International Journal of Computational Economics and Econometrics

2009 - 2026

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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

Volume 3, issue 1/2, 2013

The Central Bank's endogenous and non-linear credibility in a dynamic stochastic general equilibrium model: theory and a small computational simulation pp. 2-13

Ricardo Ramalhete Moreira

A boundary analysis of ICT firms on Thailand Stock Market: a maximum entropy bootstrap approach and highest density regions (HDR) approach pp. 14-26

Chukiat Chaiboonsri and Prasert Chaitip

Phillips curve inflation and unemployment: an empirical research for Greece pp. 27-42

Chaido Dritsaki and Melina Dritsaki

The long run dynamic of the Dutch disease phenomenon: a SVAR approach pp. 43-63

Fakhri Issaoui, Talel Boufateh and Ghassen El Montasser

Indigenous R%D effectiveness, technology transfer and productivity growth: evidence from the hi-tech industry of China pp. 64-82

Ahmar Qazi and Zhao Yulin

Forecasting the insolvency of US banks using support vector machines (SVMs) based on local learning feature selection pp. 83-90

Theophilos Papadimitriou, Periklis Gogas, Vasilios Plakandaras and John C. Mourmouris

A quantitative approach to Faber's tactical asset allocation pp. 91-101

Stefano Marmi, Claudio Pacati, Roberto Renò and Wiston Adrián Risso

Volume 2, issue 3/4, 2012

Income distribution and majority patterns pp. 155-178

Thomas Kämpke

Linear and non-linear unit root testing in the presence of heavy-tailed GARCH: a finite-sample simulation analysis pp. 179-196

Steve Cook

Modelling and decomposing price volatility in the Greek meat market pp. 197-222

Anthony Rezitis

Stock market volatility and fluctuations in the price-earnings ratio pp. 223-237

Dimitrios Koutmos

Volume 2, issue 2, 2011

Industry-specific determinants of environmental indicators pp. 75-94

Michael Getzner

Choosing an investment strategy by stochastic control pp. 95-104

Amaresh Das

Econometrics and computational economics: an exercise in compatibility pp. 105-114

Todd Feldman and Yi Sun

Equilibrium in Nash differential games via Lyapunov-type iterations pp. 115-122

Ivan Ganchev Ivanov and Boyan Mihailov Lomev

Inference for structural equation modelling on dependent populations pp. 123-153

Savas Papadopoulos

Volume 2, issue 1, 2011

A computational model of politicians–bureaucracy relationship in a competitively authoritarian environment pp. 1-23

Vahe Lskavyan and Vardges Melkonian

Clustering the changing nature of currency crises in emerging markets: an exploration with self-organising maps pp. 24-46

Peter Sarlin

Three different measures of sample skewness and kurtosis and their effects on the Jarque–Bera test for normality pp. 47-62

Panagiotis Mantalos

Construction properties of equity fund of funds: a preliminary note from the Greek market pp. 63-73

Aristeidis Samitas, Eleni Stavridou and Ioannis Asimakopoulos

Volume 1, issue 3/4, 2010

Theory and methodology for dynamic panel data: tested by simulations based on financial data pp. 239-253

Savas Papadopoulos

Vector autoregressive order selection and forecasting via the modified divergence information criterion pp. 254-277

Panagiotis Mantalos, Kyriacos Mattheou and Alex Karagrigoriou

Variable-ordering induced problems of impulse-response analysis and other difficulties: the dividend policy of Austrian firms pp. 278-293

Tobias Basse and Sebastian Reddemann

Testing for market power in the Spanish meat market: price transmission elasticity and asymmetry using econometric models pp. 294-308

Jordi Guillen and Ramon Franquesa

Revisiting deterministic extended-path: a simple and accurate solution method for macroeconomic models pp. 309-316

David Love

Forecasting volatility: double averaging and weighted medians pp. 317-326

Erhard Reschenhofer

The effect of spillover on the Johansen tests for cointegration: a Monte Carlo analysis pp. 327-342

Panagiotis Mantalos, Kristofer Månsson and Ghazi Shukur

A test of statistical independence under uncertainty pp. 343-345

Moawia Alghalith

Volume 1, issue 2, 2009

Monopolisation of triopoly – revisited pp. 113-125

Jacek Prokop

Optimal investment in immobile human capital in an economic and monetary union pp. 126-147

Michal Konopczynski

Business cycles in Bulgaria and the Baltic countries: an RBC approach pp. 148-170

Aleksandar Vasilev

A new macroeconometric approach to the NATREX model of the equilibrium real exchange rate pp. 171-194

Nedim Dikmen

A comparison of alternative parametric efficiency estimates using rank-sum test statistic pp. 195-209

Roxani Karagiannis and Kostas Velentzas

A note on impact of new economic reforms on the elasticity of substitution in Indian industries: alternative measures pp. 210-224

Bhupendra Singh and Akhilesh Sharma

Risk process estimation techniques used in the optimisation of financial resources of an insurance company pp. 225-237

Iulian Mircea, Radu Serban and Mihaela Covrig

Volume 1, issue 1, 2009

Average treatment effect estimators – inefficiency – minimisation of variance pp. 1-8

Athanasios G. Tsagkanos

VAR model training using particle swarm optimisation: evidence from macro-finance data pp. 9-22

George Filis, Kyriakos Kentzoglanakis and Christos Floros

Bank efficiency and share prices in China: empirical evidence from a three-stage banking model pp. 23-47

Fadzlan Sufian and Muhamed Zulkhibri

Size and power properties of tests of the martingale difference hypothesis: a Monte Carlo study pp. 48-63

Lijun Fan and Terence C. Mills

Forecasting tourist arrivals to Balearic Islands using genetic programming pp. 64-75

Marcos Alvarez-Diaz, Josep Mateu-Sbert and Jaume Rossello

Chaos theory: forecasting the freight rate of an oil tanker pp. 76-88

Eleftherios I. Thalassinos, Mike P. Hanias, Panayiotis G. Curtis and Yannis E. Thalassinos

Is PEAD a consequence of the presence of the cognitive bias of self-attribution in investors' expectations regarding permanent earnings? Evidence from Athens Stock Exchange pp. 89-110

Stavros Degiannakis and George Giannopoulos