International Journal of Computational Economics and Econometrics

2009 - 2025

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Volume 6, issue 4, 2016

Best statistic profile: an efficient parameter tuning algorithm for systematic trading methods pp. 337-350

Dang Minh Quan

The world distribution of military spending: is there a convergence? pp. 351-365

Bansi Sawhney, Emmanuel Anoruo and William R. DiPietro

Cellular automata: a decision support system for stock market trading pp. 366-378

Tessy Mathew, U. Srinivasa Rao and L. Jeganathan

Commodity prices volatility and macroeconomic performance: testing for a commodity-exporting country pp. 379-389

Ricardo Ramalhete Moreira

An agent-based prediction market: a case study of xFuture in Taiwan pp. 390-412

Bin-Tzong Chie and Chi-Ling Pai

Limit your applications. Dealing with congested markets in the matching procedure pp. 413-431

Janine Balter, Michela Rancan and Olena Senyuta

Implementing a computable general equilibrium model with heterogenous firms and endogenous productivity pp. 432-451

Roberto Roson and Kazuhiko Oyamada

Volume 6, issue 3, 2016

Job satisfaction as a unified mechanism for agent behaviour in a labour market with referral hiring pp. 213-238

Alexander Tarvid

On the influence of nodes' characteristic in inter-organisational innovation networks structure pp. 239-257

Giovanna Ferraro, Antonio Iovanella and Gianluca Pratesi

Why the rich become richer: insights from an agent-based model pp. 258-275

Saul Desiderio and Siyan Chen

The relationship between network ranking and research performance: an application to the Italian national council of research pp. 276-293

Greta Falavigna and Alessandro Manello

Network dependence in the euro area money market pp. 294-314

Gerhard Rünstler

The role of personal networks in the labour insertion of weak jobseekers pp. 315-335

Valentina Lamonica, Elena Ragazzi, Elena Santanera and Lisa Sella

Volume 6, issue 2, 2016

Crisis periods and contagion effects in the CEE stock markets: the influence of the 2007 US subprime crisis pp. 124-137

Joanna Olbrys and Elzbieta Majewska

Dependence modelling of Malaysian Ringgit (MYR) and Thai Baht (THB): the Markov switching model with dynamic copula approach (DCA) and bivariate extreme value approach pp. 138-155

Prasert Chaitip and Chukiat Chaiboonsri

ICT equipment demand and AEC social-economic mechanisms using PCHVAR(x)-approach and PBVAR(X)-approach pp. 156-175

Chukiat Chaiboonsri and Prasert Chaitip

Modelling financial type 2b globalisation and its effects on trade, investments and unemployment pp. 176-191

Bruno G. Rüttimann

Credit markets and financial crisis in the USA pp. 192-209

Hassen Chtourou

Volume 6, issue 1, 2016

Viability prediction for retail business units using data mining techniques: a practical application in the Greek pharmaceutical sector pp. 1-12

Georgios Marinakos and Sophia Daskalaki

Sequential pairwise trading: convergence and welfare implications pp. 13-43

Maria-Augusta Miceli, Federico Cecconi and Giovanni Cerulli

Multiple local optima for seemingly unrelated regression models pp. 44-55

Norman Womer

Estimation comparison of the capacity utilisation at constant and non-constant returns to scale: the case of the Tunisian manufacturing sector pp. 56-70

Helali Kamel, Maha Kalai and Mohamed Siala

Maximum likelihood estimation of covariance matrices with constraints on the efficient frontier pp. 71-92

Hilal Yilmaz and Neil D. Pearson

Revealing correlations between structure and innovation attitude in inter-organisational innovation networks pp. 93-113

Giovanna Ferraro and Antonio Iovanella

On the Durbin-Watson statistic based on a Z-test in large samples pp. 114-121

Mei-Yu Lee

Volume 5, issue 4, 2015

International investment positions and risk-sharing: an empirical analysis on the coordinated portfolio investment survey pp. 364-391

Filippo Maria Pericoli, Eleonora Pierucci and Luigi Ventura

The US home mortgage market during the financial crisis pp. 392-405

Hassen Chtourou

Credit risk and universal banking: evidence from the banking industry in Ghana pp. 406-429

Franklin Amuakwa-Mensah, George Marbuah, Victoria N. Sam and Alfred Barimah

Risk-management criteria in the Latin-American stock markets: an assessment with a TGARCH model with a skewed normal distribution and autoregressive conditional asymmetry pp. 430-450

Arturo Lorenzo-Valdés and Antonio Ruíz-Porras

Historical and risk-neutral estimation in a two factors stochastic volatility model for oil markets pp. 451-479

Gaetano Fileccia and Carlo Sgarra

Volume 5, issue 3, 2015

Uni- vs. bi-directional kinetic exchange models pp. 213-219

Els Heinsalu and Marco Patriarca

Simulating demand-side effects on innovation pp. 220-236

Matthias Mueller, Benjamin Schrempf and Andreas Pyka

A computational experiment on elicitation task bias in time preference pp. 237-256

