Computing in Economics and Finance 2004

From Society for Computational Economics
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219: Fitting and comparing stochastic volatility models through Monte Carlo simulations

Silvano Bordignon and Davide Raggi

218: Negotiating over Bundles and Prices Using Aggregate Knowledge

Koye Somefun and Tomas Klos

217: On Learning Equilibria

Florian Wagener and Jan Tuinstra

216: Demand Side Shocks and Macroeconomic Policy

Maciej Dudek

215: Habit formation and Interest-Rate Smoothing

Sean Holly and Luisa Corrado

213: Stochastic Optimisation and Worst Case Analysis in Monetary Policy Design

S. Zakovic, Volker Wieland and B. Rustem

212: The New Keynesian Phillips Curve: An Empirical Assessment

Florian Pelgrin, Alain Guay and Richard Luger

211: An evolutionary approach to the El Farol game

Jan Tuinstra, Pietro Dindo and C.H. Hommes

209: Heterogeneous Investment Horizons in a Simple Asset Pricing Model

Giulio Bottazzi and Mikhail Anoufriev

207: Exchange Rate Pass-Through in a Structural Small Open Economy Model: How Important is the Conduct of Monetary Policy

Stephen Murchison

206: Neighborhood models of minority opinion spreading

C. J. Tessone and R. Toral

205: Heterogeneity and feedback in an agent based market model

Ghoulmié and F.

204: Extending the CAPM model

Hendri Adriaens and Bas Donkers

203: Discovering Financial Patterns in the Foreign Exchange Markets

Chueh-Yung Tsao and Shu-Heng Chen

202: Product Preannouncement in New Markets: A Strategic Analysis

Herbert Dawid and Yongchuan Bao

201: Testing multivariate hypotheses with positive definite bilinear forms

Valentyn Panchenko and Cees Diks

200: Using Genetic Programming with Lambda Abstraction to Find Technical Trading Rules

Tina Yu and Shu-Heng Chen

198: Price Formation and Asset Allocations of the Electronic Trading System Xetra

Jan Wenzelburger and Xihao Li

197: On the performance of efficient portfolios

Jan Wenzelburger and Volker Boehm

196: Competition as a Coordination Device

Joachim Weimann and Thomas Riechmann

195: The Econometric Analysis of Microscopic Simulation Models

Youwei Li and Bas Donkers

194: Occasionally Binding Collateral Constraints in RBC Models

Emilio Espino & Thomas Hintermaier

193: International Capital Mobility and Aggregate Volatility: the Case of Credit-Rationed Open Economies

Patrick Pintus

192: Modified Hiemstra-Jones Test for Granger Non-causality

Cees Diks & Valentyn Panchenko

191: Strucural change and DSGE models

Michel Juillard

190: Escape Dynamics: A Continuous Time Approximation

Dmitri Kolyuzhnov and Anna Bogomolova

189: Habit Persistence in Consumption in a Sticky Price Model of the Business Cycle

Michael Gail

188: Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve

Marco Lyrio and Hans Dewachter

187: Structural analysis of optimal investment for firms with non-concave revenues

Florian Wagener

181: Solving Continuous-Time Markov-Perfect Nash Equilibria

Uli Doraszelski and Kenneth Judd

180: Teaching Numerical Methods to Economics Students

Kenneth Judd

178: Modelling the effect of learning and evolving rules on the use of common-pool resources

Alexander Smajgl

177: Pricing American Options on Jump-Diffusion Processes using Fourier-Hermite Series Expansions

Andrew Ziogas and Carl Chiarella

176: Does Central Bank Transparency Matter for Economic Stability

Stefano Eusepi

175: Business Cycle Implications of Habit Formation

James Nason and Takashi Kano

173: Understanding the Variations in Gibrat's Law with a Markov-Perfect Dynamic Industry Model

Ana Rodrigues and Christopher Laincz

172: The second moments matter: The response of bank lending behavior to macroeconomic uncertainty

Christopher Baum, Mustafa Caglayan and Neslihan Ozkan

171: A behavioral cobweb model with heterogeneous speculators

Cristian Wieland and Frank Westerhoff

170: Monetary Policy, Fiscal Policy and Automatic Stabilizers: Welfare and Macroeconomic Stability

Massimiliano Marzo and Thomas Lubik

169: The Great Depression and the Friedman-Schwartz Hypothesis

Lawrence Christiano and Roberto Motto

166: Optimal monetary policy in a regime-switching economy

Fabrizio Zampolli

165: Sectoral Specialisation and Growth Rate DIfferences Among Integrated Economies

André Lorentz

164: Job Contact Networks, Inequality and Aggregate Economic Performance

Nicola Meccheri and Andrea Lavezzi

163: Can Social Security be welfare improving when there is demographic uncertainty?

Virginia Sanchez-Marcos & Alfonso Sanchez Martin

162: Nonlinear Growth and the Productivity Slowdown

Andrea Lavezzi and Davide Fiaschi

161: Pollution abatement in the Netherlands: a dynamic applied general equilibrium assessment

Ekko van Ierland and Rob Dellink

160: Portfolio & Risk Management: Asset Allocation and Risk Budgeting Optimization

D. Widijanto and S. Nagornii

159: Option Pricing under different uncertainty regimes

Emmanuel Haven

158: Forecasting Volume and Volatility in the Tokyo Stock Market: The Advantage of Long Memory Models

Taisei Kaizoji and Thomas Lux

157: Equilibrium Properties of Finite Binary Choice Games

Adriaan Soetevent