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Computational Economics

1993 - 2018

Continuation of Computer Science in Economics & Management.

Current editor(s): Hans Amman

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

Bibliographic data for series maintained by Sonal Shukla ().

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Volume 52, issue 2, 2018

Robust Monetary Policy in a Model of the Polish Economy: Is the Uncertainty Responsible for the Interest Rate Smoothing Effect? pp. 313-340 Downloads
Mariusz Górajski
Making Decisions in a Sustainable Development Context: A State-of-the-Art Survey and Proposal of a Multi-period Single Synthesizing Criterion Approach pp. 341-385 Downloads
Anissa Frini and Sarah Benamor
Brownian Signals: Information Quality, Quantity and Timing in Repeated Games pp. 387-404 Downloads
António Osório
New Splitting Scheme for Pricing American Options Under the Heston Model pp. 405-420 Downloads
Maryam Safaei, Abodolsadeh Neisy and Nader Nematollahi
Debt Persistence in a Deflationary Environment: A Regime-Switching Model pp. 421-442 Downloads
Piero Ferri and Fabio Tramontana
Multi Criteria Decision Making in Financial Risk Management with a Multi-objective Genetic Algorithm pp. 443-457 Downloads
Sujatha Srinivasan and T. Kamalakannan
Bayesian Variance Changepoint Detection in Linear Models with Symmetric Heavy-Tailed Errors pp. 459-477 Downloads
Shuaimin Kang, Guangying Liu, Howard Qi and Min Wang
Simulation Solution to a Two-Dimensional Mortgage Refinancing Problem pp. 479-492 Downloads
Dejun Xie, Nan Zhang and David A. Edwards
A Spatial Game Theoretic Analysis of Conflict and Identity pp. 493-519 Downloads
Anirban Ghatak, Diganta Mukherjee and K. S. Mallikarjuna Rao
Nonlinear Forecasting of Euro Area Industrial Production Using Evolutionary Approaches pp. 521-530 Downloads
Christos Avdoulas and Stelios Bekiros
Measurement Error Models for Replicated Data Under Asymmetric Heavy-Tailed Distributions pp. 531-553 Downloads
Chunzheng Cao, Yahui Wang, Jian Qing Shi and Jinguan Lin
A Stochastic EM Algorithm for Quantile and Censored Quantile Regression Models pp. 555-582 Downloads
Fengkai Yang
Labor Market Volatility in the RBC Search Model: A Look at Hagedorn and Manovskii’s Calibration pp. 583-602 Downloads
Manoj Atolia, John Gibson and Milton Marquis
Multivariate Co-movement Between Islamic Stock and Bond Markets Among the GCC: A Wavelet-Based View pp. 603-626 Downloads
Chaker Aloui, Rania Jammazi and Hela Ben Hamida
Integrated Portfolio Risk Measure: Estimation and Asymptotics of Multivariate Geometric Quantiles pp. 627-652 Downloads
Edward W. Sun, Yu-Jen Wang and Min-Teh Yu
Risk Assessment with Wavelet Feature Engineering for High-Frequency Portfolio Trading pp. 653-684 Downloads
Yi-Ting Chen, Edward W. Sun and Min-Teh Yu
Pricing European Options under Fractional Black–Scholes Model with a Weak Payoff Function pp. 685-706 Downloads
Farshid Mehrdoust and Ali Reza Najafi

