Computational Economics

1993 - 2025

Continuation of Computer Science in Economics & Management.

Current editor(s): Hans Amman

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Springer
Society for Computational Economics
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Volume 53, issue 4, 2019

An Integrated Approach to Forecasting Intermittent Demand for Electric Power Materials pp. 1309-1335

Aiping Jiang, Qiuguo Chi, Junjun Gao and Maoguo Wu

Risk: An R Package for Financial Risk Measures pp. 1337-1351

Stephen Chan and Saralees Nadarajah

An Optimal Mortgage Refinancing Strategy with Stochastic Interest Rate pp. 1353-1375

Xiaoxia Wu, Dejun Xie and David A. Edwards

The Likelihood of the Consistency of Collective Rankings Under Preferences Aggregation with Four Alternatives Using Scoring Rules: A General Formula and the Optimal Decision Rule pp. 1377-1395

Eric Kamwa and Vincent Merlin

Carl Chiarella, Willi Semmler, Chih-Ying Hsiao and Lebogang Mateane: Sustainable Asset Accumulation and Dynamic Portfolio Decisions, Dynamic Modelling and Econometrics in Economics and Finance 18 pp. 1397-1401

Xuezhong (Tony) He

Enhanced Predictive Models for Construction Costs: A Case Study of Turkish Mass Housing Sector pp. 1403-1419

Latif Onur Ugur, Recep Kanit, Hamit Erdal, Ersin Namli, Halil Ibrahim Erdal, Umut Naci Baykan and Mursel Erdal

Unified Approach for the Affine and Non-affine Models: An Empirical Analysis on the S&P 500 Volatility Dynamics pp. 1421-1442

Shunwei Zhu and Bo Wang

Programming Language Choices for Algo Traders: The Case of Pairs Trading pp. 1443-1449

Pedro Vergel Eleuterio and Lovjit Thukral

Internal and External Cartel Stability: Numerical Solutions pp. 1451-1465

Christos Papahristodoulou

Monitoring the Impact of Economic Crisis on Crime in India Using Machine Learning pp. 1467-1485

Mamta Mittal, Lalit Mohan Goyal, Jasleen Kaur Sethi and D. Jude Hemanth

Efficient Semi-Discretization Techniques for Pricing European and American Basket Options pp. 1487-1508

Fazlollah Soleymani

Stress-Testing U.S. Macroeconomic Policy: A Computational Approach Using Stochastic and Robust Designs in a Wavelet-Based Optimal Control Framework pp. 1509-1546

David Hudgins and Patrick Crowley

A Nationwide or Localized Housing Crisis? Evidence from Structural Instability in US Housing Price and Volume Cycles pp. 1547-1563

MeiChi Huang

An Efficient Algorithm for Options Under Merton’s Jump-Diffusion Model on Nonuniform Grids pp. 1565-1591

Yingzi Chen, Wansheng Wang and Aiguo Xiao

Developing a Risk-Based Approach for American Basket Option Pricing pp. 1593-1612

Ehsan Hajizadeh and Masoud Mahootchi

On Jackknife-After-Bootstrap Method for Dependent Data pp. 1613-1632

Ufuk Beyaztas and Beste H. Beyaztas

Entropy Pooling with Discrete Weights in a Time-Dependent Setting pp. 1633-1647

Martin Schans

Solving Rational Expectations Models with Informational Subperiods: A Comment pp. 1649-1654

Frank Hespeler and Marco Sorge

A Reply to Reaction on Kormilitsina (2013): “Solving Rational Expectations Models with Informational Subperiods: A Perturbation Approach” pp. 1655-1656

Anna Kormilitsina

Possibilistic Moment Models for Multi-period Portfolio Selection with Fuzzy Returns pp. 1657-1686

Yong-Jun Liu and Wei-Guo Zhang

Modeling Persistence and Parameter Instability in Historical Crude Oil Price Data Using a Gibbs Sampling Approach pp. 1687-1710

Nima Nonejad

Volume 53, issue 3, 2019

Indexing of Technical Change in Aggregated Data pp. 901-920

Sturla Furunes Kvamsdal

Analyzing Contagion Effect in Markets During Financial Crisis Using Stochastic Autoregressive Canonical Vine Model pp. 921-950

Anubha Goel and Aparna Mehra

Evolutionary Dynamics of Price Dispersion with Market-Dependent Costs pp. 951-975