Oksana Tokarchuk and Roberto Gabriele

The time profile approach to production with an application to gestation lags pp. 257-271

Fabrizio Patriarca and Luca Salvati

Univariate forecasting of Indian exchange rates: a comparison pp. 272-288

Biswajit Maitra

Asymptotic forecasting error evaluation for estimated temporally aggregated linear processes pp. 289-318

Lyudmila Grigoryeva and Juan-Pablo Ortega

Sectoral specialisation in an evolutionary growth model with a Kaldorian flavour pp. 319-344

André Lorentz

Macroeconometric models in practice: the Istat experience pp. 345-360

Fabio Bacchini, Alessandro Girardi and Carmine Pappalardo

Volume 5, issue 2, 2015

Dynamics of Greece's unemployment rate: effect of the economic crisis and forecasting models pp. 127-142

Christos Katris

Valuing managerial flexibility: an application of real option valuation in time of economic transition pp. 143-163

Andrejs Cirjevskis and Edmunds Baduns

Input shadow prices and overall efficiency of vegetable farms in Uzbekistan pp. 164-182

Aziz A. Karimov

Markov-modulated, multi-threshold dual risk model pp. 183-198

G. Shija and M.J. Jacob

Forecasting mortgage defaults: evidence from UK portfolio-level data pp. 199-210

Alexios Makropoulos, Anastasios Savvopoulos and Peter L. Jones

Volume 5, issue 1, 2015

Differentiated marketing strategies between strategic groups in Greek food industry pp. 1-11

Ourania Notta

Moral hazard contracting and credit rationing in opaque credit markets pp. 12-34

Xin He

Determinants of non-performing loans in Ghana banking industry pp. 35-54

Franklin Amuakwa-Mensah and Angela Boakye-Adjei

GCC countries and the nexus between exchange rate and oil price: What wavelet decomposition reveals? pp. 55-70

Jamal Bouoiyour and Refk Selmi

The effects of exchange rate volatility on sectoral exports evidence from Sweden, UK, and Germany pp. 71-107

Dimitris Serenis and Nicholas Tsounis

Evolution of global inequality in human well-being: a sensitivity analysis pp. 108-125

Vanesa Jordá, Carmen Trueba and José María Sarabia

Volume 4, issue 3/4, 2014

Sign tests for unit root and change in persistence pp. 269-287

Marilena Furno

Priors and Bayesian parameter estimation of affine term structure models pp. 288-319

Leopold Sögner

Inflation, output gap, and money in Malaysia: evidence from wavelet coherence pp. 320-338

Olaolu Olayeni, Aviral Tiwari, Reza Sherafatian-Jahromi and Olagbaju Ifeolu Oladiran

Heterogeneity, interaction and emergence: effects of composition pp. 339-361

Simone Landini and Mauro Gallegati

Numerical approximation of free horizon optimal control problems pp. 362-371

Sibel Sirakaya

Prediction of cyclic and trend frequencies in time series using the Hilbert-Huang transform pp. 372-412

Hugh L. Christensen and Simon J. Godsill

Volume 4, issue 1/2, 2014

Forecasting the real price of oil using online search data pp. 4-31

Dean Fantazzini and Nikita Fomichev

Modelling financial returns and portfolio construction for the Russian stock market pp. 32-81

Alexey Balaev

What drives the Russian stock market: world market and political shocks pp. 82-95

Anatoly Peresetsky

Time aspects of a fund manager appraisal pp. 96-111

Evgeny A. Ivin, Alexey Kurbatskiy and Alexandr V. Slovesnov

An empirical analysis of growth and consolidation in banking: a Markovian approach for the case of Russia pp. 112-129

Henry Penikas and Anastasia Petrova

Statistical analysis and econometric modelling of the creditworthiness of non-financial companies pp. 130-147

Vladimir I. Malugin, Natalia V. Hryn and Aleksandr Y. Novopoltsev

Are commodity price shocks important? A Bayesian estimation of a DSGE model for Russia pp. 148-180

Oxana Malakhovskaya and Alexey Minabutdinov

How Russian and Ukrainian citizens perceive the role of immigrants in their country: a comparison with European residents pp. 181-206

Olga Demidova

The intertemporal general equilibrium model of the economy with the product, money and stock markets pp. 207-233

Nikolay Pilnik, I.G. Pospelov, Stanislav Radionov and A.A. Zhukova

Technology of development and implementation of realistic (country-specific) models of intertemporal equilibrium pp. 234-253

M.A. Khokhlov, I.G. Pospelov and L.Ya. Pospelova

Are inflation expectations in Russia forward-looking? pp. 254-268

Anna Sokolova