Volume 52, issue 1, 2018

A Unique and Stable $$\hbox {Se}{\mathcal {C}}\hbox {ure}$$ Se C ure Reversion Protocol Improving Efficiency: A Computational Bayesian Approach for Empirical Analysis pp. 1-23 Downloads
Cédric Wanko
Can Efficiency of Returns Be Considered as a Pricing Factor? pp. 25-54 Downloads
J. Francisco Rubio, Neal Maroney and M. Kabir Hassan
Time Series Simulation with Randomized Quasi-Monte Carlo Methods: An Application to Value at Risk and Expected Shortfall pp. 55-77 Downloads
Yu-Ying Tzeng, Paul M. Beaumont and Giray Ökten
Evolutionary Frequency and Forecasting Accuracy: Simulations Based on an Agent-Based Artificial Stock Market pp. 79-104 Downloads
Ya-Chi Huang and Chueh-Yung Tsao
Hilbert Spectra and Empirical Mode Decomposition: A Multiscale Event Analysis Method to Detect the Impact of Economic Crises on the European Carbon Market pp. 105-121 Downloads
Bangzhu Zhu, Shujiao Ma, Rui Xie, Julien Chevallier and Yi-Ming Wei
Erratum to: Hilbert Spectra and Empirical Mode Decomposition: A Multiscale Event Analysis Method to Detect the Impact of Economic Crises on the European Carbon Market pp. 123-123 Downloads
Bangzhu Zhu, Shujiao Ma, Rui Xie, Julien Chevallier and Yi-Ming Wei
An Automated Investing Method for Stock Market Based on Multiobjective Genetic Programming pp. 125-144 Downloads
Alexandre Pimenta, Ciniro A. L. Nametala, Frederico G. Guimarães and Eduardo G. Carrano
A Hybrid Metaheuristic for the Efficient Solution of GARCH with Trend Models pp. 145-166 Downloads
Lourdes Uribe, Benjamin Perea, Gerardo Hernández-del-Valle and Oliver Schütze
Testing for Unit Roots in Dynamic Panels with Smooth Breaks and Cross-Sectionally Dependent Errors pp. 167-193 Downloads
Tolga Omay, Mübariz Hasanov and Yongcheol Shin
Decision Theory Matters for Financial Advice pp. 195-226 Downloads
Thorsten Hens and János Mayer
An Efficient Adaptive Real Coded Genetic Algorithm to Solve the Portfolio Choice Problem Under Cumulative Prospect Theory pp. 227-252 Downloads
Chao Gong, Chunhui Xu and Ji Wang
On the Allocation of Multiple Divisible Assets to Players with Different Utilities pp. 253-274 Downloads
Ephraim Zehavi and Amir Leshem
Financial Soundness Prediction Using a Multi-classification Model: Evidence from Current Financial Crisis in OECD Banks pp. 275-297 Downloads
D. Fernández-Arias, M. López-Martín, T. Montero-Romero, F. Martínez-Estudillo and F. Fernández-Navarro
Programming Correlation Criteria with free CAS Software pp. 299-311 Downloads
George Halkos and Kyriaki Tsilika

Volume 51, issue 4, 2018

Dynamics Evolution of Trading Strategies of Investors in Financial Market pp. 743-760 Downloads
Binghui Wu, Tingting Duan and Jianmin He
Profitability Edge by Dynamic Back Testing Optimal Period Selection for Technical Parameters Optimization, in Trading Systems with Forecasting pp. 761-807 Downloads
D. Th. Vezeris, C. J. Schinas and G. Papaschinopoulos
DEA-Based Piecewise Linear Discriminant Analysis pp. 809-820 Downloads
Ai-bing Ji, Ye Ji and Yanhua Qiao
Discovering Traders’ Heterogeneous Behavior in High-Frequency Financial Data pp. 821-846 Downloads
Ya-Chi Huang and Chueh-Yung Tsao
Network Topology and Systemically Important Firms in the Interfirm Credit Network pp. 847-864 Downloads
Ohsung Kwon, Sung-guan Yun, Seung Hun Han, Yang Hon Chung and Duk Hee Lee
The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market pp. 865-892 Downloads
Filip Stanek and Jiri Kukacka
Fiscal Policy Design in Greece in the Aftermath of the Crisis: An Algorithmic Approach pp. 893-911 Downloads
Ilias Kostarakos and Stelios Kotsios
Short-Term Price Overreactions: Identification, Testing, Exploitation pp. 913-940 Downloads
Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun
A New Predictive Measure Using Agent-Based Behavioral Finance pp. 941-959 Downloads
Todd Feldman and Shuming Liu
Finite Difference Method for the Black–Scholes Equation Without Boundary Conditions pp. 961-972 Downloads
Darae Jeong, Minhyun Yoo and Junseok Kim
Efficient Simulation of Value-at-Risk Under a Jump Diffusion Model: A New Method for Moderate Deviation Events pp. 973-990 Downloads
Cheng- Der Fuh, Huei-Wen Teng and Ren-Her Wang
Trading Volume and Price Distortion: An Agent-Based Model with Heterogenous Knowledge of Fundamentals pp. 991-1020 Downloads
Vivien Lespagnol and Juliette Rouchier
A Linear Stochastic Programming Model for Optimal Leveraged Portfolio Selection pp. 1021-1032 Downloads
Davi Michel Valladão, Álvaro Veiga and Alexandre Street
Evaluation of a DSGE Model of Energy in the United Kingdom Using Stationary Data pp. 1033-1068 Downloads
Nasir Aminu
Information and Efficiency in Thin Buyer–Seller Markets over Random Networks pp. 1069-1095 Downloads
Michiel Leur
Visual Economic Modelling System (VEMS) for Computable General Equilibrium Models pp. 1097-1121 Downloads
Nico Vellinga
Sparse Bayesian Variable Selection in Probit Model for Forecasting U.S. Recessions Using a Large Set of Predictors pp. 1123-1138 Downloads
Yang Aijun, Xiang Ju, Hongqiang Yang and Lin Jinguan

