Computing in Economics and Finance 2005

From Society for Computational Economics
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483: THE VALUATION OF AMERICAN EXCHANGE OPTIONS UNDER

Gerald H. L. Cheang, Carl Chiarella and Andrew Ziogas

478: Monetary Policy under Uncertainty in Micro-Founded Macroeconometric Models

Noah Williams, Andrew Levin and Alexei Onatski

476: Optimal Fiscal and Monetary Policy In A Medium Scale Macro Model

Martín Uribe and Stephanie Schmitt-Grohe

474: Term Structure Estimation with Survey Data on Interest Rate Forecasts

Athanasios Orphanides and Don H. Kim

472: Numerical Analysis of Asymmetric First Price Auctions

Wayne-Roy Gayle

471: Wavelet Optimized Finite-Difference Approach to Solve Jump-Diffusion type Partial Differential Equation for Option Pricing

Mohammad R. Rahman, Ruppa K. Thulasiram and Parimala Thulasiraman

469: Automated detection and explanation of exceptional values in a datamining environment

Hennie Daniels and Emiel Caron

468: Information Visualization Of An Agent-Based Financial System Model

Wei Jiang and Richard Webber & Ric D Herbert

466: Fundamental Uncertainties and Firm-level Stock Volatilities

Yang Yu

465: The Curse of Dimensionality in Solving, Estimating and Comparing Non-Linear Rational Expectation Models

Viktor Winschel

462: Making a match: combining theory and evidence in policy-oriented macroeconomic modelling

Alasdair Scott, George Kapetanios and Adrian Pagan

460: Dynamic Limited Dependent Variable Modeling and US Monetary Policy

George Monokroussos

459: Measuring Inflation Persistence: A Structural Time Series Approach

Maarten Dossche and Gerdie Everaert

457: Gains from International Monetary Policy Coordination: Does It Pay to Be Different?

Evi Pappa and Zheng Liu

456: Sychronization and Staggering in a Model of State-Dependent Pricing

Alexander Wolman and Andrew John

455: The Mundell-Fleming-Dornbusch Model in a New Bottle

Anthony Landry

454: Limited Participation, Income Distribution and Capital Account Liberalization

Eva de Francisco

453: Dynamic Politico-economic Equilibrium: Aggregation, First-order Conditions, and Computation

Per Krusell, Marina Azzimonti and Eva de Francisco

452: Optimal Interest Rate Rules, Asset Prices and Credit Frictions

Tommaso Monacelli and Ester Faia

451: Testing for Stationarity and Cointegration in an Unobserved Components Framework

James Morley and Tara Sinclair

450: The Effects of EU Shocks on the Macrovariables of the Newly Acceded Countries -A Sign Restriction Approach

Alina Barnett

449: Option pricing with sparse grids

Thomas Mertens

448: Interbank market under the currency board: Case of Lithuania

Marius Jurgilas

446: Solving RE models for dummies

Patrick Fève and Fabrice Collard

445: User-Friendly Parallel Computations with Econometric Examples

Michael Creel

438: Multi-core CPUs, Clusters and Grid Computing: a Tutorial

William Goffe and Michael Creel

437: Robustifying Learnability

Peter von zur Muehlen and Robert Tetlow

434: Margins and Transaction Taxes in an Artificial Speculative Futures Market

Leanne Ussher

431: DSGE Models in a Data-Rich Environment

Marc Giannoni and Jean Boivin

430: An Evolutionary Analysis of Investment in Electricity Markets

Manuel L. Costa and Fernando S. Oliveira

429: A Rational Expectations Model of Optimal Inflation Inertia

Michael Kumhof and Douglas Laxton

427: Simple Pricing Rules, the Phillips Curve and the Microfoundations of Inflation Persistence

Richard Mash

423: Education and Self-Employment: Relationships between Earnings and Wealth Inequality

Yaz Terajima

422: Optimal cheating in monetary policy with individual evolutionary learning

Jasmina Arifovic and Olena Kostyshyna

421: Predatory Governance

Dalida Kadyrzhanova

419: International Capital Flows in a World of Greater Financial Integration

Viktoria Hnatkovska and Martin Evans

416: Information Flows and Aggregate Persistence

Oleksiy Kryvtsov

415: Housing, Personal Bankruptcy, Entrepreneurship

Yaz Terajima and Cesaire Meh

414: A Fully-Rational Liquidity-Based Theory of IPO Underpricing and Underperformance

Matt Pritsker

412: A Computational Approach to Proving Uniqueness in Dynamic Games

Karl Schmedders and Kenneth Judd

411: Computation of Moral-Hazard Problems

Kenneth Judd and Che-Lin Su

410: Estimating Strategic Complementarities in Credit Union’s Outsourcing Decisions

Andrew Cohen and Ron Borzekowski

409: HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH

Magdalena E. Sokalska, Ananda Chanda and Robert Engle

408: Portfolio Choice and Permanent Income

Stanley Zin and Thomas Tallarini

407: The Behavior of Banks under the Deposit Insurance and Capital Requirements

Xiaozhong Liang

405: On the Benefits of Exchange Rate Flexibility under Endogenous Tradedness of Goods

Kanda Naknoi, Michael Kumhof and Douglas Laxton

404: Estimating the Deep Parameters of RBC Model with Learning

Stefano Eusepi and Stefania D'Amico

402: Uncertainty about the Persistence of Periods with Large Price Shocks and the Optimal Reaction of the Monetary Authority

Gonzalez F., Rodriguez A. and Gonzalez-Garcia J.R.

401: Tax Policies, Vintage Capital, and Entry and Exit of Plants

Dennis Jansen and Shao-Jung Chang

400: Robust Monetary Policy with Imperfect Knowledge

John Williams and Athanasios Orphanides