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 24, issue 11-12, 2000

Computational Aspects of Complex Securities pp. 1491-1497

Michael J. P. Selby

Binomial valuation of lookback options pp. 1499-1525

Simon Babbs

Option pricing and replication with transaction costs and dividends pp. 1527-1561

Stylianos Perrakis and Jean Lefoll

PDE methods for pricing barrier options pp. 1563-1590

R. Zvan, K. R. Vetzal and P. A. Forsyth

Robust min-max portfolio strategies for rival forecast and risk scenarios pp. 1591-1621

Berc Rustem, Robin G. Becker and Wolfgang Marty

Optimal portfolio policies with borrowing and shortsale constraints pp. 1623-1639

Lucie Tepla

Valuation and martingale properties of shadow prices: An exposition pp. 1641-1701

Lucien Foldes

Minimum-cost portfolio insurance pp. 1703-1719

C. D. Aliprantis, Donald Brown and Jan Werner

Approximating payoffs and pricing formulas pp. 1721-1746

Serge Darolles and Jean-Paul Laurent

Applications of randomized low discrepancy sequences to the valuation of complex securities pp. 1747-1782

Ken Seng Tan and Phelim P. Boyle

The valuation of American barrier options using the decomposition technique pp. 1783-1827

Bin Gao, Jingzhi Huang and Marti Subrahmanyam

Nonparametric estimation of American options' exercise boundaries and call prices pp. 1829-1857

Mark Broadie, Jerome Detemple, Eric Ghysels and Olivier Torres

On dynamic investment strategies pp. 1859-1880

John C. Cox and Hayne Leland

Volume 24, issue 10, 2000

Explaining bond returns in heterogeneous agent models: The importance of higher-order moments pp. 1381-1404

Harold Zhang

Using the generalized Schur form to solve a multivariate linear rational expectations model pp. 1405-1423

Paul Klein

Nonlinear impulse response functions pp. 1425-1446

Simon Potter

Seigniorage and conventional taxation with multiple exogenous shocks pp. 1447-1479

Reid W. Click

Some results for the comparative statics of steady states of higher-order discrete dynamic systems pp. 1481-1489

Raaj Sah

Volume 24, issue 9, 2000

Learning from the experience of others: Parameter uncertainty and economic growth in a model of creative destruction pp. 1285-1313

Peter Thompson

Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints pp. 1315-1343

Claus Munk

Multinationals' response to repatriation restrictions pp. 1345-1379

Jane Ihrig

Volume 24, issue 8, 2000

Risk sensitive asset allocation pp. 1145-1177

Tomasz R. Bielecki, Stanley R. Pliska and Michael Sherris

Algorithms for solving dynamic models with occasionally binding constraints pp. 1179-1232

Lawrence Christiano and Jonas Fisher

Dynamic employment and hours effects of government spending shocks pp. 1233-1263

Mingwei Yuan and Wenli Li

Can negotiations prevent fish wars? pp. 1265-1280

Harold Houba, Koos Sneek and Felix Vardy

Volume 24, issue 5-7, 2000

Whither nonlinear? pp. 663-678

William Brock

Agent-based computational finance: Suggested readings and early research pp. 679-702

Blake Lebaron

Martingales, nonlinearity, and chaos pp. 703-724

William Barnett and Apostolos Serletis

Expectational diversity in monetary economies pp. 725-759

William Brock and Patrick de Fontnouvelle

Heterogeneous beliefs and the non-linear cobweb model pp. 761-798

Jacob Goeree and Cars Hommes

Endogenous fluctuations in a simple asset pricing model with heterogeneous agents pp. 799-831

Andrea Gaunersdorfer

On information and market dynamics: The case of the U.S. beef market pp. 833-853

Jean-Paul Chavas

Analysis of global bifurcations in a market share attraction model pp. 855-879

Gian Italo Bischi, Laura Gardini and Michael Kopel

A discrete and symmetric price adjustment process on the simplex pp. 881-907

Jan Tuinstra

Chaotic dynamics in a two-dimensional overlapping generations model pp. 909-934

Masanori Yokoo

High order disequilibrium growth dynamics: Theoretical aspects and numerical features pp. 935-963

