Jian Zhang

212: Effects of oil price shocks on German business cycles

Tobias Zimmermann and Torsten Schmidt

211: Keynesian Dynamics and the Wage-Price Spiral:Estimating and Analyzing a Baseline Disequilibrium Approach

Willi Semmler, Pu Chen and Carl Chiarella

210: The Transition Process in China: a Theoretical and Empirical Study

C. Hsiao and Pu Chen (Cheng Hsiao and Chih-Ying Hsiao)

207: Bounded Rationality and the Elasticity Puzzle: What Can We Learn from the Agent-Based Computational Consumption Capital Asset Pricing Model?

Ke-Hung Lai, Shu-Heng Chen and Ya-Chi Huang

206: Bubbles, Can We Spot Them? Crashes, Can We Predict Them?

Gee Kwang Randolph Tan and Qin Xiao

205: The Scarring Effect of Recessions

Min Ouyang

203: Forecasting Practice: Decision Support System to Assist Judgmental Forecasting

Gauresh Rajadhyaksha and Abhijeet Dwivedi

202: Estimating the Stochastic Discount Factor without a Utility Function

Fabio Araujo and João Victor Issler

199: Asset Pricing and Loss Aversion

Willi Semmler and Lars Grüne

198: Uninsured Idiosyncratic Production Risk With Borrowing Constraints

Francisco Covas

196: The role of contracting schemes for the welfare costs of nominal rigidities

Matthias Paustian

194: Dominant Firms, Barriers to Entry Capital and Entry Dynamics

Willi Semmler and Mika Kato

193: A Numerical Dynamic Programming Algorithm for Optimal Learning Problems

Volker Wieland

192: Yes, Libor Models can capture Interest Rate Derivatives Skew: A Simple Modelling Approach

Eymen Errais and Fabio Mercurio