Computational Economics

1993 - 2025

Continuation of Computer Science in Economics & Management.

Current editor(s): Hans Amman

From:
Springer
Society for Computational Economics
Contact information at EDIRC.
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Volume 61, issue 4, 2023

Short- and Long-Term Interactions Between Bitcoin and Economic Variables: Evidence from the US pp. 1305-1330

Lei Wang, Provash Sarker and Elie Bouri

A Dynamic Baseline Calibration Procedure for CGE models pp. 1331-1368

Johannes Ziesmer, Ding Jin, Sneha D Thube and Christian Henning

The Slicing Method: Determining Insensitivity Regions of Probability Weighting Functions pp. 1369-1402

Martín Egozcue, Luis Fuentes García and Ričardas Zitikis

Resilient Control for Macroeconomic Models pp. 1403-1431

David Hudgins and Patrick Crowley

Incentives for Research Effort: An Evolutionary Model of Publication Markets with Double-Blind and Open Review pp. 1433-1476

Mantas Radzvilas, Francesco De Pretis, William Peden, Daniele Tortoli and Barbara Osimani

Personal Finance Decisions with Untruthful Advisors: An Agent-Based Model pp. 1477-1522

Loretta Mastroeni, Maurizio Naldi and Pierluigi Vellucci

Stock Price Formation: Precepts from a Multi-Agent Reinforcement Learning Model pp. 1523-1544

Johann Lussange, Stefano Vrizzi, Sacha Bourgeois-Gironde, Stefano Palminteri and Boris Gutkin

Valuation of Standard Call Options Using the Euler–Maruyama Method with Strong Approximation pp. 1545-1560

Daniel Suescún-Díaz and Luis Eduardo Girón

Analytic Method for Pricing Vulnerable External Barrier Options pp. 1561-1591

Donghyun Kim and Ji-Hun Yoon

Multi–Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time–Frequency Domains pp. 1593-1616

Sheng Cheng, Wei Liu, Qisheng Jiang and Yan Cao

Bitcoin Price Prediction: A Machine Learning Sample Dimension Approach pp. 1617-1636

Sumit Ranjan, Parthajit Kayal and Malvika Saraf

Weighted-Average Least Squares (WALS): Confidence and Prediction Intervals pp. 1637-1664

Giuseppe Luca, Jan R. Magnus and Franco Peracchi

A New Neural Network Approach for Predicting the Volatility of Stock Market pp. 1665-1679

Eunho Koo and Geonwoo Kim

Derivation and Application of Some Fractional Black–Scholes Equations Driven by Fractional G-Brownian Motion pp. 1681-1705

Changhong Guo, Shaomei Fang and Yong He

Auctions: A New Method for Selling Objects with Bimodal Density Functions pp. 1707-1743

Javier Castro, Rosa Espínola, Inmaculada Gutiérrez and Daniel Gómez

A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model pp. 1745-1763

Mohamed Kharrat and Hassen Arfaoui

Investigating the Asymmetric Behavior of Oil Price Volatility Using Support Vector Regression pp. 1765-1790

Yushu Li and Hyunjoo Kim Karlsson

Volume 61, issue 3, 2023

Editorial to the Special Issue on Game Theory pp. 901-903

Marta Biancardi and Giovanni Villani

Optimal Abatement Technology Licensing in a Dynamic Transboundary Pollution Game: Fixed Fee Versus Royalty pp. 905-935

Hao Xu and Deqing Tan

Non-Cooperative Bargaining with Unsophisticated Agents pp. 937-974

Kristal K. Trejo, Ruben Juarez, Julio B. Clempner and Alexander S. Poznyak

Non-cooperative Mode, Cost-Sharing Mode, or Cooperative Mode: Which is the Optimal Mode for Desertification Control? pp. 975-1008

Jiayi Sun and Deqing Tan

Computing Profit-Maximizing Bid Shading Factors in First-Price Sealed-Bid Auctions pp. 1009-1035

Paulo Fagandini and Ingemar Dierickx

Correction: Computing Profit-Maximizing Bid Shading Factors in First-Price Sealed-Bid Auctions pp. 1037-1037

Paulo Fagandini and Ingemar Dierickx

Collaborative Innovation Strategy of Supply Chain in the Context of MCU Domestic Substitution: A Differential Game Analysis pp. 1039-1074

Yaxin Wang, Haoyu Wen, ZhongQuan Hu and Yuntao Zhang

An Evolutionary Game to Study Banks–Firms Relationship: Monitoring Intensity and Private Benefit pp. 1075-1093

Giovanni Villani and Marta Biancardi

Extracting Rules via Markov Chains for Cryptocurrencies Returns Forecasting pp. 1095-1114

Kerolly Kedma Felix do Nascimento, Fábio Sandro dos Santos, Jader Silva Jale, Silvio Fernando Alves Xavier Júnior and Tiago A. E. Ferreira

Pricing a Specific Equity Index Annuity in a Regime-Switching Lévy Model with Jump pp. 1115-1135

Yayun Wang

Prediction of Loan Rate for Mortgage Data: Deep Learning Versus Robust Regression pp. 1137-1150

Donglin Wang, Don Hong and Qiang Wu

A Dynamic Mechanism Design for Controllable and Ergodic Markov Games pp. 1151-1171

Julio B. Clempner

Evaluation of Non-survey Methods for the Construction of Regional Input–Output Matrices When There is Partial Historical Information pp. 1173-1205

Cristian Mardones and Darling Silva

Accurate and Efficient Finite Difference Method for the Black–Scholes Model with No Far-Field Boundary Conditions pp. 1207-1224

Chaeyoung Lee, Soobin Kwak, Youngjin Hwang and Junseok Kim

Dating Currency Crisis and Assessing the Determinants Based on Meta Fuzzy Index Functions pp. 1225-1250

