Computing in Economics and Finance 2004

From Society for Computational Economics
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288: Weird Ties?: Growth, Cycles and Firms Dynamics in an Agent Based-Model with Financial Market Imperfections

Domenico Delli Gatti and Mauro Gallegati

287: Time Series Filtering through Chebyshev Polynomials

Gonul Turhan-Sayan and Serdar Sayan

286: Codependence in Cointegrated Autoregressive Models

Christoph Schleicher

285: The overvaluation of PPP in Europe?

Stuart Snaith and Jerry Coakley

284: Some Practical Considerations for Applying Perturbation Methods to

Gary Anderson and Jinill Kim

282: International evidence on monetary neutrality under broken trend stationary models

R. Velazquez, Antonio Noriega and A.

281: Dynamics of an Extended Kaldor Model with Rational Expectation of Capital Efficiency and Adaptive Expectation of Inflation

Kodera and J.

280: How Large Are Returns to Scale in the U.S.? A View Across the Boundary

Thomas Lubik

279: Complex dynamics in a Pasinetti-Solow model of Growth and distribution

Pasquale Commendatore

277: State-Dependent or Time-Dependent Pricing: Does It Matter For Recent U.S. Inflation?

Oleksiy Kryvtsov and Pete Klenow

276: An endogenous growth model with concave consumption functions

Kirill Borissov and Vera Kipiatkova

273: Density Estimation and Combination under Model Ambiguity

Stefania D'Amico

272: Generalised Fading Memory Learning in a Cobweb Model: some evidence

Domenico Colucci and Vincenzo Valori

271: Adaptive Learning in Practice

Chryssi Giannitsarou and Eva Carceles-Poveda

269: Speculative option valuation: A supercomputing approach

Enrico Scalas, Alessandro Vivoli, Paride Dagna and Guido Germano

268: PERTURBED POLYNOMIAL PATH METHOD FOR ACCURATELY COMPUTING AND EMPIRICALLY EVALUATING TOTAL FACTOR PRODUCTIVITY

Baoline Chen and Peter A. Zadrozny

267: Coordination Dynamics under Collective and Random Fining Systems for Controlling Non-Point Source Pollution: A Simulation Approach with Genetic Algorithms

Eleni Samanidou

266: The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics

Oleg Korenok and Bruce Mizrach

265: Endogenous Redistributive Cycles

Maik Heinemann and Christiane Clemens

264: Nonlinear Mean Reversion in Stock Prices

S. Manzan

263: Big fortunes, aggregate saving and growth

Michael Reiter

262: Keynesian Dynamics and the wage price spiral. A baseline disequilibrium approach

T. Asada and Pu Chen

261: Asset price and wealth dynamics in a financial market with heterogeneous agents

Carl Chiarella and Roberto Dieci

260: Multi-agent modeling and simulation of a sequential monetary production economy

Marco Raberto and Silvano Cincotti

259: The Impact of Multiperiod Planning Horizons on Portfolios and Asset Prices

Marten Hillebrand

258: Co-evolution vs. Neural Networks; An Evaluation of UK Risky Money

Alicia Gazely, Jane Binner and Graham Kendall

256: Dividend and Stock Repurchase Policy with Transaction Costs

Motoh Tsujimura

255: The Impacts of Fragmented Volatilities by Learning about Predictability in the Real Options Approach

Masaaki Kijima, Shibata and Takashi

254: Inflation Targeting and Q Volatility in Small Open Economies

Paul McNelis and Guay Lim

252: Conditional Welfare Comparisons of Monetary Policy Rules

Andrew Levin and Jinill Kim

251: Estimation of the fractionally integrated process with Missing Values: Simulation and Application

Valderio A. Reisen, UFES, Brazil., Carlos Feitosa Luna and Manoel R. Sena

250: Semi-parametric procedures for Unit root and fractional cointegration tests

Valderio A. Reisen, DEST-UFES, Brazil, Luz A. M. Santander and Get-Uff

246: CHOOSING VARIABLES WITH A GENETIC ALGORITHM FOR ECONOMETRIC MODELS BASED ON NEURAL NETWORKS LEARNING AND ADAPTATION

Daniel Ramirez A. and Juan M. Gómez G.

241: Heterogeneous Agents Past and Forward Time Horizons in Setting Up a Computational Model

Serge Hayward

240: Inflation in the 1970s in the U.S.: Misspecification, Learning and Sunspots

Peter von zur Muehlen and Robert Tetlow

239: Community structure and labour market segmentation in a stochastic model of

Davide Fiaschi

238: A Dynamical Analysis of Moving Average Rules

Cars Hommes, Carl Chiarella and Xuezhong (Tony) He

237: A Dynamic Programming Approach for Pricing Options Embedded in Bonds

Hatem Ben-Ameur and Michèle Breton

235: Optimal Monetary Policy in an Imperfect World

Andrew Levin and Eric Swanson

234: Should East Asia's Currencies Be Pegged to the Yen? The Role of Pricing Behavior and Currency Invoicing

Wing Leong Teo

231: Elements in the Design of an Early Warning System for Sovereign Default

Ana-Maria Fuertes and Elena Kalotychou

230: Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?

Kirstin Hubrich

228: Forecasting sovereign default using panel models: A comparative analysis

Ana-Maria Fuertes and Elena Kalotychou

227: Price and Wealth Dynamics in an Agent-Based Model with Heterogeneous Evolving Strategies

Giulio Bottazzi and Mikhail Anoufriev

225: A double-auction artificial market with time-irregularly spaced orders

Enrico Scalas and Silvano Cincotti

224: The magnitude and Cyclical Behavior of Financial Market Frictions

Eric Swanson and Andrew Levin

223: Portfolio choice, life-cycle and idiosyncratic income risk: the semi-external habit formation approach

Thomas Weitzenblum and Philippe Bernard

222: Solving SDGE Models: A New Algorithm for Sylvester Equation

Ondra Kamenik

221: An agent-based model of directed advertising on a social network

Carolina Castaldi and F. Alkemade

220: The Optimality of the US and Euro Area Taylor Rule

Ferhat Mihoubi and Pascal Jacquinot