Computing in Economics and Finance 2001

From Society for Computational Economics
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152: On Genes, Insects, and Crystals: Determining Marginal Diversification Effects With Nature Based Algorithms

Dietmar G. Maringer Christian Keber

151: Multiple Regimes in U.S. Monetary Policy? A Nonparametric Approach

John Duffy and Jim Engle-Warnick

150: Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments

Nikolay Gospodinov

149: Studying Real Options with Genetic Algorithms

Oliver Musshoff Alfons Balmann

148: Adjustment Costs of Agri-Environmental Policy Switchings: A Multi-Agent Approach

Alfons Balmann, Kathrin Happe, Konrad Kellermann, Anne Kleingarn

147: Risk Adjusted Returns to Technical Trading Rules: a Genetic Programming Approach

Marney, Colin Fyfe, Heather Tarbert, David Miller Jp

146: An Adaptive Electronic Market-Maker

Nicholas T. Chan and Christian Shelton

145: The Real Interest Rate Gap as an Inflation Indicator

Katharine S. Neiss and Edward Nelson

144: Cost of Business Cycles under Incomplete Markets

Yann Algan and Olivier Allais

143: A recursive algorithm for solving SUR models

Erricos J. Kontoghiorghes and Paolo Foschi

140: Between-Group Dependence in PPP Equations and its Causes: A Principal Components Approach

Jerry Coakley, Ana-Maria Fuertes, Ron Smith

139: Social Security evaluation: A critique

Jorge Soares

138: Practical

Gary Anderson

137: Solving and Estimating Finite Mixture Models in Parallel

Christopher Ferrall

136: Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity

Nikolay Gospodinov

135: Can Trade Theory Help Us Understand the Linkages Between International Trade and Business Cycles?

M. Ayhan Kose and Kei-Mu Yi

134: Evaluating Business Cycle Models with Labor Market Search

Robert Hussey

133: Government Expenditure and Long-Run Stochastic Growth

Christiane Clemens

132: Bifurcation Routes and Economic Stability

Miloslav Vošvrda

131: Evaluating Information Variables for Monetary Policy in a Noisy Economic Environment

Gunter Coenen, Volker Wieland, Andrew Levin

130: Micro Heterogeneity and Macro Dynamics: an Empirical Analysis

Filippo Altissimo

128: Algorithmic Design and Beowulf Cluster Implementation of Stochastic Simulation Code of Stochastic Simulation Code for Large Scale Non Linear Models

Gary Anderson And Raymond Board

127: Spectral Analysis as a Tool for Financial Policy: An Analysis of the Short-End of the British Term Structure

Christian R Richter Andrew Hughes Hallett

126: Increasing returns and cycles in fishing

M. Liski, P.M. Kort, A.J. Novak

125: Return-based Style Analysis with Time-varying Exposures

Laurens Swinkels

124: Simulation

Nalan

123: G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models

S»bastien Laurent and Jean-Philippe Peters

122: Financial Risk Management in the Danish Mortgage Market

Rolf Poulsen Soren S. Nielsen

121: A computational model for incomplete contracts

Juan D. Montoro-Pons

120: Succes and Failure of Technical Trading Strategies in the Cocoa Futures Market

Boswijk, H.P., Griffioen, G.A.W., Hommes, C.H.

119: Evolutionary dynamics in financial markets with many trader types

W.A. Brock, C.H. Hommes and F.O.O. Wagener

118: Evolving Automata Negotiate with a Variety of Opponents

D.D.B. van Bragt and J.A. La Poutre

117: How different is the cyclical behavior of home production across countries?

William Blankenau and M. Ayhan Kose

116: International Portfolio Choice and Liquidity Constraints: Can Small Information Costs Explain the Home Equity Bias Puzzle?

Alexander Michaelides

115: Portfolio Choice, Liquidity Constraints and Stock Market Mean Reversion

Alexander Michaelides

114: Parallelization and Performance of Portfolio Choice Models

A. Abdelkhalek, A. Bilas and A. Michaelides

113: Krylov Methods and Preconditioning in Computational Economics Problems

Mico Mrkaic and Giorgio Pauletto

112: Parametric Path Method: An alternative to Fair-Taylor and L-B-J for solving perfect foresight models

Kenneth Judd

111: Market making, price formation, and technical trading

Doyne Farmer, John Geanakoplos, and Paul Melby

110: An Anticipative Feedback Solution for Infinite-Horizon Linear-Quadratic Dynamic Stackelberg Games

Baoline Chen and Peter Zadrozny

108: Volatility

Blake LeBaron

107: Simulated Specification Tests for Panel Multinomial Probit Models: Some Finite Sample Evidence

Jiahui Wang

106: A Gibbs Sampler for Mixed Logit Analysis of Differentiated Product Markets Using Aggregate Data

Charles J. Romeo

105: Market Efficiency and Learning in an Endogenously Unstable Environment

David Goldbaum

104: Holdup and the Evolution of Bargaining Conventions

Herbert Dawid and Bentley MacLeod

103: A numerically computed DNS-curve in a two state capital accumulation model

Haunschmied, J.L., Kort, P.M., Hartl, R.F., Feichtinger, G.

102: The Present Value Model of the Current Account Has Been Rejected: Round Up the Usual Subjects

James M. Nason and John H. Rogers

101: The use of Fuzzy Decision Tree Analysis in Monitoring a Minimum Wage

Keith Whitfield Malcolm Beynon

100: A Dynamic Model of Job Search Behavior over the Life Cycle with Empirical Applications

Hugo Benitez-Silva

99: Econometric analysis of the sequential probit model with an application to innovation surveys

Patrick Waelbroeck