Computing in Economics and Finance 2000

From Society for Computational Economics
CEF 2000, Departament d'Economia i Empresa, Universitat Pompeu Fabra, Ramon Trias Fargas, 25,27, 08005, Barcelona, Spain.
Contact information at EDIRC.
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180: INFLATION TARGETING UNDER POTENTIAL OUTPUT UNCERTAINTY

Benjamin Hunt

Z178: SIMULATION OF NON-LINEAR MODELS: TESTING THE APPROXIMATION

Fabrice Collard, Patrick Fve and Michel Juillard

178: INGENUE, A MULTI-REGIONAL OVERLAPPING GENERATIONS MODEL

V. Touz Group INGENUE, Régis Breton, Rabah Arezki, Michel Juillard, M. Aglietta, J. LeCacheux, J. Fayolle, C. Lacu and B. Rzepkowski

176: NONLINEAR STOCHASTIC DYNAMICS FOR SUPPLY COUNTERFEITING IN MONOPOLISTIC MARKETS

Marco Corazza and Marco Corazza

Z175: SCALING AND MULTI-SCALING ANALYSIS IN A MARKET MODEL WITH ENDOGENOUS THRESHOLD DYNAMICS

Giulia Iori

175: SEARCH IN ARTIFICIAL LABOUR MARKETS: A SIMULATION STUDY

Massimo Daniele Sapienza Magda Fontana

174: INFORMATION TECHNOLOGY AND THE VERTICAL ORGANIZATION OF INDUSTRY

Christoph Schlueter-Langdon

173: SUM: A SURPRISING (UN)REALISTIC MARKET - BUILDING A SIMPLE STOCK MARKET STRUCTURE WITH SWARM

Pietro Terna

172: STABILIZATION OF TAG-MEDIATED INTERACTION BY SEXUAL REPRODUCTION IN AN EVOLUTIONARY AGENT SYSTEM

F. Alkemade, J.A. La Poutre and David van Bragt

171: SIMULATION OF COALITION FORMATION WITH HETEROGENEOUS AGENTS BY SWARM

Davide Fiaschi, Pier Mario Pacini and Nicolás Garrido

170: FOUNDATIONAL PROBLEMS OF SIMULATION APPROACHES TO ECONOMICS EXEMPLIFIED THROUGH SWARM MODELS

Charlotte Bruun

169: TECHNICAL TRADING VERSUS MARKET EFFICIENCY-A GENETIC PROGRAMMING APPROACH

J.P. Marney, H. Tarbert and C. Fyfe

167: KERNEL DISCRIMINATION OF TIME SERIES DATA

Rahim Chiniparadaz

161: APPLICATIONS OF PUBLIC GLOBAL OPTIMIZATION SOFTWARE TO DIFFICULT ECONOMETRIC FUNCTIONS

Max Jerrell

160: A COMPARATIVE STUDY OF ALTERNATIVE ECONOMETRIC PACKAGES: AN APPLICATION TO ITALIAN DEPOSIT INTEREST RATES

Riccardo De Bonis and Giuseppe Bruno

159: SEMIPARAMETRIC REPRESENTATION OF A GENERALIZED STOCHASTIC VOLATILITY MODEL AND HIDDEN MARKOV APPROXIMATION

Henry Z. Li

158: TESTING FOR PARAMETER INSTABILITY IN GARCH MODELS

Guillermo Llorente and J. del Hoyo

157: SIMULATION-BASED EXACT TESTS FOR STRUCTURAL DISCONTINUITIES WITH UNIDENTIFIED NUISANCE PARAMETERS: AN APPLICATION TO COMMODITIES SPOT PRICES

Lynda Khalaf, Jean-Franois Bilodeau and Jean-Daniel Saphores

155: UNIT ROOTS AND MULTIPLE STRUCTURAL BREAKS IN REAL OUPUT: HOW LONG DOES AN ECONOMY REMAIN STATIONARY?

