Computing in Economics and Finance 2003

From Society for Computational Economics
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108: Structural Time-Series Models with Common Trends and Common Cycles

Christoph Schleicher

107: A Functional-Modularity Approach to Preferences

Bin-Tzong Chie and Shu-Heng Chen

106: Endogenous Nontradability and Macroeconomic Implications

Reuven Glick and Paul Bergin

102: Stochastic Optimisation and Worst-Case Analysis in Monetary Policy

S. Zakovic and B. Rustem

101: Capturing Non-Linearity in the Term Structure of Interest Rates: A Fuzzy Logic to Approach Estimating the Yield Curve

Richard Taylor and David Giles

100: Bundling and Pricing for Information Brokerage: Customer Satisfaction as a Means to Profit Optimization

J.A. La Poutre and D.J.A. Somefun

99: Optimal Settlement Duration Under Holdout Threat

Suheyla Ozyildirim

98: Relative Payoffs and Evolutionary Spite --- Evolutionary Equilibria in Games with Finitely Many Players

Christiane Clemens and Thomas Riechmann

97: Genetic Programming Software to Forecast Time Series

M. A. Kaboudan

94: Second- and Higher-Order Consumption Functions: A Precautionary Tale

James Feigenbaum

93: The Optimal Monetary Policy Response to Shifts in Trend MFP Growth: A DGE Analysis

Rochelle Edge and Thomas Laubach

92: Alternative Sources of the Lag Dynamics of Inflation

Peter Tinsley and Sharon Kozicki

91: Estimating nonlinear dynamic economies: A likelihood approach

Jesus Fernandez-Villaverde and Juan F Rubio-Ramirez

90: The US Business Cycle: an agent-based model of heterogenous firms operating under uncertainty

Paul Ormerod

89: How stable are monetary policy rules: Estimating the time-varying coefficients in a monetary policy reaction function for the U.S

I-Lok Chang, P.A.V.B. Swamy and George Tavlas

88: Multi-Asset Market Dynamics

Frank Westerhoff

86: Complex Dynamics and Financial Fragility in an Agent Based Model

Mauro Gallegati and Gianfranco Giulioni

85: Organizational Depressions

Roberto Samaniego

83: Calibration, forecasts and sensitivity analysis in overlapping generations models

Alexander Ludwig

81: A Decompositional Approach to the Estimation of Technological Change

Shinichiro Okushima and Makoto Tamura

79: Examining Risk Attitudes

Margo Bergman

74: Genetic Programming and International Short-Term Capital Flow

Tzu-Wen Kuo and Shu-Heng Chen

72: Habit Formation and the Persistence of Monetary Shocks

Hafedh Bouakez and Emanuela Cardia

71: Optimal Experimentation and the Perturbation Method

Thomas Cosimano

70: Conditional distribution resampling for time series

Cees Diks and Svetlana Borovkova

69: The Impact of Macroeconomic Uncertainty on Cash Holdings for Non-Financial Firms

Christopher Baum, Mustafa Caglayan and Neslihan Ozkan

68: Endogenous Networks in Random Population Games

Marco Valente, Giorgio Fagiolo and Luigi Marengo

66: The Use of Simulations in Developing Robust Knowledge about Causal Processes: Methodological Considerations and an Application to Industrial Evolution

Johann Peter Murmann and Thomas Brenner

65: An Empirical Examination of Term Structure Models with Regime Shifts

Martin Sola, John Driffil and Turalay Kenc

64: Higher-Order Solutions to Dynamic, Discrete-Time Rational Expectations Models: Methods and an Application to Optimal Monetary Policy

Eric Swanson, Gary Anderson and Andrew Levin

63: Schelling's Spatial Proximity Model of Segregation Revisited

Romans Pancs and Nicolaas Vriend

62: Simulating the Evolution of Portfolio Behavior in a Multiple-Asset Agent-Based Artificial Stock Market

Ya-Chi Huang and Shu-Heng Chen

61: Does Exchange Rate Risk Matter for Welfare?

Ivan Tchakarov and Paul Bergin

59: Signal Extraction can Generate Volatility Clusters

J. Huston McCulloch and Prasad Bidarkota

58: Global Warming Policy and Distributional Effects: A General Equilibrium Analysis

Shinichiro Okushima

55: Indeterminacy and interest rate rules: The role of fiscal policy

Maik Heinemann

54: Solving Asset Pricing Models with Stochastic Dynamic Programming

Lars Grune and Willi Semmler

53: Business Cycles, Wage Stickiness and Nonclearing Labor Market

Willi Semmler and Gang Gong

52: Nominal Rigidity, Desired Markup Variations, and Real Exchange Rate Persistence

Hafedh Bouakez

49: How Important is Precommitment for Monetary Policy?

Ulf Söderström and Richard Dennis

48: Information Security and Economics in Computer Networks: An Interdisciplinary Survey and a Proposal of Integrated Optimization of Investment

Kanta Matsuura

47: Indeterminacy, Demand Shocks, and International Business Cycles

Wei Xiao

45: A Stochastic Seasonal Model for Commodity Option Pricing

Monica Barbu and Kevin Burrage

44: Forecasting Demand for Natural Gas Using GP-Econometric Integrated Systems

M. A. Kaboudan

43: The States vs. the states: On the Welfare Cost of Business Cycles in the U.S

Michel Robe and Stephane Pallage

41: Capital Utilization, Economic Growth and Convergence

Santanu Chatterjee

40: Endogenous life expectancy and the wealth of nations

Fidel Perez-Sebastian and Chris Papageorgiou

39: McKean’s Method applied to American Call Options on Jump-Diffusion Processes

Andrew Ziogas and Carl Chiarella

38: Public and Private Information in Monetary Policy Models

Hyun Song Shin and Jeffery D. Amato

37: Finding and Verifying All Solutions of a System of Nonlinear Equations Using Public Domain

Wendy Campione and Max Jerrell