# Computing in Economics and Finance 2005

From Society for Computational Economics

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- 257: Emergence in multi-agent systems:Cognitive hierarchy, detection, and complexity reduction
*Jean Louis Dessalles* and *Denis Phan*
- 254: Multi-Step Perturbation Solution of Nonlinear Rational Expectations Models
*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
*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
*L. Christopher Plantier* and *Ozer Karagedikli*
- 249: An Interpretation of Fluctuating Macro Policies
*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?
*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 (Tony) He*
- 243: Analytical solutions to the generalized Black-Scholes PDE with the help of an adiabatic approximation to the SchrÃ¶dinger PDE
*Emmanuel Haven* and *Emmanuel*
- 241: Bayesian Sampling Algorithms for the Sample Selection and Two-Part Models
*Martijn van Hasselt*
- 240: Learning and Endogenous Business Cycles in a Standard Growth Model
*Laurent Cellarier*
- 239: The Kalman Foundations of Adaptive Least Squares: Applications to Unemployment and Inflation
*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
*Ali Dib* and *Kevin Moran*
- 234: Study of Nonlinearities in the Dynamics of Exchange Rates: Is There Any Evidence of Chaos?
*Vitaliy Vandrovych*
- 233: Dynamic analysis of an institutional conflict within the music industry
*Oleg V. Pavlov*
- 231: Mitigating the Tragedy of the Digital Commons: the Case of Unsolicited Commercial Email
*Oleg V. Pavlov* and *Nigel Melville*
- 229: Proprietary Income, Entrepreneurial Risk and the Predictability of U.S. Stock Returns
*Mathias Hoffmann*
- 228: Evolution with Individual and Social Learning in an Agent-Based Stock Market
*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
*Marian Micu*
- 224: Portfolio Flows, Foreign Direct Investment, Crises
*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
*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
*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 Ã Lvarez*
- 216: Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach
*Alfredo IbÃ¡Ã±ez*
- 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
*Christoph Schleicher* and *Francisco Barillas*
- 213: Environmental Taxation in Energy Sector - A Theoretical and Applied Analysis
*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
*Willi Semmler*, *Pu Chen* and *Carl Chiarella*
- 210: The Transition Process in China: a Theoretical and Empirical Study
*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?
*Gee Kwang Randolph Tan* and *Qin Xiao*
- 205: The Scarring Effect of Recessions
*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
*Fabio Araujo* and *João Issler*
- 199: Asset Pricing and Loss Aversion
*Willi Semmler* and *Lars GrÃ¼ne*
- 198: Uninsured Idiosyncratic Production Risk With Borrowing Constraints
*Francisco Covas*
- 196: The role of contracting schemes for the welfare costs of nominal rigidities
*Matthias Paustian*
- 194: Dominant Firms, Barriers to Entry Capital and Entry Dynamics
*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
*Eymen Errais* and *Fabio Mercurio*