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Computational Economics

1993 - 2017

Continuation of Computer Science in Economics & Management.

Current editor(s): Hans Amman

From:
Springer
Society for Computational Economics
Contact information at EDIRC.

Series data maintained by Sonal Shukla ().

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Volume 50, issue 3, 2017

Bayesian Analysis of Power-Transformed and Threshold GARCH Models: A Griddy-Gibbs Sampler Approach pp. 353-372 Downloads
Qiang Xia, Heung Wong, Jinshan Liu and Rubing Liang
A New Method For Dynamic Stock Clustering Based On Spectral Analysis pp. 373-392 Downloads
Zhaoyuan Li and Maozai Tian
Cowboying Stock Market Herds with Robot Traders pp. 393-423 Downloads
Jaqueson K. Galimberti, Nicolas Suhadolnik and Sergio Silva
Can Minorities Escape Wage Discrimination by Forming Firms? pp. 425-445 Downloads
James Fain
Performance of Tail Hedged Portfolio with Third Moment Variation Swap pp. 447-471 Downloads
Kyungsub Lee and Byoung Ki Seo
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems pp. 473-502 Downloads
Shinya Sugawara and Yasuhiro Omori
A Generalized Singular Value Decomposition Strategy for Estimating the Block Recursive Simultaneous Equations Model pp. 503-515 Downloads
Mircea I. Cosbuc, Cristian Gatu, Ana Colubi and Erricos John Kontoghiorghes
Uncertain Potential Output and Simple Rules in Small Open Economy pp. 517-531 Downloads
Guido Traficante

Volume 50, issue 2, 2017

LSM Algorithm for Pricing American Option Under Heston–Hull–White’s Stochastic Volatility Model pp. 173-187 Downloads
O. Samimi, Z. Mardani, S. Sharafpour and F. Mehrdoust
A Numerical Method to Approximate Multi-Asset Option Pricing Under Exponential Lévy Model pp. 189-205 Downloads
Leila Khodayari and Mojtaba Ranjbar
Dynamic and Asymmetric Contagion Reactions of Financial Markets During the Last Subprime Crisis pp. 207-230 Downloads
Wei Zhou
Contrarian Behavior, Information Networks and Heterogeneous Expectations in an Asset Pricing Model pp. 231-279 Downloads
Tomasz Makarewicz
A Practical, Accurate, Information Criterion for Nth Order Markov Processes pp. 281-324 Downloads
Sylvain Barde
Measuring and Testing Tail Dependence and Contagion Risk Between Major Stock Markets pp. 325-351 Downloads
EnDer Su

Volume 50, issue 1, 2017

Detection of Mispricing in the Black–Scholes PDE Using the Derivative-Free Nonlinear Kalman Filter pp. 1-20 Downloads
G. Rigatos and N. Zervos
WorkSim: A Calibrated Agent-Based Model of the Labor Market Accounting for Workers’ Stocks and Gross Flows pp. 21-68 Downloads
Olivier Goudet, Jean-Daniel Kant and Gérard Ballot
AdaBoost Models for Corporate Bankruptcy Prediction with Missing Data pp. 69-94 Downloads
Ligang Zhou and Kin Keung Lai
A Recursive Method for Solving a Climate–Economy Model: Value Function Iterations with Logarithmic Approximations pp. 95-110 Downloads
In Chang Hwang
Wavelets Analysis on Structural Model for Default Prediction pp. 111-140 Downloads
Lu Han and Ruihuan Ge
Online Portfolio Selection Strategy Based on Combining Experts’ Advice pp. 141-159 Downloads
Yong Zhang and Xingyu Yang
Finite Sample Critical Values of the Generalized KPSS Stationarity Test pp. 161-172 Downloads
Peter Sephton