Francisco Alvarez Gonzalez, José-Manuel Rey and Raúl Sanchis

Exact Expectations: Efficient Calculation of DSGE Models pp. 977-990

Fabian Goessling

Finite Gaussian Mixture Approximations to Analytically Intractable Density Kernels pp. 991-1017

Natalia Khorunzhina and Jean-Francois Richard

Dissimilarity-Based Linear Models for Corporate Bankruptcy Prediction pp. 1019-1031

Vicente García, Ana I. Marqués, J. Salvador Sánchez and Humberto J. Ochoa-Domínguez

Quantile Regression for Dynamic Panel Data Using Hausman–Taylor Instrumental Variables pp. 1033-1069

Li Tao, Yuanjie Zhang and Maozai Tian

Simulation of Contagion in the Stock Markets Using Cross-Shareholding Networks: A Case from an Emerging Market pp. 1071-1101

Hossein Dastkhan and Naser Shams Gharneh

RETRACTED ARTICLE: Analyses of Economic Development Based on Different Factors pp. 1103-1109

Goran Maksimović, Srđan Jović, David Jovović and Marina Jovović

A Nonlinear Optimal Control Approach to Stabilization of Business Cycles of Finance Agents pp. 1111-1131

G. Rigatos, P. Siano and Taniya Ghosh

Optimal Stop-Loss Reinsurance Under the VaR and CTE Risk Measures: Variable Transformation Method pp. 1133-1151

Junhong Du, Zhiming Li and Lijun Wu

Bayesian Testing for Leverage Effect in Stochastic Volatility Models pp. 1153-1164

Jin-Yu Zhang, Zhong-Tian Chen and Yong Li

A Practical Approach to Testing Calibration Strategies pp. 1165-1182

Yongquan Cao and Grey Gordon

Systematic Sensitivity Analysis of the Full Economic Impacts of Sea Level Rise pp. 1183-1217

Theodoros Chatzivasileiadis, F. Estrada, Marjan Hofkes and Richard Tol

A New Prediction Model Based on Cascade NN for Wind Power Prediction pp. 1219-1243

Amirhosein Torabi, Sayyed Ali Kiaian Mousavy, Vahideh Dashti, Mohammadhossein Saeedi and Nasser Yousefi

Surrogate Modelling in (and of) Agent-Based Models: A Prospectus pp. 1245-1263

Sander Hoog

Pricing Perpetual American Lookback Options Under Stochastic Volatility pp. 1265-1277

Min-Ku Lee

Quanto Option Pricing with Lévy Models pp. 1279-1308

Hasan A. Fallahgoul, Young S. Kim, Frank Fabozzi and Jiho Park

Volume 53, issue 2, 2019

Opinion Formation with Imperfect Agents as an Evolutionary Process pp. 479-505

Matjaž Steinbacher and Mitja Steinbacher

Pricing Swaps on Discrete Realized Higher Moments Under the Lévy Process pp. 507-532

Wenli Zhu and Xinfeng Ruan

What Types are There? pp. 533-554

Sam Cosaert

Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching pp. 555-586

Dong-Mei Zhu, Jiejun Lu, Wai-Ki Ching and Tak Kuen Siu

Multi-scale Economic Dynamics: The Micro–Macro Wealth Dynamics and the Two-Level Imbalances of the Euro Crisis pp. 587-616

Hanchao Yang, Chenjie Shao and Khaldoun Khashanah

Groupon and Groupon Now: Participating Firm’s Profitability Analysis pp. 617-632

Jenn-Bing Ong, Wee-Keong Ng, Artem Vorobev and Thanh-Nghia Ho

Estimation of Overall Returns to Scale (RTS) of a Frontier Unit Using the Left and Right RTS pp. 633-655

Mostafa Omidi, Mohsen Rostamy-Malkhalifeh, Ali Payan and Farhad Hosseinzadeh Lotfi

Identification in Models with Discrete Variables pp. 657-696

Lukas Laffers

A Numerical Algorithm for the Coupled PDEs Control Problem pp. 697-707

Gonglin Yuan and Xiangrong Li

Trade Costs and Endogenous Nontradability in a Model with Sectoral and Firm-Level Heterogeneity pp. 709-742

Manoj Atolia

Forecasting Crude Oil Prices: A Comparison Between Artificial Neural Networks and Vector Autoregressive Models pp. 743-761

Sepehr Ramyar and Farhad Kianfar

Getting the Best of Both Worlds? Developing Complementary Equation-Based and Agent-Based Models pp. 763-782