Antonio Noriega

154: AN INVESTIGATION OF AN UNBIASED CORECTION FOR HETEROSKEDASTICITY AND THE EFFECTS OF MISSPECIFYING THE SKEDASTIC FUNCTION

David Belsley

153: RANK TEST BASED MATRIX PERTURBATION THEORY

Zaka Ratsmalahelo

152: NUMERICAL SOLUTION OF SURE MODELS DERIVING FROM VAR(P) PROCESSES

Paolo Foschi and Erricos Kontoghiorghes

151: TIME SERIES SIMULATION WITH QUASI-MONTE CARLO METHODS

Peter Winker and Jenny Li

150: FILTERING WITH WAVELETS MAY BE WORSE THAN YOU THINK

Ignacio Olmeda and Eugenio Fernndez

148: WAVELET-BASED ESTIMATION PROCEDURES FOR SEASONAL LONG-MEMORY MODELS

Brandon Whitcher

147: VALUE AT RISK INCORPORATING DYNAMIC PORTFOLIO MANAGEMENT

Stephen Lawrence

146: AGGREGATION OF DEPENDENT RISKS WITH MARGINALS IN JOHNSON SYSTEM AND GIVEN CORRELATION MATRIX

Paola Palmitesta and Corrado Provasi

145: ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK

Herman van Dijk, Luc Bauwens and Charles Bos

144: COMPUTATIONAL TOOLS FOR THE ANALYSIS OF MARKET RISK

Alberto Suarez and Santiago Carrillo

143: BLOCK PARALLEL ALGORITHMS FOR SOLVING THE GENERAL LINEAR MODEL

Erricos Kontoghiorghes and Berc Rustem

142: A SYSTEMATIC COMPARISON OF ALTERNATIVE LINEAR RATIONAL EXPECTATION MODEL SOLUTION TECHNIQUES

Gary Anderson

141: SAMPLE SELECTION PROBLEMS IN A MACROECONOMETRIC MODEL CONTEXT -- SOME FURTHER RESULTS

György Barabas and Ullrich Heilemann

140: A NUMERICAL ALGORITHM FOR THE EFFICIENT ESTIMATION OF BAND-TAR MODELS

Ana-Maria Fuertes, Maria-Teresa Perez and Jerry Coakley

138: FRACTIONAL COINTEGRATING REGRESSION IN THE PRESENCE OF LINEAR TIME TRENDS

Uwe Hassler, Francesc Marmol and Carlos Velasco

137: SEMIVARIOGRAM ESTIMATION AND PANEL DATA STRUCTURE IN SPATIAL MODELS

Theophile Azomahou

134: PREDICTING UK BUSINESS CYCLE REGIMES

Chris R. Birchenhall, Marianne Sensier and Denise Osborn

Z133: IPOS AND THE GROWTH OF FIRMS

Gian Luca Clementi

133: ESTIMATED U.S. MANUFACTURING CAPITAL AND PRODUCTIVITY BASED ON AN ESTIMATED DYNAMIC ECONOMIC MODEL

Baoline Chen and A. Zadrozny

132: THIS IS WHAT THE LEADING INDICATORS LEAD

Maximo Camacho and Gabriel Perez-Quiros

131: BIFURCATION METHODS FOR ASSET MARKET EQUILIBRIUM ANALYSIS

Kenneth Judd and Sy-Ming Guu

130: INCOMPLETE MARKETS, TRANSITORY SHOCKS AND WELFARE

Felix Kubler and Karl Schmedders

129: MONOPOLISTIC SECURITY DESIGN IN FINANCE ECONOMIES

Karl Schmedders

128: A DYNAMIC MODEL OF LABOR SUPPLY, CONSUMPTION/SAVING, AND ANNUITY DECISIONS UNDER UNCERTAINTY

Hugo Benitez-Silva

127: VISUALIZING MULTI-DIMENSIONAL FUNCTIONS IN ECONOMICS

William Goffe

124: EFFECTIVENESS OF PRICE LIMITS IN CONTROLLING DAILY STOCK PRICE VOLATILITY: EVIDENCE FROM AN EMERGING MARKET

Seza Danisoglu Rhoades and Nuray Gner

121: NONLINEAR MEAN REVERSION IN THE TERM STRUCTURE OF INTEREST RATES

Byeongseon Seo

119: SOLUTION ALGORITHMS FOR DYNAMIC CHOQUET EXPECTED UTILITY

Bryan Routledge Stanley A. Zin

117: RISK NEUTRAL FORECASTING

Spyros Skouras

114: OPTIMAL LIFE-CYCLE WITH ACTIVE LEARNING

Arik Sadeh

110: DETERMINANTS OF BANKING CRISES-A SIMULATION ESTIMATION ANALYSIS

Michal Kurcewicz