Carl Chiarella and Peter Flaschel

Differential savings, factor shares, and endogenous growth cycles pp. 965-980

Volker Bohm and Leo Kaas

Statistical properties of genetic learning in a model of exchange rate pp. 981-1005

Jasmina Arifovic and Ramazan Gencay

Adaptive learning of rational expectations using neural networks pp. 1007-1026

Maik Heinemann

Exponentially fading memory learning in forward-looking economic models pp. 1027-1046

Emilio Barucci

Computing equilibria in infinite-horizon finance economies: The case of one asset pp. 1047-1078

Kenneth Judd, Felix Kubler and Karl Schmedders

Risk and return in a dynamic general equilibrium model pp. 1079-1096

Levent Akdeniz

A solution method for consumption decisions in a dynamic stochastic general equilibrium model pp. 1097-1119

James Sefton

Critical debt and debt dynamics pp. 1121-1144

Willi Semmler and Malte Sieveking

Volume 24, issue 4, 2000

Learning the optimum as a Nash equilibrium pp. 483-499

Suheyla Ozyildirim and Nedim M. Alemdar

Learning by doing and the value of optimal experimentation pp. 501-534

Volker Wieland

On the solution of the linear rational expectations model with multiple lags pp. 535-559

Hugo Kruiniger

Optimal consumption of a divisible durable good pp. 561-613

Domenico Cuoco and Hong Liu

An analytic Riccati solution for two-target discrete-time control pp. 615-622

Douglas W. Mitchell

Surplus analysis for overlapping generations pp. 623-650

Joaquim Silvestre

Volume 24, issue 3, 2000

Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems pp. 325-346

Michael Binder and Mohammad Pesaran

Are German money market rates well behaved? pp. 347-360

Keith Cuthbertson, Simon Hayes and Dirk Nitzsche

An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets pp. 361-387

Mark Jensen

The production recipes approach to modeling technological innovation: An application to learning by doing pp. 389-450

Philip Auerswald, Stuart Kauffman, Jose Lobo and Karl Shell

Uncertainty aversion and rationality in games of perfect information pp. 451-482

Chenghu Ma

Volume 24, issue 2, 2000

Complementarity problems in GAMS and the PATH solver pp. 165-188

Michael C. Ferris and Todd S. Munson

Learning dynamics, genetic algorithms, and corporate takeovers pp. 189-217

Thomas Noe and Lynn Pi

On the investment-uncertainty relationship in a real options model pp. 219-225

Sudipto Sarkar

Public services, increasing returns, and equilibrium dynamics pp. 227-246

Junxi Zhang

On the transition from local regular to global irregular fluctuations pp. 247-272

Patrick Pintus, Duncan Sands and Robin de Vilder

Animal spirits, technology shocks and the business cycle pp. 273-295

Mark Weder

Optimal accumulation of pollution: Existence of limit cycles for the social optimum and the competitive equilibrium pp. 297-306

Franz Wirl

The dynamics of migration in the presence of chains pp. 307-323

Christian Helmenstein and Yuri Yegorov

Volume 24, issue 1, 2000

An illustration of the essential difference between individual and social learning, and its consequences for computational analyses pp. 1-19

Nicolaas Vriend

Efficient gradualism in intertemporal portfolios pp. 21-38

Ronald Balvers and Douglas W. Mitchell

Indeterminate growth paths and stability pp. 39-62

Thomas Russell and Aleksandar Zecevic

A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk pp. 63-95

Suleyman Basak

Endogenous fluctuations in an open economy with increasing returns to scale pp. 97-125

Marta Aloi, Huw Dixon and Teresa Lloyd-Braga

Empire building by corporate managers:: the corporation as a savings instrument pp. 127-142

Vesa Kanniainen

The dynamics of spatial pollution: The case of phosphorus runoff from agricultural land pp. 143-163

Renan Goetz and David Zilberman