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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109: TRADING RISK IN MOBILE-AGENT COMPUTATIONAL MARKET

Jonathan Bredin, David Kotz and Daniela Rus

107: FOREIGN AID AND THE BUSINESS CYCLE

Michel Robe and Stephane Pallage

105: THE OPTIMUM NUMBER OF LINKS FOR INTERNET COMPANIES

Ayla Ogus Binatli, Michael de la Maza and Deniz Yuret

104: VISUAL ECONOMETRICS: TEACHING AND PRACTICING ECONOMETRICS USING VISTA

Giovanni Baiocchi and Walter Distasso

Z101: FINANCIAL DATA PREDICTION BY MEANS OF GENETIC PROGRAMMING

Hitoshi Iba

101: ON THE INFORMATIONAL CONTENT OF ASSET PRICES

Demosthenes Tambakis

99: ALTERNATIVE VALUE-AT-RISK MODELS FOR OPTIONS

Alfred Lehar

98: PREFERENCE RELATIONS IN RANKING MULTIVALUED ALTERNATIVES USING STOCHASTIC DOMINANCE: CASE OF THE WARSAW STOCK EXCHANGE

Grazyna Trzpiot

97: A NON LINEAR TIME SERIES APPROACH TO MODELLING ASYMMETRY IN STOCK MARKET INDEXES

Giuseppe Storti and Alessandra Amendola

93: MONTE CARLO VALUATION OF AMERICAN OPTIONS THROUGH COMPUTATION OF THE OPTIMAL EXERCISE FRONTIER

Fernando Zapatero and Alfredo Ibez

92: WHAT WILL HAPPEN TO FINANCIAL MARKETS WHEN THE BABY BOOMERS RETIRE?

Robin Brooks

89: SUSTAINABLE FISCAL POLICY: NUMERICAL COMPUTATION OF MARKOV EQUILIBRIA IN A DYNAMIC GAME

Sabit Khakimzhanov

85: PROFITABILITY AND MARKET STABILITY: FUNDAMENTALS AND TECHNICAL TRADING RULES

David Goldbaum

84: PATTERNS OF CONSUMPTION IN DISCRETE CHOICE MODELS WITH ASYMMETRIC INTERACTIONS

Vassilis Koulovassilopoulos and Giulia Iori

82: AN EVOLUTIONARY MODEL OF DEBT

Kislaya Prasad and Mary Burke

81: EXPERIMENTATION AND LEARNING IN RATIONAL ADDICTION MODELS WITH MULTIPLE ADDICTIVE GOODS

Mico Mrkaic and Holger Sieg

80: MODELLING EXPECTATIONS WITH GENEFER- AN ARTIFICIAL INTELLIGENCE APPROACH

Stefan Kooths and Eric Ringhut

79: ESTIMATION OF ACTUARIAL LOSS FUNCTIONS AND THE TAIL INDEX USING TRANSFORMATIONS IN KERNEL DENSITY ESTIMATION

Montserrat Guillen, Jens Perch Nielsen and Catalina Bolance

77: LONG RUN VALUE AT RISK

C. Bruneau, M. El Archi and J.P. Nicola

73: THE MACSIM PROJECT GENERAL ECONOMIC DESCRIPTION

Jean Louis Brillet, Raymond Gambini, Patricia Augier and Gilbert Cette

71: IMPLEMENTATION OF BOOTSTRAP TECHNIQUES FOR ECONOMETRIC FORECASTS: ILLUSTRATIONS IN THE CAR INDUSTRY

Sandrine Juan and Frdric Lantz

70: MOSI: AN ACCOUNT SYSTEM FOR THE DUTCH SOCIAL SECURITY

van der Jan Leeuw

69: TIME CONSISTENCY OF OPTIMAL FISCAL POLICY IN AN ENDOGENOUS GROWTH MODEL

Begoa Domnguez Manzano

68: SPECIFICATION TESTING OF UNIVARIATE CONTINUOUS-TIME INTEREST RATE MODELS

Renato G. Flres and Cristian Huse

67: REVISITING THE FINITE MIXTURE OF GAUSSIAN DISTRIBUTIONS WITH APPLICATIONS TO FUTURES MARKETS

Chiraz Labidi and Thierry An

66: LOCAL DURABILITY AND LONG RUN HABIT PERSISTENCE: AN EVALUATION OF THE U.S. RISK PREMIA

Olivier Allais

Z65: POPULATION AGEING IN CANADA: AN OVERLAPPING GENERATIONS SIMULATION ANALYSIS

Marcel Mrette

64: FAST NONLINEAR DETERMINISTIC FORECASTING OF SEGMENTED STOCK INDICES USING PATTERN MATCHING AND EMBEDDING TECHNIQUES

Georgios Banavas, Sue Denham and Michael J. Denham

63: A COMPUTATIONAL APPROACH ON NEIGHBOURHOOD STRUCTURES IN THE SIMULATION OF DICHOTOMOUS DEVELOPMENT

Marina Resta

61: FINANCIAL TIME SERIES FORECASTING BY NEURAL NETWORK USING CONJUGATE GRADIENT LEARNING ALGORITHM AND MULTIPLE LINEAR REGRESSION WEIGHT INITIALIZATION