Adem Gök and Nihat Tak

Threshold Moving Approach with Logit Models for Bankruptcy Prediction pp. 1251-1272

Michaela Staňková

Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques pp. 1273-1303

Bart H. L. Overes and Michel Wel

Volume 61, issue 2, 2023

Multiscale Multifractal Detrended Fluctuation Analysis and Trend Identification of Liquidity in the China's Stock Markets pp. 487-511

Ruzhen Yan, Ding Yue, Xu Wu and Wei Gao

The Convergence Investigation of a Numerical Scheme for the Tempered Fractional Black-Scholes Model Arising European Double Barrier Option pp. 513-528

Y. Esmaeelzade Aghdam, H. Mesgarani, A. Adl and B. Farnam

Recursive Computation of the Conditional Probability Function of the Quadratic Exponential Model for Binary Panel Data pp. 529-557

Francesco Bartolucci, Francesco Valentini and Claudia Pigini

Integrating Wavelet Decomposition and Fuzzy Transformation for Improving the Accuracy of Forecasting Crude Oil Price pp. 559-591

Faramarz Saghi and Mustafa Jahangoshai Rezaee

A Method to Pre-compile Numerical Integrals When Solving Stochastic Dynamic Problems pp. 593-610

Karolos Arapakis

Finite-State Markov Chains with Flexible Distributions pp. 611-644

Damba Lkhagvasuren and Erdenebat Bataa

COVID 19 Pandemic, Socio-Economic Behaviour and Infection Characteristics: An Inter-Country Predictive Study Using Deep Learning pp. 645-676

Srinka Basu and Sugata Sen

Price Change and Trading Volume: Behavioral Heterogeneity in Stock Market pp. 677-713

Changtai Li, Weihong Huang, Wei-Siang Wang and Wai-Mun Chia

Bankruptcy Prediction using the XGBoost Algorithm and Variable Importance Feature Engineering pp. 715-741

Sami Ben Jabeur, Nicolae Stef and Pedro Carmona

Use of Econometric Predictors and Artificial Neural Networks for the Construction of Stock Market Investment Bots pp. 743-773

Ciniro A. L. Nametala, Jonas Villela de Souza, Alexandre Pimenta and Eduardo Gontijo Carrano

CO2 Emission Allowances Risk Prediction with GAS and GARCH Models pp. 775-805

Nader Trabelsi and Aviral Tiwari

Valuation of Spark-Spread Option Written on Electricity and Gas Forward Contracts Under Two-Factor Models with Non-Gaussian Lévy Processes pp. 807-853

Farshid Mehrdoust and Idin Noorani

The Impact of Large Investors on the Portfolio Optimization of Single-Family Houses in Housing Markets pp. 855-873

Bilgi Yilmaz, Ralf Korn and A. Sevtap Selcuk-Kestel

Quantitative Macroeconomics: Lessons Learned from Fourteen Replications pp. 875-896

Robert Kirkby

Correction to: Generalized, Partial and Canonical Correlation Coefficients pp. 897-897

Hrishikesh Vinod

Correction to: $$\ell_{1}$$ ℓ 1 Common Trend Filtering pp. 899-900

Hiroshi Yamada and Ruoyi Bao

Volume 61, issue 1, 2023

A Novel High Dimensional Fitted Scheme for Stochastic Optimal Control Problems pp. 1-34

Christelle Dleuna Nyoumbi and Antoine Tambue

Forecasting the Dynamic Correlation of Stock Indices Based on Deep Learning Method pp. 35-55

Jian Ni and Yue Xu

A Study of the International Stock Market Behavior During COVID-19 Pandemic Using a Driven Iterated Function System pp. 57-68

Aman Gupta, Cyril Shaju, Pratibha and Kamal

DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors pp. 69-111

Siddhartha Chib, Minchul Shin and Fei Tan

Finding the Impact of Market Visibility and Monopoly on Wealth Distribution and Poverty Using Computational Economics pp. 113-137

Kashif Zia, Umar Farooq and Sakeena Al Ajmi

Multivariate Picture Fuzzy Time Series: New Definitions and a New Forecasting Method Based on Pi-Sigma Artificial Neural Network pp. 139-164

Eren Bas, Erol Egrioglu and Taner Tunc

Multivariate Regime Switching Model Estimation and Asset Allocation pp. 165-196

Kai Zheng, Weidong Xu and Xili Zhang

Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach pp. 197-231

Awatef Ourir, Elie Bouri and Essahbi Essaadi

Controlling Heterogeneous Structure of Smooth Breaks in Panel Unit Root and Cointegration Testing pp. 233-265

Tolga Omay and Perihan Iren

Robust Portfolio Optimization Based on Semi-Parametric ARMA-TGARCH-EVT Model with Mixed Copula Using WCVaR pp. 267-294

Xue Deng and Ying Liang

An Application of the IFM Method for the Risk Assessment of Financial Instruments pp. 295-315

Adrià Pons, Eduard Cristobal-Fransi, Carla Vintrò, Josep Rius, Oriol Querol and Jordi Vilaplana

Unfolding Beijing in a Hedonic Way pp. 317-340

Wei Lin, Zhentao Shi, Yishu Wang and Ting Hin Yan

Diversification and Systemic Risk of Networks Holding Common Assets pp. 341-388

Yajing Huang and Taoxiong Liu

Are the Eurozone Financial and Business Cycles Convergent Across Time and Frequency? pp. 389-427

Dalia Ibrahim

A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model pp. 429-450

Youngin Yoon and Jeong-Hoon Kim

Classifying the Variety of Customers’ Online Engagement for Churn Prediction with a Mixed-Penalty Logistic Regression pp. 451-485

Petra P. Šimović, Claire Y. T. Chen and Edward W. Sun