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Computational Economics

1993 - 2020

Continuation of Computer Science in Economics & Management.

Current editor(s): Hans Amman

Society for Computational Economics
Contact information at EDIRC.

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Volume 55, issue 1, 2020

Increment Variance Reduction Techniques with an Application to Multi-name Credit Derivatives pp. 1-35 Downloads
Pierre Rostan, Alexandra Rostan and François-Éric Racicot
Estimating Non-stationary Common Factors: Implications for Risk Sharing pp. 37-60 Downloads
Francisco Corona, Pilar Poncela and Esther Ruiz
Invertibility and VAR Representations of Time-Varying Dynamic Stochastic General Equilibrium Models pp. 61-86 Downloads
Maddalena Cavicchioli
Estimation of STAR–GARCH Models with Iteratively Weighted Least Squares pp. 87-117 Downloads
Murat Midiliç
A Computational Method Based on the Moving Least-Squares Approach for Pricing Double Barrier Options in a Time-Fractional Black–Scholes Model pp. 119-141 Downloads
Ahmad Golbabai and Omid Nikan
Entropy and Efficiency of the ETF Market pp. 143-184 Downloads
Lucio Maria Calcagnile, Fulvio Corsi and Stefano Marmi
Static Hedges of Barrier Options Under Fast Mean-Reverting Stochastic Volatility pp. 185-210 Downloads
Jeonggyu Huh, Jaegi Jeon and Yong-Ki Ma
Modeling Technique Based on the Ranges of Values: Implementation Using Conventional Regression Method pp. 211-230 Downloads
Arthur Yosef and Eli Shnaider
Boosting Exponential Gradient Strategy for Online Portfolio Selection: An Aggregating Experts’ Advice Method pp. 231-251 Downloads
Xingyu Yang, Jin’an He, Hong Lin and Yong Zhang
Liquidity in Financial Networks pp. 253-301 Downloads
Hitoshi Hayakawa
Comments on “Opinion Dynamics Driven by Various Ways of Averaging” pp. 303-326 Downloads
Youzong Xu and Yunfei Cao
Reply on Comments on “Opinion Dynamics Driven by Various Ways of Averaging” by Youzong Xu and Yunfei Cao pp. 327-334 Downloads
Ulrich Krause
Bankruptcy Prediction Using Logit and Genetic Algorithm Models: A Comparative Analysis pp. 335-348 Downloads
Leila Bateni and Farshid Asghari
A Comparative Study of Technical Trading Strategies Using a Genetic Algorithm pp. 349-381 Downloads
Luís Lobato Macedo, Pedro Godinho and Maria João Alves

Volume 54, issue 4, 2019

Analysis of China’s Regional Eco-efficiency: A DEA Two-stage Network Approach with Equitable Efficiency Decomposition pp. 1263-1285 Downloads
Junfei Chu, Jie Wu, Qingyuan Zhu, Qingxian An and Beibei Xiong
Environmental Performance and Benchmarking Information for Coal-Fired Power Plants in China: A DEA Approach pp. 1287-1302 Downloads
Xiaohong Liu, Qingyuan Zhu, Junfei Chu, Xiang Ji and Xingchen Li
The Co-movement Between Chinese Oil Market and Other Main International Oil Markets: A DCC-MGARCH Approach pp. 1303-1318 Downloads
Malin Song, Kuangnan Fang, Jing Zhang and Jianbin Wu
Hidden Carbon Emissions, Industrial Clusters, and Structure Optimization in China pp. 1319-1342 Downloads
Shu-Hong Wang, Ma-Lin Song and Tao Yu
Measuring the Efficiency of Two-Stage Production Process in the Presence of Undesirable Outputs pp. 1343-1358 Downloads
Yalei Fei, Gongbing Bi, Wen Song and Yan Luo
An Outlook on the Biomass Energy Development Out to 2100 in China pp. 1359-1377 Downloads
Zhihui Li, Xiangzheng Deng, Xi Chu, Gui Jin and Wei Qi
The Usage Analysis and Policy Choice of CNG Taxis Based on a Multi-stage Dynamic Game Model pp. 1379-1390 Downloads
Xiaoyao Xie, Yuhong Wang and Xiaozhong Li
Revealing Energy Over-Consumption and Pollutant Over-Emission Behind GDP: A New Multi-criteria Sustainable Measure pp. 1391-1421 Downloads
Xiang Ji, Jiasen Sun, Qunwei Wang and Qianqian Yuan
Fiscal Decentralization, Economic Growth, and Haze Pollution Decoupling Effects: A Simple Model and Evidence from China pp. 1423-1441 Downloads
Liangliang Liu, Donghong Ding and Jun He
Diversification Measures and the Optimal Number of Stocks in a Portfolio: An Information Theoretic Explanation pp. 1443-1471 Downloads
Adeola Oyenubi
Buying on Margin and Short Selling in an Artificial Double Auction Market pp. 1473-1489 Downloads
Xuan Zhou and Honggang Li
Effect of Information Exchange in a Social Network on Investment pp. 1491-1503 Downloads
Ho Fai Ma, Ka Wai Cheung, Ga Ching Lui, Degang Wu and Kwok Yip Szeto
Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective pp. 1505-1537 Downloads
Aki-Hiro Sato, Paolo Tasca and Takashi Isogai
Retraction Note to: Analyses of Economic Development Based on Different Factors pp. 1539-1539 Downloads
Goran Maksimović, Srđan Jović, David Jovović and Marina Jovović

