Computing in Economics and Finance 2002

From Society for Computational Economics
Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

65: The Multiple Dimensions of Asset Allocation:Countries, Sectors or Factors?

Sebastien Page and Anne-Sophie Vanroyen

64: Optimal switching time of technologies

Raouf Boucekkine, Çağrı Sağlam and Thomas Vallee

63: Nonlinear estimation algorithms in econometric packages: a comparative analysis

Giuseppe Bruno

61: Structural Models of Competitive Market Behavior: An Estimation Approach Using Disaggregate Data

Michaela Draganska and Dipak Jain

60: Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Models

Min-Hsien Chiang and Chihwa Kao

59: Inflation Targeting and Nominal Income Growth Targeting: When and Why Are They Suboptimal?

Jinill Kim and Dale Henderson

58: Detecting shift-contagion in currency and bond markets

Toni Gravelle, Maral Kichian and James Morley

57: Existence of Strongly Rational Expectations Equilibria on Asset Markets with Asymmetric Information

Maik Heinemann

54: Smooth Iterative Projection Methods for Recursive Economies

Olivier Morand and Kevin Reffett

53: RISK ADJUSTED RETURNS AND TECHNICAL TRADING RULES FROM DATA PROJECTION

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

52: Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models

Pierre Giot and Sébastien Laurent

51: Heterogeneous Traders and the Tobin Tax

Frank Westerhoff

50: Welfare Improving Fiscal Policies in a Two-Country Model

Jinill Kim and Sunghyun Kim

48: An agent-based model of the evolution of competition and market structure

Paul Ormerod, Bridget Rosewell and Laurence Smith

47: Household Risk Management and Optimal Mortgage Choice

John Campbell and Joao F. Cocco

46: Short and Long Term Real Effects of Exchange Rates

Yunus Aksoy and Hanno Lustig

44: A simple microstructure model of double auction markets

Giulia Iori and Carl Chiarella

42: 'Risky Habits' and the Marginal Propensity to Consume Out Of Permanent Income

Christopher Carroll

39: Asset Price Bubbles and Crashes With Zero--Intelligence Traders

John Duffy and Utku Unver

35: Testing abnormal performance in event studies with small samples

J.S. Baixauli and Sharon Alvarez

32: Minority Games of Heterogeneous Agents

Saori Iwanaga Author-Name; Akira Namatame

31: Sensitivity Analysis of GARCH Models

Vladimiro Ceci,, Simone Manganelli and Walter Vecchiato

30: On the accuracy of the estimated policy function using the Bellman contraction method

Wilfredo Maldonado and Benar F. Svaiter

29: An analysis of the robustness of Genetic Algorithm (GA) methodology in the design of trading systems for the Stock Exchange

Laura Nuñez Letamendia

28: Evaluation of American Strangles

Carl Chiarella and Andrew Ziogas

27: On Market Games with Misspecified Demand Functions: Long Run Outcomes and Global Dynamics

Gian Italo Bischi, Carl Chiarella and Michael Kopel

26: Risk and Multi-resolution Regimes in Volatility Processes

Enrico Capobianco

25: Unified Game Theory

Edward Jimenez

24: A Percolation Model of Innovation in Complex Technology Spaces

Gerald Silverberg and Bart Verspagen

22: Genetic Learning and the Stylized Facts of Foreign Exchange Markets

Thomas Lux and Sascha Schornstein

21: A contractive method for computing the stationary solution of the Euler equation

Wilfredo Maldonado and Humberto Moreira

20: Design Patterns in Models of Emergence

C. R. Birchenhall

19: Multivariate GARCH models and their Estimation

Luc Bauwens, Sébastien Laurent, J.P. Peters and Jeroen Rombouts

18: Volatility of a Market Index and its Components: An Application to Commodity Markets

Clinton Watkins and Michael McAleer

17: A hybrid clustering scheme for time series forecasting

A. Sfetsos and Costas Siriopoulos

16: Effects of Wealth and Income Uncertainty on the Decision to Work, to Search or Not to Participate at All

Susanne Maidorn

15: Trade and Human Capital Spillovers in A Cellular Genetic Automaton Model of the Low-Level Equilibrium Trap

Roger McCain

14: REVERSE SHOOTING IN A MULTI-DIMENSIONAL SETTING

Ric D Herbert and Peter J Stemp

13: Dynamics of Intra-EMS Interest Rate Linkages

Christopher Baum and John Barkoulas

10: Is non-linear serial dependence present in the US unemployment rate and the growth rates of employment sectoral shares?

Theodore Panagiotidis and Gianluigi Pelloni

8: Optimal Monetary Policy When Interest Rates are Bounded at Zero

Ryo Kato and Shin-Ichi Nishiyama

5: A New Class of Multivariate skew Densities, with Application to GARCH Models

Luc Bauwens and Sébastien Laurent

3: Are Capital Markets Efficient? Evidence from the Term Structure of Interest Rates in Europe

Andrew Hughes Hallett and Christian Richter

2: production risk and the functional distribution of income in a developing economy

Cecilia Garcia-Penalosa and Stephen J Turnovsky