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 40, issue 4, 2012

DSGE Modeling on an iPhone/iPad Using SpaceTime pp. 313-332

Andrew Blake

Public Expenditure on Health and Private Old-Age Insurance in an OLG Growth Model with Endogenous Fertility: Chaotic Dynamics Under Perfect Foresight pp. 333-353

Luciano Fanti and Luca Gori

The Efficient Frontier for Weakly Correlated Assets pp. 355-375

Michael Best and Xili Zhang

Using a Differential Evolutionary Algorithm to Test the Efficient Market Hypothesis pp. 377-385

Phillip Simmons

An Economic Model of Oil Exploration and Extraction pp. 387-399

Alfred Greiner, Willi Semmler and Tobias Mette

Performance of Some Logistic Ridge Regression Estimators pp. 401-414

B. Kibria, Kristofer Månsson and Ghazi Shukur

Pareto Frontier of a Dynamic Principal–Agent Model with Discrete Actions: An Evolutionary Multi-Objective Approach pp. 415-443

Itza Curiel, Sonia Di Giannatale, Juan Herrera and Katya Rodríguez

Volume 40, issue 3, 2012

Bayesian Analysis of Student t Linear Regression with Unknown Change-Point and Application to Stock Data Analysis pp. 203-217

Jin-Guan Lin, Ji Chen and Yong Li

Sequential Action and Beliefs Under Partially Observable DSGE Environments pp. 219-244

Seong-Hoon Kim

Nonlinearity in Forecasting of High-Frequency Stock Returns pp. 245-264

Juan Reboredo, José Matías and Raquel Garcia-Rubio

On Boundary Conditions Within the Solution of Macroeconomic Dynamic Models with Rational Expectations pp. 265-291

Frank Hespeler

Velocity Volatility Assessment of Monetary Shocks on Cash-in-Advance Economies pp. 293-311

Jose Cao-Alvira

Volume 40, issue 2, 2012

A Stochastic Chartist–Fundamentalist Model with Time Delays pp. 105-113

Ghassan Dibeh and Haidar Harmanani

Implied Severity Density Estimation: An Extended Semiparametric Method to Compute Credit Value at Risk pp. 115-129

J. Baixauli and Susana Alvarez

Hiring, Firing and Infighting: A Tale of Two Companies pp. 131-149

Arnav Sheth

Massively Parallel Computation Using Graphics Processors with Application to Optimal Experimentation in Dynamic Control pp. 151-182

Sergei Morozov and Sudhanshu Mathur

Nonparametric Testing for Long-Run Neutrality with Applications to US Money and Output Data pp. 183-202

Jin Lee

Volume 40, issue 1, 2012

The Hitting Time Density for a Reflected Brownian Motion pp. 1-18

Qin Hu, Yongjin Wang and Xuewei Yang

Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity pp. 19-48

Cathy W. S. Chen, Simon Lin and Philip Yu

A Second-Order Difference Scheme for the Penalized Black–Scholes Equation Governing American Put Option Pricing pp. 49-62

Zhongdi Cen, Anbo Le and Aimin Xu

Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models pp. 63-104

Andrey Itkin and Peter Carr

Volume 39, issue 4, 2012

Heuristic Optimization Methods for Dynamic Panel Data Model Selection: Application on the Russian Innovative Performance pp. 337-363

Ivan Savin and Peter Winker

A Closed-Form Solution to Stollery’s Problem with Damage in Utility pp. 365-386

Andrei Bazhanov

Transitional Dynamics in Sticky-Information General Equilibrium Models pp. 387-407

Orlando Gomes

Exploring US Business Cycles with Bivariate Loops Using Penalized Spline Regression pp. 409-427

Göran Kauermann, Timo Teuber and Peter Flaschel

A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control pp. 429-446

Walailuck Chavanasporn and Christian-Oliver Ewald

Volume 39, issue 3, 2012

Propagation of Data Error and Parametric Sensitivity in Computable General Equilibrium Models pp. 219-241

Joshua Elliott, Meredith Franklin, Ian Foster, Todd Munson and Margaret Loudermilk

Repeated Price Search pp. 243-257

A. Norman, J. Berman, K. Brehm, M. Drake, A. Dyer, J. Frisby, C. Govil, C. Hinchey, L. Heuer, J. Ke, S. Kejriwal, K. Kuang, S. Keyburn, S. Ler, K. Powers, A. Robertson, J. Sanghai, C. Schulze, J. Schieck, J. Sussman, L. Tan, A. Tello, R. Wang, Kit Ming Yan and T. Zeinullayev

Two-State Volatility Transition Pricing and Hedging of TXO Options pp. 259-287

EnDer Su and Feng-Jeng Lin

Valuation of N-stage Investments Under Jump-Diffusion Processes pp. 289-313

Rainer Andergassen and Luigi Sereno

What Drives Short Rate Dynamics? A Functional Gradient Descent Approach pp. 315-335

Francesco Audrino

Volume 39, issue 2, 2012

Properties of the DGS-Auction Algorithm pp. 113-133

Tommy Andersson and Christer Andersson

A Flexible Markov Chain Approach for Multivariate Credit Ratings pp. 135-143

Eric Fung and Tak Kuen Siu

Modelling the Evolution of National Economies Based on Input–Output Networks pp. 145-155