Volume 54, issue 3, 2019

Introduction to Network Modeling Using Exponential Random Graph Models (ERGM): Theory and an Application Using R-Project pp. 845-875 Downloads
Johannes Pol
A Reformulation-Based Simplicial Homotopy Method for Approximating Perfect Equilibria pp. 877-891 Downloads
Yin Chen and Chuangyin Dang
Individual Satisfaction and Economic Growth in an Agent-Based Economy pp. 893-903 Downloads
João Silvestre, Tanya Araújo and Miguel Aubyn
Physician Emigration: Should they Stay or Should they Go? A Policy Analysis pp. 905-931 Downloads
Mário Amorim-Lopes, Álvaro Almeida and Bernardo Almada-Lobo
Computing the Bargaining Approach for Equalizing the Ratios of Maximal Gains in Continuous-Time Markov Chains Games pp. 933-955 Downloads
Kristal K. Trejo, Julio B. Clempner and Alexander S. Poznyak
Modifying Hybrid Optimisation Algorithms to Construct Spot Term Structure of Interest Rates and Proposing a Standardised Assessment pp. 957-1003 Downloads
Aryo Sasongko, Cynthia Afriani Utama, Buddi Wibowo and Zaäfri Ananto Husodo
Accounting for Heterogeneity in Environmental Performance Using Data Envelopment Analysis pp. 1005-1025 Downloads
George Halkos and Mike Tsionas
An Evolutionary Game Approach in International Environmental Agreements with R&D Investments pp. 1027-1042 Downloads
Giovanni Villani and Marta Biancardi
Machine Learning and Sampling Scheme: An Empirical Study of Money Laundering Detection pp. 1043-1063 Downloads
Yan Zhang and Peter Trubey
On the Convergence of the Generalized Ibn Ezra Value pp. 1065-1084 Downloads
Louis de Mesnard
A Spectral Approach to Pricing of Arbitrage-Free SABR Discrete Barrier Options pp. 1085-1111 Downloads
Nawdha Thakoor, Désiré Yannick Tangman and Muddun Bhuruth
Price Convergence under a Probabilistic Double Auction pp. 1113-1155 Downloads
Xiaojing Xu, Jinpeng Ma and Xiaoping Xie
Uniqueness and Multiple Trajectories for the Case of Lucas Model pp. 1157-1177 Downloads
Constantin Chilarescu and I. Viasu
On the Numerical Solution of Mertonian Control Problems: A Survey of the Markov Chain Approximation Method for the Working Economist pp. 1179-1211 Downloads
Simon Ellersgaard
Modeling Credit Risk with Hidden Markov Default Intensity pp. 1213-1229 Downloads
Feng-Hui Yu, Jiejun Lu, Jia-Wen Gu and Wai-Ki Ching
Financial Market as Driver for Disparity in Wealth Accumulation—A Receding Horizon Approach pp. 1231-1261 Downloads
Raphaele Chappe and Willi Semmler