Chi-Cheong Chris Wong, Man-Chung Chan and Chi-Chung Lam

59: UNDERSTANDING BID-ASK SPREADS OF DERIVATIVES UNDER UNCERTAIN VOLATILITY AND TRANSACTION COSTS

Thierry An and Vincent Lacoste

58: TESTING THE PRICING-TO-MARKET HYPOTHESIS CASE OF THE TRANSPORTATION EQUIPMENT INDUSTRY

Maral Kichian and Lynda Khalaf

57: THE ECONOMICS OF CATTLE SUPPLY

David Aadland

54: THE USE OF TIME AND FINANCIAL VALUE IN PROJECT DECISION TREES - A SPECIFIC MODEL AND AN ALGORITHM FOR ROLLING BACK THE TREES

Pedro Godhino and João Costa

52: INFERENCE BASED ON RESAMPLING TECHNIQUES FOR NEURAL NETWORKS IN REGRESSION MODELS

Michele La Rocca, Francesco Giordano and Cira Perna

51: OPTIMAL BUYER NEGOTIATION STRATEGY ON AGENT BASED INTERNET MARKETS

Laurent Deveaux, Mathieu Latourette and Corina Paraschiv

42: ON THE SOLUTION OF THE DYNAMIC RATIONAL EXPECTATIONS COMMODITY STORAGE MODEL IN THE PRESENCE OF STOCKHOLDING BY SPECULATORS AND PROCESSORS

Cesar Revoredo-Giha

40: NON-PARAMETRIC SPECIFICATION TESTS FOR CONDITIONAL DURATION MODELS

Marcelo Fernandes and Joachim Grammig

37: A SEMI-NONPARAMETRIC ESTIMATOR FOR COUNTS WITH AN ENDOGENOUS DUMMY VARIABLE

Andres Romeu and Angel Marcos Vera-Hernndez

36: SIMULATION ANALYSIS OF REGRESSION ESTIMATORS BASED ON COEFFICIENTS OF UNCERTAINTY

Andrzej Grzybowski

33: A 2 DIMENSIONAL PDE FOR DISCRETE ASIAN OPTIONS

Eric Benhamou and Alexandre Duguet

32: SOCIAL DYNAMICS AND INTEREST GROUPS IN A MODEL OF SPATIAL COMPETITION

Jan Tuinstra, Vjollca Sadiraj and Frans van Winden

31: AN EXACT TEST FOR THE CHOICE OF THE COMBINATION OF FIRST DIFFERENCES AND PERCENTAGE CHANGES IN LINEAR MODELS

Wai Cheung Ip

27: FISCAL POLICY AND BUDGET DEFICIT STABILITY IN A CONTINUOUS TIME STOCHASTIC ECONOMY

João Amador

24: A COMPARISON OF DISCRETE AND PARAMETRIC METHODS FOR CONTINUOUS-STATE DYNAMIC PROGRAMMING PROBLEMS

Hugo Benitez-Silva, John Rust, Gunter Hitsch, Giorgio Pauletto and George Hall

22: COMPETITION AND THE OPTIMAL ORGANIZATIONAL STRUCTURE OF MULTI-UNIT FIRMS

Joseph Harrington and Myong-Hun Chang

20: OPTGAME 2.0: AN ALGORITHM FOR EQUILIBRIUM SOLUTIONS OF N-PERSON DISCRETE-TIME (NON-)LINEAR DYNAMIC GAMES

Reinhard Neck and Doris A. Behrens

14: WORST-CASE DESIGN IN OPTIMAL PORTFOLIOS

Berc Rustem

13: HEDGING PORTFOLIOS OF DERIVATIVES SECURITIES WITH MAXIMIN STRATEGIES

Alfredo Ibaez

8: LARGE NONPARAMETRIC ESTIMATION OF TIME VARYING CHARACTERISTICS OF INTERTEMPORAL ASSET PRICING MODELS

Peter Woehrmann, Willi Semmler and Martin Lettau

3: EMPLOYMENT AND WELFARE EFFECTS OF A TWO-TIER UNEMPLOYMENT COMPENSATION SYSTEM

Burkhard Heer