Wen-Qi Duan

Opinions and Networks: How Do They Effect Each Other pp. 157-171

Zhengzheng Pan

Statistical Inferences for Generalized Pareto Distribution Based on Interior Penalty Function Algorithm and Bootstrap Methods and Applications in Analyzing Stock Data pp. 173-193

Chao Huang, Jin-Guan Lin and Yan-Yan Ren

Consumption Utility-Based Pricing and Timing of the Option to Invest with Partial Information pp. 195-217

Jinqiang Yang and Zhaojun Yang

Volume 39, issue 1, 2012

An Integer Programming Model for Pricing American Contingent Claims under Transaction Costs pp. 1-12

M. Pınar and A. Camcı

Using Chebyshev Polynomials to Approximate Partial Differential Equations: A Reply pp. 13-27

Alejandro Mosiño

Fuzzy Statistical Analysis of Multiple Regression with Crisp and Fuzzy Covariates and Applications in Analyzing Economic Data of China pp. 29-49

Jin-Guan Lin, Qing-Yun Zhuang and Chao Huang

BRA: An Algorithm for Simulating Bounded Rational Agents pp. 51-69

Stephan Schuster

Introduction to the Works of Rodney C. Wingrove: Engineering Approaches to Macroeconomic Modeling pp. 71-76

Ronald Davis, Dallas Denery, David Kendrick and Raman Mehra

Classical Linear-Control Analysis Applied to Business-Cycle Dynamics and Stability pp. 77-98

Rodney Wingrove and Ronald Davis

Manual-Control Analysis Applied to the Money Supply Control Task pp. 99-111

Rodney Wingrove and Ronald Davis

Volume 38, issue 4, 2011

Piecewise Pseudo-Maximum Likelihood Estimation for Risk Aversion Case in First-Price Sealed-Bid Auction pp. 439-463

Xin An, Shulin Liu and Shuo Xu

Discrete Time Non-Homogeneous Semi-Markov Reliability Transition Credit Risk Models and the Default Distribution Functions pp. 465-481

Guglielmo D’Amico, Jacques Janssen and Raimondo Manca

A Computationally Efficient, Consistent Bootstrap for Inference with Non-parametric DEA Estimators pp. 483-515

Alois Kneip, Leopold Simar and Paul Wilson

A Long Memory Model with Normal Mixture GARCH pp. 517-539

Yin-Wong Cheung and Sang-Kuck Chung

Volume 38, issue 3, 2011

Foreword to the Special Issue of Computational Economics on Complex Dynamics in Economics and Finance pp. 207-208

Gian Italo Bischi, Carl Chiarella and Laura Gardini

Aggregate Demand, Harrod’s Instability and Fluctuations pp. 209-220

Piero Ferri, Steven Fazzari, Edward Greenberg and Anna Variato

Credit market dynamics: a cobweb model pp. 221-239

S. Casellina, S. Landini and M. Uberti

Homoclinic and Heteroclinic Bifurcations in an Overlapping Generations Model with Credit Market Imperfection pp. 241-260

Anna Agliari and George Vachadze

Nonlinear Dynamics in an OLG Growth Model with Young and Old Age Labour Supply: The Role of Public Health Expenditure pp. 261-275

Luca Gori and Mauro Sodini

Local and Global Dynamics in an Overlapping Generations Model with Endogenous Time Discounting pp. 277-293

Mauro Sodini

A Nonlinear Duopoly with Efficient Production-Capacity Levels pp. 295-309

Fabio Lamantia

Dynamics in Linear Cournot Duopolies with Two Time Delays pp. 311-327

Akio Matsumoto, Ferenc Szidarovszky and Hiroyuki Yoshida

Heterogeneous Speculators and Asset Price Dynamics: Further Results from a One-Dimensional Discontinuous Piecewise-Linear Map pp. 329-347

Fabio Tramontana, Laura Gardini and Frank Westerhoff

Border Collision Bifurcations in a Footloose Capital Model with First Nature Firms pp. 349-366

Anna Agliari, Pasquale Commendatore, Ilaria Foroni and Ingrid Kubin

Transition Dynamics in Endogenous Recombinant Growth Models by Means of Projection Methods pp. 367-387

Fabio Privileggi

Financial Tools for the Abatement of Traffic Congestion: A Dynamical Analysis pp. 389-405

Angelo Antoci, Marcello Galeotti and Davide Radi

Largest Consistent Set in International Environmental Agreements pp. 407-423

Marta Biancardi and Giovanni Villani

Can Endogenous Participation Explain Price Volatility? Evidence from an Agent-Based Cobweb Model pp. 425-437

Domenico Colucci and Vincenzo Valori

Volume 38, issue 2, 2011

Approximation Errors of Perturbation Methods in Solving a Class of Dynamic Stochastic General Equilibrium Models pp. 107-128

Xuan Liu and Zhiwei Cui

The Incompleteness Problem of the APT Model pp. 129-151

Peter Karlsson

The Size and Power of Bootstrap Tests for Spatial Dependence in a Linear Regression Model pp. 153-171

Kuan-Pin Lin, Zhi-He Long and Bianling Ou

Heuristics for Deciding Collectively Rational Consumption Behavior pp. 173-204

Fabrice Talla Nobibon, Laurens Cherchye, Bram De Rock, Jeroen Sabbe and Frits Spieksma

Erratum to: An Investigation into the Use of Intelligent Systems for Currency Trading pp. 205-205

Hannah Thinyane and Jonathan Millin