Volume 54, issue 2, 2019

Solving Transfer Pricing Involving Collaborative and Non-cooperative Equilibria in Nash and Stackelberg Games: Centralized–Decentralized Decision Making pp. 477-505 Downloads
Julio B. Clempner and Alexander S. Poznyak
Do Energy and Banking CDS Sector Spreads Reflect Financial Risks and Economic Policy Uncertainty? A Time-Scale Decomposition Approach pp. 507-534 Downloads
Nader Naifar, Shawkat Hammoudeh and Aviral Tiwari
Computational Approach for the Firm’s Cost Minimization Problem Using the Selective Infimal Convolution Operator pp. 535-549 Downloads
L. Bayón, P. Fortuny Ayuso, R. García-Rubio, J. M. Grau and M. M. Ruiz
How Unemployment Affects Bond Prices: A Mixed Frequency Google Nowcasting Approach pp. 551-573 Downloads
Thomas Dimpfl and Tobias Langen
How Many Agents are Rational in China’s Economy? Evidence from a Heterogeneous Agent-Based New Keynesian Model pp. 575-611 Downloads
Wei Zhao, Yi Lu and Genfu Feng
Computing the Substantial-Gain–Loss-Ratio pp. 613-624 Downloads
Jan Voelzke and Sebastian Mentemeier
Bayesian Estimation of Beta-type Distribution Parameters Based on Grouped Data pp. 625-645 Downloads
Kazuhiko Kakamu and Haruhisa Nishino
Customer Satisfaction Prediction in the Shipping Industry with Hybrid Meta-heuristic Approaches pp. 647-667 Downloads
Stelios Bekiros, Nikolaos Loukeris, Nikolaos Matsatsinis and Frank Bezzina
Technical Trading Behaviour: Evidence from Chinese Rebar Futures Market pp. 669-704 Downloads
Guanqing Liu
Option Implied Risk-Neutral Density Estimation: A Robust and Flexible Method pp. 705-728 Downloads
Arindam Kundu, Sumit Kumar and Nutan Kumar Tomar
A Continuous Differentiable Wavelet Shrinkage Function for Economic Data Denoising pp. 729-761 Downloads
Fan He and Xuansen He
Approximating the Solution of Stochastic Optimal Control Problems and the Merton’s Portfolio Selection Model pp. 763-782 Downloads
Behzad Kafash
Exploring House Price Dynamics: An Agent-Based Simulation with Behavioral Heterogeneity pp. 783-807 Downloads
Tolga A. Ozbakan, Serdar Kale and Irem Dikmen
Jump Detection and Noise Separation by a Singular Wavelet Method for Predictive Analytics of High-Frequency Data pp. 809-844 Downloads
Yi-Ting Chen, Wan-Ni Lai and Edward Sun

Volume 54, issue 1, 2019

Introduction to Advanced Statistical Analyses for Computational Economics and Finance pp. 1-3 Downloads
Fredj Jawadi
Correction to: Introduction to Advanced Statistical Analyses for Computational Economics and Finance pp. 5-5 Downloads
Fredj Jawadi
Forecasting Corporate Bankruptcy Using Accrual-Based Models pp. 7-43 Downloads
Philippe du Jardin, David Veganzones and Eric Séverin
Testing for Periodic Integration with a Changing Mean pp. 45-75 Downloads
Tomás del Barrio Castro, Mariam Camarero and Cecilio Tamarit
Performances of Model Selection Criteria When Variables are Ill Conditioned pp. 77-98 Downloads
Peter S. Karlsson, Lars Behrenz and Ghazi Shukur
Fast and Adaptive Cointegration Based Model for Forecasting High Frequency Financial Time Series pp. 99-112 Downloads
Paola Arce, Jonathan Antognini, Werner Kristjanpoller and Luis Salinas
Testing for Constant Parameters in Nonlinear Models: A Quick Procedure with an Empirical Illustration pp. 113-137 Downloads
J. Hoyo, G. Llorente and C. Rivero
Asset Returns Under Model Uncertainty: Evidence from the Euro Area, the US and the UK pp. 139-176 Downloads
João M. Sousa and Ricardo Sousa
Nowcasting GDP Growth for Small Open Economies with a Mixed-Frequency Structural Model pp. 177-198 Downloads
Ruey Yau and C. Hueng
Predicting US Banks Bankruptcy: Logit Versus Canonical Discriminant Analysis pp. 199-244 Downloads
Zeineb Affes and Rania Hentati-Kaffel
Asset Market Volatility and New Keynesian Macroeconomics: A Game-Theoretic Approach pp. 245-266 Downloads
Namun Cho and Tae-Seok Jang
Low Complexity Algorithmic Trading by Feedforward Neural Networks pp. 267-279 Downloads
J. Levendovszky, I. Reguly, A. Olah and A. Ceffer
Applying Independent Component Analysis and Predictive Systems for Algorithmic Trading pp. 281-303 Downloads
Attila Ceffer, Janos Levendovszky and Norbert Fogarasi
Agent-Based Modeling of a Non-tâtonnement Process for the Scarf Economy: The Role of Learning pp. 305-341 Downloads
Shu-Heng Chen, Bin-Tzong Chie, Ying-Fang Kao and Ragupathy Venkatachalam
Enhancing Quasi-Monte Carlo Simulation by Minimizing Effective Dimension for Derivative Pricing pp. 343-366 Downloads
Ye Xiao and Xiaoqun Wang
A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates pp. 367-417 Downloads
Farid Mkaouar, Jean-Luc Prigent and Ilyes Abid
Good Policies or Good Luck? New Insights on Globalization and the International Monetary Policy Transmission Mechanism pp. 419-454 Downloads
Enrique Martínez-García
Forecasting Inflation Uncertainty in the United States and Euro Area pp. 455-476 Downloads
Zied Ftiti and Fredj Jawadi
Page updated 2020-01-24