Journal of Economic Dynamics and Control

1979 - 2025

Current editor(s): J. Bullard, C. Chiarella, H. Dawid, C. H. Hommes, P. Klein and C. Otrok

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Volume 27, issue 11-12, 2003

Computing in economics and finance pp. 1939-1939

Michel Juillard

Global dynamics in macroeconomics: an overlapping generations example pp. 1941-1959

Pedro Gomis-Porqueras and Alex Haro

A computational general equilibrium model with vintage capital pp. 1961-1991

Loic Cadiou, Stephane Dees and Jean-Pierre Laffargue

Do adjustment costs explain investment-cash flow insensitivity? pp. 1993-2006

Sangeeta Pratap

Information technologies, embodiment and growth pp. 2007-2034

Raouf Boucekkine and David de la Croix

Mitigation of the Lucas critique with stochastic control methods pp. 2035-2057

Hans Amman and David Kendrick

Monetary policy rules for an open economy pp. 2059-2094

Nicoletta Batini, Richard Harrison and Stephen Millard

Small dimension PDE for discrete Asian options pp. 2095-2114

Eric Benhamou and Alexandre Duguet

Local trade networks and spatially persistent unemployment pp. 2115-2149

Nienke Oomes

Inferring strategies from observed actions: a nonparametric, binary tree classification approach pp. 2151-2170

Jim Engle-Warnick

Gaining the competitive edge using internal and external spillovers: a dynamic analysis pp. 2171-2193

Gian Italo Bischi, Herbert Dawid and Michael Kopel

Competitive dynamics of web sites pp. 2195-2206

Sebastian M. Maurer and Bernardo A. Huberman

Learning competitive pricing strategies by multi-agent reinforcement learning pp. 2207-2218

Erich Kutschinski, Thomas Uthmann and Daniel Polani

Numerical issues in threshold autoregressive modeling of time series pp. 2219-2242

Jerry Coakley, Ana-Maria Fuertes and Maria-Teresa Perez

Nonlinear mean reversion in the term structure of interest rates pp. 2243-2265

Byeongseon Seo

Volume 27, issue 11, 2003

Computing in economics and finance pp. 1939-1939

Michel Juillard

Global dynamics in macroeconomics: an overlapping generations example pp. 1941-1959

Pedro Gomis-Porqueras and Alex Haro

A computational general equilibrium model with vintage capital pp. 1961-1991

Loı̈c Cadiou, Stephane Dees and Jean-Pierre Laffargue

Do adjustment costs explain investment-cash flow insensitivity? pp. 1993-2006

Sangeeta Pratap

Information technologies, embodiment and growth pp. 2007-2034

Raouf Boucekkine and David de la Croix

Mitigation of the Lucas critique with stochastic control methods pp. 2035-2057

Hans Amman and David Kendrick

Monetary policy rules for an open economy pp. 2059-2094

Nicoletta Batini, Richard Harrison and Stephen Millard

Small dimension PDE for discrete Asian options pp. 2095-2114

Eric Benhamou and Alexandre Duguet

Local trade networks and spatially persistent unemployment pp. 2115-2149

Nienke Oomes

Inferring strategies from observed actions: a nonparametric, binary tree classification approach pp. 2151-2170

Jim Engle-Warnick

Gaining the competitive edge using internal and external spillovers: a dynamic analysis pp. 2171-2193

Gian Italo Bischi, H. Dawid and Michael Kopel

Competitive dynamics of web sites pp. 2195-2206

Sebastian M. Maurer and Bernardo A. Huberman

Learning competitive pricing strategies by multi-agent reinforcement learning pp. 2207-2218

Erich Kutschinski, Thomas Uthmann and Daniel Polani

Numerical issues in threshold autoregressive modeling of time series pp. 2219-2242

Jerry Coakley, Ana-Maria Fuertes and Marı́a-Teresa Pérez

Nonlinear mean reversion in the term structure of interest rates pp. 2243-2265

Byeongseon Seo

Volume 27, issue 10, 2003

Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements pp. 1699-1737

Eric Jondeau and Michael Rockinger

User's guide pp. 1739-1742

Eric Jondeau and Michael Rockinger

Stochastic equilibrium: learning by exponential smoothing pp. 1743-1770

Klaus Potzelberger and Leopold Sogner

A boundary crossing model of counterparty risk pp. 1771-1799

Kian Esteghamat

Two-factor convertible bonds valuation using the method of characteristics/finite elements pp. 1801-1831

Giovanni Barone-Adesi, Ana Bermudez and John Hatgioannides

Saddle-point calculation for constrained finite Markov chains pp. 1833-1853

E. Gomez-Ramirez, K. Najim and A. S. Poznyak

Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rule pp. 1855-1879

Diego Garcia

Optimal growth with decreasing marginal impatience pp. 1881-1898

Mausumi Das

Why countries with the same technology and preferences can have different growth rates pp. 1899-1916

