Computing in Economics and Finance 2002

From Society for Computational Economics
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127: Probability distribution of returns in the Heston model with stochastic volatility

A. Dragulescu and Victor Yakovenko

126: Intergenerational Dynamic Production Teams

Michèle Breton, Pascal St-Amour and Désiré Vencatachellum

125: Exponential and power-law probability distributions of wealth and income in the United Kingdom and the United States

A. Dragulescu and Victor Yakovenko

123: A Spline LR Test for Goodness-of-Fit

J. Huston McCulloch and E. Richard Percy, Jr.

122: Portfolio Optimization: which alternatives to standard gaussian model?

Marina Resta

121: International Real Business Cycles: A comparison of competing models using likelihood techniques

Joann Bangs and John Landon-Lane

120: Viability of Cooperation in Evolving Interaction Structures

Nobuyuki Hanaki and Alexander Peterhansl

119: Information, Trading, and the Pricing of Risky Financial Securities

Christopher Rude

118: Investment and Discovery: Market coordination when investing in projects with endogenous payoffs

David Goldbaum

117: Learning and Non-Linear Misspecification

Christophre Georges

115: Partial Current Information and Signal Extraction in a Rational Expectations Macroeconomic Model: A Computational Solution

Laurian Lungu and Kent Matthews

114: Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities

Alfredo Ibáñez

113: Global Optimization Methods for Estimation of Smooth Transition Autoregressive Models

Ana-Maria Fuertes, Miguel A. Martin and M. Teresa Perez

112: Market Structure and Endogenous Productivity Growth

Christopher Laincz

109: New Tools in Micromodeling Retirement Decisions: Overview and Applications to the Italian Case

Luca Spataro

108: Aging, pension reform and capital flows: a multi-country simulation model

Axel Börsch-Supan, Alexander Ludwig and Joachim Winter

107: Endogenous fluctuations in the demand for education

Michael Neugart and Jan Tuinstra

106: An Algorithm for On-Line Price Discrimination

David van Bragt, D.J.A. Somefun, E. Kutschinski and J.A. La Poutre

105: Numerical Simulation of the Term Structure of Interest Rates using a Random Field

Stuart McDonald and Rodney Beard

104: Solving Stochastic Dynamic Optimization Models with Approximations: Some Experiments

Gang Gong and Willi Semmler

102: Solving Ecological Mangement Problems Using Dynamic Programming

Mika Kato, Lars Gruene and Willi Semmler

101: Ferebees Algorithm

Malte Sieveking

100: Structural Change Testing in Stochastic Volatility Models

J. del Hoyo and J.-Guillermo Llorente

99: Using Dynamic Programming with Adaptive Grid Scheme to Solve Nonlinear Dynamic Models in Economics

Lars Gruene and Willi Semmler

98: Coordination, Local Interactions, and Endogenous Neighborhood Formation

Giorgio Fagiolo

97: Contribution Levels and Discrete Public Goods: Strategic Learning of Boundedly Rational Agents

Christiane Clemens and Thomas Riechmann

96: Schelling's Neighborhood Segregation Model Revisited

Romans Pancs and Nicolaas Vriend

95: Clashing Fundamentalists and the Dynamics of Price Formation

Marco LiCalzi and Paolo Pellizzari

94: The Impact of Macroeconomic Uncertainty on Bank Lending Behavior

Christopher Baum, Mustafa Caglayan and Neslihan Ozkan

93: The Impact of History on the Emergence of Localised Industrial Clusters - An Simulation Approach

Thomas Brenner

92: An evolutionary model of substitution-diffusion processes

Witold Kwasnicki

90: The Influence of Representation in the GP-Based Artificial Double Auction Market: The Cases of GP with and without Automatically Defined Functions

Chia-Hsuan Yeh

89: Nonlinear Phillips Curves, the Emergence of Complex Dynamics and the Role of Monetary Policy Rules

Carl Chiarella, Peter Flaschel, Gang Gong and Willi Semmler

88: PRICE DYNAMICS AND DIVERSIFICATION UNDER HETEROGENEOUS EXPECTATIONS

Carl Chiarella, Roberto Dieci and Laura Gardini

87: Time series evidence of international output convergence in Mercosur

Mariam Camarero, R. Flôres and Cecilio Tamarit

86: Agent Based Cournot Games

Thomas Riechmann

84: Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility

Carl Chiarella and Silvana Musti

83: On the Determination of the Number of Regimes in Markov-Switching Autoregressive Models

Zacharias Psaradakis and Nicola Spagnolo

80: Evaluating the CDF for m weighted sums of n correlated lognormal random variables

Lars Rasmusson

79: The efficiency of the Taylor rule, a stochastic analysis using the Macsim model

Jean Louis Brillet

78: Hybrid multi-objective evolutionary computation of constrained downside risk-return efficient sets for credit portfolios

Frank Schlottmann and Detlef Seese

77: Nonlinear Terminal Constraints for Discrete-Time Saddle Path Models

Gary Anderson

76: Perturbation Analysis of Nonlinear Discrete-Time Saddle Path Models

Gary Anderson

74: Stochastic Pollution and Environmental Care in an Endogenous Growth Model

Susanne Soretz

73: Pattern Matching in Multidimensional Time Series

Arnold Polanski

72: interpolation with a large information set

Angelini, Henry, Marcellino

71: Embodiment, adoption and maintenance: Lessons from one hoss shay models

Raouf Boucekkine, Blanca Martinez and Çağrı Sağlam

69: A Method of Correcting for Omitted-Variables and Measurement-Errors Bias in Panel Data

P.A.V.B. Swamy and I-Lok Chang

68: Central Bank Learning, Terms of Trade Shocks & Currency Risks: Should Only Inflation Matter for Monetary Policy?

Guay Lim and Paul McNelis

66: The losses brought out by the NATIONAL-TREATMENT COMMITMENT rule for TRIPs under the WTO

Rafael Morais