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 45, issue 4, 2015

Estimate Long Memory Causality Relationship by Wavelet Method pp. 531-544

Yushu Li

Spatial Dynamics of Optimal Management in Bioeconomic Systems pp. 545-577

David Aadland, Charles Sims and David Finnoff

Option Pricing and Distribution Characteristics pp. 579-595

David Mauler and James McDonald

Will the Bail-in Break the Vicious Circle Between Banks and their Sovereign? pp. 597-614

Clara Galliani and Stefano Zedda

Multiscale Analysis of the Liquidity Effect in the UK Economy pp. 615-633

Antonis Michis

Yield Curve and Recession Forecasting in a Machine Learning Framework pp. 635-645

Periklis Gogas, Theophilos Papadimitriou, Maria Matthaiou and Efthymia Chrysanthidou

Evaluating the Default Risk of Bond Portfolios with Extreme Value Theory pp. 647-668

Yong Ma, Zhengjun Zhang, Weiguo Zhang and Weidong Xu

A Behavioral Macroeconomic Model of Exchange Rate Fluctuations with Complex Market Expectations Formation pp. 669-691

Peter Flaschel, Florian Hartmann, Christopher Malikane and Christian Proaño

Using the “Chandrasekhar Recursions” for Likelihood Evaluation of DSGE Models pp. 693-705

Edward Herbst

Volume 45, issue 2, 2015

Negishi’s Theorem and Method: Computable and Constructive Considerations pp. 183-193

K. Velupillai

Carbon Price Analysis Using Empirical Mode Decomposition pp. 195-206

Bangzhu Zhu, Ping Wang, Julien Chevallier and Yi-Ming Wei

Identification of Social Interaction Effects in Financial Data pp. 207-238

Tae-Seok Jang

Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation and Pruning pp. 239-260

Robert Kollmann

Solving Dynamic Programming Problems on a Computational Grid pp. 261-284

Yongyang Cai, Kenneth Judd, Greg Thain and Stephen Wright

Fiscal and Monetary Policy in a Basic Endogenous Growth Model pp. 285-301

Alfred Greiner

ESIS2: Information Value Estimator for Credit Scoring Models pp. 303-322

Martin Řezáč

Finding an Initial Basic Feasible Solution for DEA Models with an Application on Bank Industry pp. 323-336

Mehdi Toloo, Atefeh Masoumzadeh and Mona Barat

Back to the Future: Economic Self-Organisation and Maximum Entropy Prediction pp. 337-358

Sylvain Barde

Volume 45, issue 1, 2015

A Constructive Proof of the Existence of Collateral Equilibrium for a Two-Period Exchange Economy Based on a Smooth Interior-Point Path pp. 1-30

Wei Ma

Efficient High-Order Numerical Methods for Pricing of Options pp. 31-47

Mojtaba Hajipour and Alaeddin Malek

Hybrid Method of Multiple Kernel Learning and Genetic Algorithm for Forecasting Short-Term Foreign Exchange Rates pp. 49-89

Shangkun Deng, Kazuki Yoshiyama, Takashi Mitsubuchi and Akito Sakurai

Analyzing Time–Frequency Based Co-movement in Inflation: Evidence from G-7 Countries pp. 91-109

Aviral Tiwari, Niyati Bhanja, Arif Dar and Olaolu Olayeni

Volatility Forecasting Using Support Vector Regression and a Hybrid Genetic Algorithm pp. 111-133

Guillermo Santamaría-Bonfil, Juan Frausto-Solis and Ignacio Vázquez-Rodarte

A Model of Stock Manipulation Ramping Tricks pp. 135-150

Ke Liu, Kin Lai, Jerome Yen and Qing Zhu

Hedging International Foreign Exchange Risks via Option Based Portfolio Insurance pp. 151-181

Libo Yin and Liyan Han

Volume 44, issue 4, 2014

An Analytic Approach for Stochastic Differential Utility for Endowment and Production Economies pp. 397-443

Yu Chen, Thomas Cosimano, Alex Himonas and Peter Kelly

Accuracy, Speed and Robustness of Policy Function Iteration pp. 445-476

Alexander Richter, Nathaniel Throckmorton and Todd Walker

A Wavelet-Based Approach to Filter Out Symmetric Macroeconomic Shocks pp. 477-488

Roman Marsalek, Jitka Poměnková and Svatopluk Kapounek

A Modified Least-Squares Simulation Approach to Value American Barrier Options pp. 489-506

Lihua Zhang, Weiguo Zhang, Weijun Xu and Xiang Shi

Efficient Sampling and Meta-Modeling for Computational Economic Models pp. 507-536

Isabelle Salle and Murat Yildizoglu

Volume 44, issue 3, 2014

Quarterly Fiscal Policy Experiments with a Multiplier-Accelerator Model pp. 269-293

David Kendrick and George Shoukry

Generating Random Optimising Choices pp. 295-305

Jan Heufer

Capturing the Regime-Switching and Memory Properties of Interest Rates pp. 307-337

Xiaojing Xi and Rogemar Mamon

Some Pitfalls in Smooth Transition Models Estimation: A Monte Carlo Study pp. 339-378

Novella Maugeri

Endogenous Movement and Equilibrium Selection in Spatial Coordination Games pp. 379-395

David Hagmann and Troy Tassier

Volume 44, issue 2, 2014

Combining Forecasts with Missing Data: Making Use of Portfolio Theory pp. 127-152

Björn Fastrich and Peter Winker

A Highly Accurate Finite Element Method to Price Discrete Double Barrier Options pp. 153-173

