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Computing in Economics and Finance 2005

From Society for Computational Economics
Contact information at EDIRC.

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257: Emergence in multi-agent systems:Cognitive hierarchy, detection, and complexity reduction Downloads
Jean Louis Dessalles and Denis Phan
254: Multi-Step Perturbation Solution of Nonlinear Rational Expectations Models Downloads
Baoline Chen and Peter A. Zadrozny
253: UK Real-time Macro Data Characteristics
Shaun Vahey and Anthony Garratt
252: Trend and Cycles: A New Approach and Explanations of Some Old Puzzles Downloads
Tatsuma Wada and Pierre Perron
251: Demand Uncertainty and employment: A cross-country empirical examination
Piferini J-F
250: Do so-called multivariate filters have better revision properties? An empirical analysis Downloads
L. Christopher Plantier and Ozer Karagedikli
249: An Interpretation of Fluctuating Macro Policies Downloads
Eric Leeper and Troy Davig
247: When do open economy rules perform badly? Identifying fault tolerant monetary policy
Kirdan Lees
246: What do robust policies look like for open economy inflation targeters? Downloads
Kirdan Lees
245: Value versus price of an asset: is an expected utility representation possible?
Emmanuel Haven
244: Heterogeneity, Profitability and Autocorrelations
Youwei Li and Xuezhong He
243: Analytical solutions to the generalized Black-Scholes PDE with the help of an adiabatic approximation to the Schrödinger PDE
Emmanuel Haven and Emmanuel
241: Bayesian Sampling Algorithms for the Sample Selection and Two-Part Models Downloads
Martijn van Hasselt
240: Learning and Endogenous Business Cycles in a Standard Growth Model Downloads
Laurent Cellarier
239: The Kalman Foundations of Adaptive Least Squares: Applications to Unemployment and Inflation Downloads
J. Huston McCulloch
238: General Equilibrium Implications of the Capital Adequacy Regulation for Banks
Roger Aliaga-Diaz
236: Learning-by-Doing, Organizational Forgetting, and Industry Dynanmics
David Besanko and Ulrich Doraszelski
235: Forecasting with the New-Keynesian Model: An Experiment with Canadian Data Downloads
Ali Dib and Kevin Moran
234: Study of Nonlinearities in the Dynamics of Exchange Rates: Is There Any Evidence of Chaos? Downloads
Vitaliy Vandrovych
233: Dynamic analysis of an institutional conflict within the music industry Downloads
Oleg V. Pavlov
231: Mitigating the Tragedy of the Digital Commons: the Case of Unsolicited Commercial Email Downloads
Oleg V. Pavlov and Nigel Melville
229: Proprietary Income, Entrepreneurial Risk and the Predictability of U.S. Stock Returns Downloads
Mathias Hoffmann
228: Evolution with Individual and Social Learning in an Agent-Based Stock Market Downloads
Ryuichi Yamamoto
227: Pricing bonds in an incomplete market: Linear and Dynamic Programming approach
Arnab Sarkar and N. Hemachandra
226: Extracting expectations from currency option prices: a comparison of methods Downloads
Marian Micu
224: Portfolio Flows, Foreign Direct Investment, Crises Downloads
Merih Uctum and Remzi Uctum
223: Neural Networks for Extracting the Asset Price Dynamics Implicit in Market Prices of Stock Index Options
Ing-Chyuan Wu
222: Firm Structure, Search and Environmental Complexity Downloads
Nobuyuki Hanaki and Jason Barr
221: Alternative Characterizations of the European Continuous-Installment Option Valuation Problem
Ilir Roko and Pierangelo Ciurlia
220: Optimal Timing of Mark-to-Market for Contingent Credit Risk Control Downloads
Jiali Liao and Theodore V. Theodosopoulos
219: Estimating the Interest Rate Rule with Open Market Operations or Lump-Sum Transfers of Money
Filippo Ochinno and John Landon-Lane
217: SPECULATIVE STRATEGIES IN THE FOREIGN EXCHANGE MARKET BASED ON GENETIC PROGRAMMING PREDICTIONS
Marcos Alvarez-Diaz And Alberto à Lvarez
216: Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach Downloads
Alfredo Ibáñez
215: Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index
Christoph Schleicher, Matthew Hurd and Mark Salmon
214: Common Trends and Common Cycles in Canadian Sectoral Output Downloads
Christoph Schleicher and Francisco Barillas
213: Environmental Taxation in Energy Sector - A Theoretical and Applied Analysis Downloads
Jian Zhang
212: Effects of oil price shocks on German business cycles
Tobias Zimmermann and Torsten Schmidt
211: Keynesian Dynamics and the Wage-Price Spiral:Estimating and Analyzing a Baseline Disequilibrium Approach Downloads
Willi Semmler, Pu Chen and Carl Chiarella
210: The Transition Process in China: a Theoretical and Empirical Study Downloads
C. Hsiao and Pu Chen
207: Bounded Rationality and the Elasticity Puzzle: What Can We Learn from the Agent-Based Computational Consumption Capital Asset Pricing Model?
Ke-Hung Lai, Shu-Heng Chen and Ya-Chi Huang
206: Bubbles, Can We Spot Them? Crashes, Can We Predict Them? Downloads
Gee Kwang Randolph Tan and Qin Xiao
205: The Scarring Effect of Recessions Downloads
Min Ouyang
203: Forecasting Practice: Decision Support System to Assist Judgmental Forecasting
Gauresh Rajadhyaksha and Abhijeet Dwivedi
202: Estimating the Stochastic Discount Factor without a Utility Function Downloads
Fabio Araujo and João Issler
199: Asset Pricing and Loss Aversion Downloads
Willi Semmler and Lars Grüne
198: Uninsured Idiosyncratic Production Risk With Borrowing Constraints
Francisco Covas
196: The role of contracting schemes for the welfare costs of nominal rigidities Downloads
Matthias Paustian
194: Dominant Firms, Barriers to Entry Capital and Entry Dynamics Downloads
Willi Semmler and Mika Kato
193: A Numerical Dynamic Programming Algorithm for Optimal Learning Problems
Volker Wieland
192: Yes, Libor Models can capture Interest Rate Derivatives Skew: A Simple Modelling Approach Downloads
Eymen Errais and Fabio Mercurio
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