Jacek Krawczyk and Koji Shimomura

Stability, chaos and multiple attractors: a single agent makes a difference pp. 1917-1938

Tamotsu Onozaki, Gernot Sieg and Masanori Yokoo

Volume 27, issue 9, 2003

The speed of convergence and alternative government financing pp. 1517-1531

Yoichi Gokan

Skiba points and heteroclinic bifurcations, with applications to the shallow lake system pp. 1533-1561

Florian Wagener

Reevaluation and renegotiation of climate change coalitions--a sequential closed-loop game approach pp. 1563-1594

Zili Yang

Price stability vs. output stability: tales of federal reserve administrations pp. 1595-1610

Umit Ozlale

Uncertain potential output: implications for monetary policy pp. 1611-1638

Michael Ehrmann and Frank Smets

Taxation and the intergenerational transmission of human capital pp. 1639-1662

Lutz Hendricks

Solving the real business cycles model of small-open economies by a sample-independent approach pp. 1663-1679

Wen-Ya Chang, Hsiu-Yun Lee and Yu-Lin Wang

A comparison of two business cycle dating methods pp. 1681-1690

Don Harding and Adrian Pagan

Comment on "A comparison of two business cycle dating methods" pp. 1691-1693

James Hamilton

Rejoinder to James Hamilton pp. 1695-1698

Don Harding and Adrian Pagan

Volume 27, issue 8, 2003

The comparative dynamics of closed-loop controls for discounted infinite horizon optimal control problems pp. 1335-1365

Michael Caputo

On environmental Kuznets curves arising from stock externalities pp. 1367-1390

David Kelly

Robust parameter estimation for asset price models with Markov modulated volatilities pp. 1391-1409

R. J. Elliott, W. P. Malcolm and Allanus H. Tsoi

On the economics of forest vintages pp. 1411-1435

Seppo Salo and Olli Tahvonen

Learning with bounded memory in stochastic models pp. 1437-1457

Seppo Honkapohja and Kaushik Mitra

Higher education subsidies and heterogeneity: a dynamic analysis pp. 1459-1502

Elizabeth Caucutt and Krishna Kumar

On-line computation of Stackelberg equilibria with synchronous parallel genetic algorithms pp. 1503-1515

Nedim M. Alemdar and Sibel Sirakaya

Volume 27, issue 7, 2003

Dynamic asset pricing with non-redundant forwards pp. 1163-1180

Abraham Lioui and Patrice Poncet

Estimation and control of an optimization-based model with sticky prices and wages pp. 1181-1215

Jeffery D. Amato and Thomas Laubach

The division of labor and the growth of government pp. 1217-1235

Lewis S. Davis

On the profitability of production perturbations in a dynamic natural resource oligopoly pp. 1237-1252

Hassan Benchekroun and Gérard Gaudet

A two-person dynamic equilibrium under ambiguity pp. 1253-1288

Larry Epstein and Jianjun Miao

The stochastic turnpike property without uniformity in convex aggregate growth models pp. 1289-1315

Sumit Joshi

Computing observation weights for signal extraction and filtering pp. 1317-1333

Siem Jan Koopman and Andrew Harvey

Volume 27, issue 6, 2003

High-performance computing for financial planning pp. 907-908

Stavros Zenios

Foreign exchange trading models and market behavior pp. 909-935

Ramazan Gencay, Michel Dacorogna, Richard Olsen and Olivier Pictet

The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach pp. 937-969

Yesim Tokat, Svetlozar T. Rachev and Eduardo S. Schwartz

Monte Carlo computation of optimal portfolios in complete markets pp. 971-986

Jaksa Cvitanic, Levon Goukasian and Fernando Zapatero

Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation pp. 987-1011

Riccardo Cesari and David Cremonini

On-line portfolio selection using stochastic programming pp. 1013-1043

Alexei A. Gaivoronski and Fabio Stella

Hedging options under transaction costs and stochastic volatility pp. 1045-1068

Jacek Gondzio, Roy Kouwenberg and Ton Vorst

Retirement saving with contribution payments and labor income as a benchmark for investments pp. 1069-1097

Arjan Berkelaar and Roy Kouwenberg

Back-testing the performance of an actively managed option portfolio at the Swedish Stock Market, 1990-1999 pp. 1099-1112

Jorgen Blomvall and Per Olov Lindberg

A nonparametric model for analysis of the EURO bond market pp. 1113-1131

Jozsef Abaffy, Marida Bertocchi, Jitka Dupacova, Rosella Giacometti, Marie Huskova and Vittorio Moriggia