Volume 49, issue 4, 2017

Parallel Optimization of Sparse Portfolios with AR-HMMs pp. 563-578 Downloads
I. Róbert Sipos, Attila Ceffer and János Levendovszky
A Non-iterative Bayesian Sampling Algorithm for Linear Regression Models with Scale Mixtures of Normal Distributions pp. 579-597 Downloads
Fengkai Yang and Haijing Yuan
Adaptive Quadrature for Maximum Likelihood Estimation of a Class of Dynamic Latent Variable Models pp. 599-622 Downloads
Silvia Cagnone and Francesco Bartolucci
The Comparison of Power and Optimization Algorithms on Unit Root Testing with Smooth Transition pp. 623-651 Downloads
Tolga Omay and Furkan Emirmahmutoglu
Simple Agents, Intelligent Markets pp. 653-675 Downloads
Karim Jamal, Michael Maier and Shyam Sunder
Forecasting Bank Failure: Base Learners, Ensembles and Hybrid Ensembles pp. 677-686 Downloads
Aykut Ekinci and Halil İbrahim Erdal

Volume 49, issue 3, 2017

Algorithmic Representations of Managerial Search Behavior pp. 343-361 Downloads
William M. Tracy, Dmitri G. Markovitch, Lois S. Peters, B. V. Phani and Deepu Philip
A note on the Estimation of a Gamma-Variance Process: Learning from a Failure pp. 363-385 Downloads
Gian P. Cervellera and Marco P. Tucci
Extremal Pure Strategies and Monotonicity in Repeated Games pp. 387-404 Downloads
Kimmo Berg
Searching for Inefficiencies in Exchange Rate Dynamics pp. 405-432 Downloads
Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun
Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem pp. 433-458 Downloads
Fei Cong and Cornelis W. Oosterlee
How Would Bilateral Trade Retaliation Affect China? pp. 459-479 Downloads
Chunding Li
Robust Monte Carlo Method for R&D Real Options Valuation pp. 481-498 Downloads
Marta Biancardi and Giovanni Villani
Numerical Modeling of Dependent Credit Rating Transitions with Asynchronously Moving Industries pp. 499-516 Downloads
D. V. Boreiko, Y. M. Kaniovski and G. Ch. Pflug

Volume 49, issue 2, 2017

Game Theoretic Modeling of Economic Systems and the European Debt Crisis pp. 177-226 Downloads
Jonathan Welburn and Kjell Hausken
Global Banking on the Financial Network Modelling: Sectorial Analysis pp. 227-253 Downloads
Fathin Faizah Said
Permanent Breaks and Temporary Shocks in a Time Series pp. 255-270 Downloads
Yoonsuk Lee and B Brorsen
A New Stable Local Radial Basis Function Approach for Option Pricing pp. 271-288 Downloads
A. Golbabai and E. Mohebianfar
Debt Portfolio Management for an Oil Company Under Oil Price Uncertainty pp. 289-306 Downloads
Vladimir Korotin, Arseniy Ulchenkov and Rustam Islamov
Endogenous Demand and Demanding Consumers: A Computational Approach pp. 307-323 Downloads
Carlos M. Fernández-Márquez, Francisco Fatas-Villafranca and Francisco J. Vázquez
An Effective Computational Model for Bankruptcy Prediction Using Kernel Extreme Learning Machine Approach pp. 325-341 Downloads
Dong Zhao, Chunyu Huang, Yan Wei, Fanhua Yu, Mingjing Wang and Huiling Chen

Volume 49, issue 1, 2017

A Toolkit for Value Function Iteration pp. 1-15 Downloads
Robert Kirkby
Pessimistic Optimal Choice for Risk-Averse Agents: The Continuous-Time Limit pp. 17-65 Downloads
Paolo Vitale
Superstars Power, Mining the Paths to Stars’ Persuasion pp. 67-81 Downloads
Ana Suarez-Vazquez and Elena Montañés-Roces
Forecasting Home Sales in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis pp. 83-97 Downloads
Hossein Hassani, Zara Ghodsi, Rangan Gupta and Mawuli Segnon
Applying the Hybrid Model of EMD, PSR, and ELM to Exchange Rates Forecasting pp. 99-116 Downloads
Heng-Li Yang and Han-Chou Lin
Convergence of Discretized Value Function Iteration pp. 117-153 Downloads
Robert Kirkby
On Asymmetric Market Model with Heteroskedasticity and Quantile Regression pp. 155-174 Downloads
Cathy W. S. Chen, Muyi Li, Nga T. H. Nguyen and Songsak Sriboonchitta
A Rejoinder to Notes on a ‘Constructive Proof of the Existence of a Collateral Equilibrium’ pp. 175-176 Downloads
Wei Ma
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