Computing in Economics and Finance 2002

From Society for Computational Economics
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324: A Simulation Framework for Heterogeneous Agents

David Meyer, Alexandros Karatzoglou, Christian Buchta, Friedrich Leisch and Kurt Hornik

323: Employment at risk of employment protection: assessing the cost of policy uncertainty

Pierre-Yves Hénin, Olivier Allais and Thomas Weitzenblum

322: Nonlinear models for financial time series with multiple attraction regions

Svetlana Borovkova

321: Exact Testing of the Stability of the Phillips Curve

Lynda Khalaf and Maral Kichian

320: fiscal policy and endogenous fluctuations

Pietro Senesi

319: Existence and Uniqueness of Price Equilibrium in Discrete Choice Models

Zsolt Sandor

318: Programming

Charlotte Bruun

317: A minimal noise trader model with realistic time series

Simone Alfarano and Thomas Lux

316: The Hunt Hypothesis and the Dividend policy of the firm. The Chaotic Motion of the Profits

Safieddine Bouali

315: The Analysis of Economic Non linear Systems: Using the Tool of “Floquet Theory”

Marisa Faggini

314: Indirect Estimation of the Parameters of Agent Based Models of Financial Markets

Peter Winker and Manfred Gilli

313: The Analysis of Economic Non linear Systems: Methods for the case of Changing Parameters - “Floquet Theory” and Landscape Fitness

Massimo Salzano

311: Are There Multiple Regimes in Financial Volatility?

Marcelo Medeiros and Alvaro Veiga

310: Foreign Exchange Risk Premia

Lynne Evans, Nathan Joseph and Turalay Kenc

309: A constraint programming agent for automated trading

E. Aurell, M. Boman, M. Carlsson, J. Eriksson, N. Finne, S. Janson, P. Kreuger and L. Rasmusson

308: Evolutionary Bargaining with Cooperative Investments

Herbert Dawid and W. Bentley Macleod

307: Adaptive Polar Sampling

Luc Bauwens, Charles Bos, Herman van Dijk and Rutger D. van Oest

306: Innovation and Diversification in Short-lived Markets

Herbert Dawid and Marc Reimann

304: Merton-style option pricing under regime switching

Edward Driffill, Turalay Kenc and Martin Sola

303: The simulation methodology of the macroeconometric model MARMOTTE

A. Kadareja, Frédéric Karamé and B. Rzepkowski

302: Persistency and Money Demand Distortions in a Stochastic DGE Model with Sticky Prices and Capital

Michael Gail

301: Traders’ long-run wealth in an artificial financial market

Marco Raberto, Silvano Cincott, Sergio M. Focardi and Michele Marchesi

300: Are real-time estimates of the output gap reliable?

Gerhard Rünstler

299: Pricing-to-market and limited participation: a joint explanation to the exchange rate disconnect puzzle

Lise Patureau

298: An MTAR Test for Stock Market Bubbles

Jerry Coakley and Ana-Maria Fuertes

296: Bridging GARCH Model and Prospect Theory in Financial Market Behaviors via Agent-Based Simulation

Hiroshi Takahashi and Takao Terano

295: Computation of the value function indiscrete stochastic optimal growth models

Thorsten Pampel

294: A branch and bound algorithm for computing the best subset regression models

Cristian Gatu and Erricos Kontoghiorghes

293: Path-Following Algorithm for Parametric Analysis of a Pension Reform

Sabit Khakimzhanov

292: The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions

Carl Chiarella, Nadima El-Hassan and Adam Kucera

290: A Non-Causal Identification Scheme for Vector Autoregressions

Massimo Franchi

289: Asymptotic Expansion Methods for Dynamic Models with Incomplete Asset Markets

Kenneth Judd

288: The Alpha-Quantile Distribution Function and its Applications to Financial Modeling

Ivana Komunjer

287: Simulation of Dynamic Trade Equilibrium with a 2x2x2x2 Overlapping Generations General Equilibrium Model when Savings and Population Growth Rates Differ across Countries

Serdar Sayan

285: An Asymptotic MLE Approach to Modelling Multiple Frequency GARMA Models

Aaron Smallwood and Paul Beaumont

284: On International Consequences of Population Ageing (an applied multi-country multi-sector OLG GE approach)

Jean Mercenier and M. Merette

282: Sigma-Convergence in Clubs of European Regions

Helene Chevrou-Severac

281: An Efficient Monte Carlo Study of Feasible Generalized Least Squares Estimators for Panel Data Models

Elena Casquel and Ezequiel Uriel

280: A Multi-Factor Model with Irregular Returns for missing values imputation in emergent markets: Application to Brazilian Equity Data

Alvaro Veiga and Leonardo Souza

279: Hedging using simulation: a least squares approach

Claudio Tebaldi

276: Spanish diffusion indexes

Israel Sancho and Maximo Camacho

274: Nonlinear stochastic trends and economic fluctuations

Maximo Camacho

272: Using a Stochastic Complexity Measure to Check the Efficient Market Hypothesis

Yael Alon- Brimer, Armin Shmilovici and Shmuel Hauser

271: Conjugate Gradient methods for solving sparse Simultaneous Equations Models

Paolo Foschi and Erricos Kontoghiorghes

266: Dynamical Modeling of the Demographic Prisoner’s Dilemma

Victor Dorofeenko and Jamsheed Shorish

264: Statistical analysis of the implied volatility derivative

Paul Lynch and Nigel Allinson

263: Relationships between market sentiment and price dynamics in an artificial stock market

Takshi Yamada, Kazuhiro Ueda and Takashi Okatsu

262: Computer Testbeds and Mechanism Design

Jasmina Arifovic and John Ledyard

261: A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models

Carl Chiarella, Mark Craddock and Nadima El-Hassan

260: Metadata Standards for Economics Web Sites

William Goffe