An object-oriented framework for valuing shout options on high-performance computer architectures pp. 1133-1161

H. Windcliff, K. R. Vetzal, P. A. Forsyth, A. Verma and T. F. Coleman

Volume 27, issue 5, 2003

Option prices under Bayesian learning: implied volatility dynamics and predictive densities pp. 717-769

Massimo Guidolin and Allan Timmermann

Stages of growth in economic development pp. 771-800

Michal Kejak

Channel coordination over time: incentive equilibria and credibility pp. 801-822

Steffen Jorgensen and Georges Zaccour

Dynamics of a household norm in female labour supply pp. 823-841

Maarten Vendrik

Exact solution of asset pricing models with arbitrary shock distributions pp. 843-851

Mike Tsionas

Intellectual property rights protection and endogenous economic growth pp. 853-873

Yum K. Kwan and Edwin Lai

Dynamic production teams with strategic behavior pp. 875-905

Michele Breton, Pascal St-Amour and Désiré Vencatachellum

Volume 27, issue 4, 2003

Functional equivalence between intertemporal and multisectoral investment adjustment costs pp. 533-549

Jinill Kim

Optimal transition to backstop substitutes for nonrenewable resources pp. 551-572

Yacov Tsur and Amos Zemel

Profits, markups and entry: fiscal policy in an open economy pp. 573-597

Javier Coto-Martinez and Huw Dixon

The general instability of balanced paths in endogenous growth models: the role of transversality conditions pp. 599-618

María Pilar Martínez-García

Real options and preemption under incomplete information pp. 619-643

Bart Lambrecht and William Perraudin

Portable random number generators pp. 645-650

Gerald Dwyer and K. B. Williams

Forward trading and storage in a Cournot duopoly pp. 651-665

Henry Thille

Utility based option evaluation with proportional transaction costs pp. 667-700

Anders Damgaard

A DNS-curve in a two-state capital accumulation model: a numerical analysis pp. 701-716

Josef L. Haunschmied, Peter Kort, Richard F. Hartl and Gustav Feichtinger

Volume 27, issue 3, 2003

Calculating short-run adjustments: Sensitivity to non-linearities in a representative agent framework pp. 357-379

Peter J. Stemp and Ric D. Herbert

Time-consistent Shapley value allocation of pollution cost reduction pp. 381-398

Leon Petrosjan and Georges Zaccour

Consumption asset pricing with stable shocks--exploring a solution and its implications for mean equity returns pp. 399-421

Prasad Bidarkota and J. Huston McCulloch

Quasi-equilibrium in economies with infinite dimensional commodity spaces: a truncation approach pp. 423-444

Gerard van der Laan and Cees Withagen

A model of trickle-down through learning pp. 445-466

Keith Blackburn and Niloy Bose

Investment and dividends under irreversibility and financial constraints pp. 467-502

Richard Holt

Dynamics of beliefs and learning under aL-processes -- the heterogeneous case pp. 503-531

Carl Chiarella and Xuezhong (Tony) He

Volume 27, issue 2, 2002

Dynamic Laffer curves pp. 181-206

Alfonso Novales and Jesus Ruiz

Human capital and the switch from agriculture to industry pp. 207-242

Robert Tamura

Optimal tax depreciation under a progressive tax system pp. 243-269

Jacco L. Wielhouwer, Anja De Waegenaere and Peter Kort

Indeterminacy in a dynamic small open economy pp. 271-281

Kazuo Nishimura and Koji Shimomura

On infinite-horizon minimum-cost hedging under cone constraints pp. 283-301

Kevin Huang

Testing for hysteresis against nonlinear alternatives pp. 303-327

Andrew Hughes Hallett and Laura Piscitelli

Real options with constant relative risk aversion pp. 329-355

Vicky Henderson and David G. Hobson

Volume 27, issue 1, 2002

The economic determinants of technology shocks in a real business cycle model pp. 1-28

Klaus Wälde

Could Prometheus be bound again? A contribution to the convergence controversy pp. 29-50

Nicola Cetorelli

A differential game approach to investment in product differentiation pp. 51-62

Roberto Cellini and Luca Lambertini

Local convergence properties of a cobweb model with rationally heterogeneous expectations pp. 63-85

William Branch

Optimal learning and experimentation in bandit problems pp. 87-108

Monica Brezzi and Tze Leung Lai

Efficiency rents of pumped-storage plants and their uses for operation and investment decisions pp. 109-142

Anthony Horsley and Andrew Wrobel

Welfare-improving debt policy under monopolistic competition pp. 143-156

Partha Sen

Long-term risk management of nuclear waste: a real options approach pp. 157-180

Henri Loubergé, Stephane Villeneuve and Marc Chesney