Claudius Gräbner-Radkowitsch, Catherine S. E. Bale, Bernardo Furtado, Brais Alvarez-Pereira, James E. Gentile, Heath Henderson and Francesca Lipari

Tail-Related Risk Measurement and Forecasting in Equity Markets pp. 783-816

Stelios Bekiros, Nikolaos Loukeris, Iordanis Eleftheriadis and Christos Avdoulas

An Artificial Neural Network-Based Approach to the Monetary Model of Exchange Rate pp. 817-831

Huseyin Ince, Ali Cebeci and Salih Zeki Imamoglu

Evolutionary Computation for Macroeconomic Forecasting pp. 833-849

Oscar Claveria, Enric Monte and Salvador Torra

Improving Financial Distress Prediction Using Financial Network-Based Information and GA-Based Gradient Boosting Method pp. 851-872

Jiaming Liu, Chong Wu and Yongli Li

Experimental Analysis of Corporate Wage Negotiations Based on the Ultimatum Game: A New Approach Using a Combination of Laboratory and fMRI Experiments pp. 873-900

Hidetoshi Yamaji, Masatoshi Gotoh and Yoshinori Yamakawa

Volume 53, issue 1, 2019

Extracting Appropriate Nodal Marginal Prices for All Types of Committed Reserve pp. 1-26

Paria Akbary, Mohammad Ghiasi, Mohammad Reza Rezaie Pourkheranjani, Hamidreza Alipour and Noradin Ghadimi

Monetary Transmission Channels in DSGE Models: Decomposition of Impulse Response Functions Approach pp. 27-50

Miroljub Labus and Milica Labus

Quantile-Based Inference for Tempered Stable Distributions pp. 51-83

Hasan A. Fallahgoul, David Veredas and Frank Fabozzi

Wavelet Multiresolution Analysis of the Liquidity Effect and Monetary Neutrality pp. 85-110

Olivier Habimana

A Hybrid Monte Carlo and Finite Difference Method for Option Pricing pp. 111-124

Darae Jeong, Minhyun Yoo, Changwoo Yoo and Junseok Kim

A Stochastic Model with Inflation, Growth and Technology for the Political Business Cycle pp. 125-140

Gopal K. Basak, Mrinal K. Ghosh and Diganta Mukherjee

Hodges–Lehmann Estimation of Static Panel Models with Spatially Correlated Disturbances pp. 141-168

Christoph Strumann

The Limit of Global Carbon Tax and its Climatic and Economic Effects pp. 169-189

Gaoxiang Gu and Zheng Wang

A Stable and Convergent Finite Difference Method for Fractional Black–Scholes Model of American Put Option Pricing pp. 191-205

R. Kalantari and S. Shahmorad

Observing Cascade Behavior Depending on the Network Topology and Transaction Costs pp. 207-225

Joohyun Kim, Ohsung Kwon and Duk Hee Lee

Predicting Corporate Financial Failure Using Macroeconomic Variables and Accounting Data pp. 227-257

Eduardo Acosta-González, Fernando Fernández-Rodríguez and Hicham Ganga

Radial Basis Functions with Partition of Unity Method for American Options with Stochastic Volatility pp. 259-287

Reza Mollapourasl, Ali Fereshtian and Michèle Vanmaele

Interactional Effects Between Individual Heterogeneity and Collective Behavior in Complex Organizational Systems pp. 289-313

Xingguang Chen and Zhentao Zhu

Solving Deterministic and Stochastic Equilibrium Problems via Augmented Walrasian pp. 315-342

Julio Deride, Alejandro Jofré and Roger J-B Wets

How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models pp. 343-366

Manh Cuong Dong, Cathy W. S. Chen, Sangyoel Lee and Songsak Sriboonchitta

A New Characterization of Equilibrium in a Multi-period Finance Economy: A Computational Viewpoint pp. 367-396

Dong Chul Won

On Optimal Pricing Model for Multiple Dealers in a Competitive Market pp. 397-431

Qing-Qing Yang, Jia-Wen Gu, Wai-Ki Ching and Tak Kuen Siu

Stress Testing for Retail Mortgages Based on Probability Analysis pp. 433-455

Chang Liu and Raja Nassar

The Complexion of Multi-period Stackelberg Triopoly Game with Bounded Rationality pp. 457-478

Yu Yu and Weisheng Yu