Volume 51, issue 3, 2018

Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models pp. 339-378 Downloads
Michele Leonardo Bianchi, Svetlozar T. Rachev and Frank J. Fabozzi
Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach pp. 379-406 Downloads
Alessandro Andreoli, Luca Vincenzo Ballestra and Graziella Pacelli
A Discontinuity Model of Technological Change: Catastrophe Theory and Network Structure pp. 407-425 Downloads
Torsten Heinrich
A Dynamic Model of Unemployment with Migration and Delayed Policy Intervention pp. 427-462 Downloads
Liliana Harding and Mihaela Neamţu
Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods pp. 463-492 Downloads
Alexander Ludwig and Matthias Schön
Agent-Based Simulation and Microstructure Modeling of Immature Stock Markets pp. 493-511 Downloads
Hazem Krichene and Mhamed-Ali El-Aroui
Advantages of an Ellipse when Modeling Leisure Utility pp. 513-533 Downloads
Richard Evans and Kerk Phillips
Estimating Dynamic Binary Panel Data Model with Random Effects: A Computational Note pp. 535-539 Downloads
Gang Yu, Wei Gao, Weiguo Wang and Shaoping Wang
Pollution Control with Time-Varying Model Mistrust of the Stock Dynamics pp. 541-569 Downloads
Fidel Gonzalez
A New Vision of Classical Multi-regional Input–Output Models pp. 571-594 Downloads
George Halkos and Kyriaki Tsilika
An Integrated Matching-Immunization Model for Bond Portfolio Optimization pp. 595-605 Downloads
P. Xidonas, C. Hassapis, G. Bouzianis and C. Staikouras
Correlation Structure and Evolution of World Stock Markets: Evidence from Pearson and Partial Correlation-Based Networks pp. 607-635 Downloads
Gang-Jin Wang, Chi Xie and H. Eugene Stanley
A Semi-Parametric Non-linear Neural Network Filter: Theory and Empirical Evidence pp. 637-675 Downloads
Panayotis Michaelides, Efthymios G. Tsionas, Angelos Vouldis, Konstantinos Konstantakis and Panagiotis Patrinos
Computing Transitional Cycles for a Deterministic Time-to-Build Growth Model pp. 677-696 Downloads
Hwan Lin
Erratum to: Computing Transitional Cycles for a Deterministic Time-to-Build Growth Model pp. 697-697 Downloads
Hwan Lin
On the Stochastic Sensitivity and Noise-Induced Transitions of a Kaldor-Type Business Cycle Model pp. 699-718 Downloads
Irina Bashkirtseva, Davide Radi, Lev Ryashko and Tatyana Ryazanova
Conditional Versus Unconditional Utility as Welfare Criterion: Two Examples pp. 719-730 Downloads
Jinill Kim and Sunghyun Kim
Mean-Extended Gini Portfolios: A 3D Efficient Frontier pp. 731-740 Downloads
Frank Hespeler and Haim Shalit
Erratum to: ABATE: A New Tool to Produce Marginal Abatement Cost Curves pp. 741-741 Downloads
Oswald Marinoni and Martijn Grieken

Volume 51, issue 2, 2018

A Network Analysis of the United Kingdom’s Consumer Price Index pp. 173-193 Downloads
Georgios Sarantitis, Theophilos Papadimitriou and Periklis Gogas
State and Network Structures of Stock Markets Around the Global Financial Crisis pp. 195-210 Downloads
Jae Woo Lee and Ashadun Nobi
Systemic Risk on Trade Credit Systems: with the Tangible Interconnectedness pp. 211-226 Downloads
Jisang Lee, Duk Hee Lee and Sung-Guan Yun
Another Look at Large-Cap Stock Return Comovement: A Semi-Markov-Switching Approach pp. 227-262 Downloads
Kaihua Deng
Artificial Momentum, Native Contrarian, and Transparency in China pp. 263-294 Downloads
Hung-Wen Lin, Mao-Wei Hung and Jing-Bo Huang
Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments pp. 295-321 Downloads
Yogo Purwono, Irwan Adi Ekaputra and Zaäfri Ananto Husodo
Sparse Bayesian Variable Selection with Correlation Prior for Forecasting Macroeconomic Variable using Highly Correlated Predictors pp. 323-338 Downloads
Aijun Yang, Ju Xiang, Lianjie Shu and Hongqiang Yang

Volume 51, issue 1, 2018

Comparing Solution Methods for DSGE Models with Labor Market Search pp. 1-34 Downloads
Hong Lan
Where has All the Education Gone? Everywhere But into Growth pp. 35-74 Downloads
Hongchun Zhao and Yanjie Liu
Terms of Trade Shocks and Monetary Policy in India pp. 75-121 Downloads
Chetan Ghate, Sargam Gupta and Debdulal Mallick
R&D-based Calibrated Growth Models with Finite-Length Patents: A Novel Relaxation Algorithm for Solving an Autonomous FDE System of Mixed Type pp. 123-158 Downloads
Hwan Lin and L. F. Shampine
Investment Index Construction from Information Propagation Based on Transfer Entropy pp. 159-172 Downloads
Fujio Toriumi and Kazuki Komura
Page updated 2018-08-17