Computing in Economics and Finance 2005

From Society for Computational Economics
Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

50: An Agent-Based Computational Laboratory for Testing the Economic Reliability of Wholesale Power Market Designs

Deddy Koesrindartoto and Junjie Sun

49: Climate Change and Extreme Events: an Assessment of Economic Implications

Roberto Roson, Alvaro Calzadilla and Pauli Francesco

48: Identification Robust Confidence Sets Methods for Inference on Parameter Ratios and their Application to Estimating Value-of-Time

Denis Bolduc, Lynda Khalaf and Clément Yélou

47: Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data

Kris Jacobs, Stephane Pallage and Michel Robe

46: Measuring the NAIRU with Reduced Uncertainty: A Multiple Indicator-Common Component Approach

Arabinda Basistha and Richard Startz

45: A Time-Frequency Analysis of the Coherences of the US Business

Christian Richter and Andrew Hughes Hallett

44: The Microstructure of the Italian Overnight Money Market

Giulia Iori and O. Precup

43: Swing Options: A Mechanism for Pricing Peak IT Demand

Bernardo A. Huberman and Scott H. Clearwater

42: Financial Computational Intelligence

Chiu-Che Tseng and Yu-Chieh Lin

41: Offer Games and Non-Market-Clearing Nash Equilibria: a Biform Game Analysis and Agent-Based Simulation Study

Roger McCain

40: Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models

Marno Verbeek and Jeroen Rombouts

39: Elasticity of Substitution and the Persistence of the Deviation of the Real Exchange Rates

Stephen J Turnovsky and Akm Morshed

38: Optimal Capital Structure and the Term Structure of Interest Rates

Xin Wang and Chris Downing

37: Commercial Mortgage Backed Securities: How Much Subordination is Enough?

Nancy Wallace and Chris Downing

35: The Futures Pricing Puzzle

Shafiqur Rahman and M. Shahid Ebrahim

33: Model Uncertainty and Endogenous Volatility

George Evans and William Branch

31: The long-run output-inflation trade-off in the presence of menu costs

James Yetman and Wai-Yip Alex Ho

30: Strong contagion with weak spillovers

Martin Ellison, Liam Graham and Jouko Vilmunen

29: Dynamic Portfolio Optimization and Economics Uncertainties

Xiaolou Yang

28: An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle

Riccardo Corradini

26: Empirical Best Linear Unbiased Prediction in Misspecified and Improved Panel Data Models with an Application to Gasoline Demand

I-Lok Chang, P.A.V.B. Swamy and Yaghi Wisam

25: The Optimal Inflation Buffer with a Zero Bound on Nominal Interest Rates

Roberto Billi

24: Financial Development and Property Valuation

Sikandar Hussain and M. Shahid Ebrahim

22: Over the Top: U.K. World War I Finance and Its Aftermath

Shaun Vahey and James Nason

21: The Synthesis of Bottom-Up and Top-Down Approaches to Climate Policy Modeling: Electric Power Technologies and the Cost of Limiting U.S. CO2 Emissions

Ian Sue Wing

20: PD Games on Networks

Allen Wilhite

15: Evolutionary Portfolio Selection with Liquidity Shocks

Enrico De Giorgi

14: Accurate Yield Curve Scenarios Generation using Functional Gradient Descent

Fabio Trojani and Francesco Audrino

13: An Economics-based Energy Account for Classical Mechanics

John Hartwick

12: Distributional Effects of Monetary Policies in a New Neoclassical Model with Progressive Income Taxation

Burkhard Heer; Alfred Maussner

6: Tycoon: an Implementation of a Distributed, Market-based Resource Allocation System

Kevin Lai and Lars Rasmusson

5: The Use of Downside Risk Measures in Portfolio Construction and Evaluation

Dr. Brian J. Jacobsen

4: Finding an Example of an Optimising Agent with Cyclical Behaviour

Peter J. Stemp

3: The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective

Tao Wu and Glenn Rudebusch