A. Golbabai, L. Ballestra and D. Ahmadian

Network Externalities, Incumbent’s Competitive Advantage and the Degree of Openness of Software Start-Ups pp. 175-200

Stefano Colombo, Luca Grilli and Cristina Rossi-Lamastra

A Dynamic Network Oligopoly Model with Transportation Costs, Product Differentiation, and Quality Competition pp. 201-229

Anna Nagurney and Dong Li

Timescale Analysis with an Entropy-Based Shift-Invariant Discrete Wavelet Transform pp. 231-251

Stelios Bekiros

An Optimal Balanced Economic Growth and Abatement Pathway for China Under the Carbon Emissions Budget pp. 253-268

Yongbin Zhu and Zheng Wang

Volume 44, issue 1, 2014

Utility-Based Pricing, Timing and Hedging of an American Call Option Under an Incomplete Market with Partial Information pp. 1-26

Dandan Song and Zhaojun Yang

A Neo-institutionalist Model of the Diffusion of IFRS Accounting Standards pp. 27-44

Dominique Dufour, Pierre Teller and Philippe Luu

Loss-Aversion with Kinked Linear Utility Functions pp. 45-65

Michael Best, Robert Grauer, Jaroslava Hlouskova and Xili Zhang

Minimizing Geographical Basis Risk of Weather Derivatives Using A Multi-Site Rainfall Model pp. 67-86

Matthias Ritter, Oliver Musshoff and Martin Odening

A Non-parametric Test for Partial Monotonicity in Multiple Regression pp. 87-100

Misha Beek and Hennie Daniels

On the Market Selection Hypothesis in a Mean Reverting Environment pp. 101-126

Emilio Barucci and Marco Casna

Volume 43, issue 4, 2014

Simulation Estimation of Dynamic Panel Discrete Choice Models Using the $$t$$ t Distributions pp. 395-409

Sheng-Kai Chang

An Abductive-Reasoning Guide for Finance Practitioners pp. 411-431

Rua-Haun Tsaih, Hsiou-Wei Lin and Wen-Chyan Ke

An Efficient Semi-Analytical Simulation for the Heston Model pp. 433-445

Xianming Sun and Siqing Gan

Nelder-Mead Simplex Optimization Routine for Large-Scale Problems: A Distributed Memory Implementation pp. 447-461

Kyle Klein and Julian Neira

A Robust Numerical Scheme For Pricing American Options Under Regime Switching Based On Penalty Method pp. 463-483

K. Zhang, K. Teo and M. Swartz

Heterogeneous Computing in Economics: A Simplified Approach pp. 485-495

Matt Dziubinski and Stefano Grassi

Openness and Technology Diffusion in Payment Systems: The Case of NAFTA pp. 497-519

Francisco Callado-Muñoz, Jana Hromcová and Natalia Utrero-González

Volume 43, issue 3, 2014

Utility-based Multi-agent System with Spatial Interactions: The Case of Virtual Estate Development pp. 271-299

Dominique Prunetti, Alexandre Muzy, Eric Innocenti and Xavier Pieri

Building Technical Trading System with Genetic Programming: A New Method to Test the Efficiency of Chinese Stock Markets pp. 301-311

Hui Qu and Xindan Li

Symbolic ARMA Model Analysis pp. 313-330

Keith Webb and Lawrence Leemis

Valuation of R&D Investment Opportunities with the Threat of Competitors Entry in Real Option Analysis pp. 331-355

Giovanni Villani

Sticky Information Models in Dynare pp. 357-370

Fabio Verona and Maik Wolters

Simulation Analysis for Network Formulation pp. 371-394

Tomohiro Hayashida, Ichiro Nishizaki and Rika Kambara

Volume 43, issue 2, 2014

Forecasting Financial Failure of Firms via Genetic Algorithms pp. 133-157

Eduardo Acosta-González and Fernando Fernández-Rodríguez

The Optimal Economic Uncertainty Index: A Grid Search Application pp. 159-182

Pei-Tha Gan

Forecasting Spanish Unemployment Using Near Neighbour and Neural Net Techniques pp. 183-197

Elena Olmedo

Integration of Path-Dependency in a Simple Learning Model: The Case of Marine Resources pp. 199-231

Narine Udumyan, Juliette Rouchier and Dominique Ami

Viable Stabilising Non-Taylor Monetary Policies for an Open Economy pp. 233-268

Jacek Krawczyk and Kunhong Kim

Erratum to: Viable Stabilising Non-Taylor Monetary Policies for an Open Economy pp. 269-269

Jacek Krawczyk and Kunhong Kim

Volume 43, issue 1, 2014

Generalization of the Firm’s Profit Maximization Problem: An Algorithm for the Analytical and Nonsmooth Solution pp. 1-14

R. García-Rubio, L. Bayón and J. Grau

The Duo-Item Bisection Auction pp. 15-31

Albin Erlanson

Implications of a Reserve Price in an Agent-Based Common-Value Auction pp. 33-51

Christopher Boyer and B Brorsen

Simulating the Evolution of Market Shares: The Effects of Customer Learning and Local Network Externalities pp. 53-70

Liangjie Zhao and Wenqi Duan

DSGE Model Estimation on the Basis of Second-Order Approximation pp. 71-82

Sergey Ivashchenko

Paradox Lost: The Evolution of Strategies in Selten’s Chain Store Game pp. 83-103

William Tracy

OLG Life Cycle Model Transition Paths: Alternate Model Forecast Method pp. 105-131

Richard Evans and Kerk Phillips