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Computing in Economics and Finance 2005

From Society for Computational Economics
Contact information at EDIRC.

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50: An Agent-Based Computational Laboratory for Testing the Economic Reliability of Wholesale Power Market Designs Downloads
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 Downloads
Denis Bolduc, Lynda Khalaf and Clément Yélou
47: Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data Downloads
Kris Jacobs, Stephane Pallage and Michel Robe
46: Measuring the NAIRU with Reduced Uncertainty: A Multiple Indicator-Common Component Approach Downloads
Arabinda Basistha and Richard Startz
45: A Time-Frequency Analysis of the Coherences of the US Business Downloads
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 Downloads
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 Downloads
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 Downloads
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 Downloads
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 Downloads
James Yetman and Wai-Yip Alex Ho
30: Strong contagion with weak spillovers Downloads
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 Downloads
Roberto Billi
24: Financial Development and Property Valuation Downloads
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 Downloads
Ian Sue Wing
20: PD Games on Networks Downloads
Allen Wilhite
15: Evolutionary Portfolio Selection with Liquidity Shocks
Enrico De Giorgi
14: Accurate Yield Curve Scenarios Generation using Functional Gradient Descent Downloads
Fabio Trojani and Francesco Audrino
13: An Economics-based Energy Account for Classical Mechanics Downloads
John Hartwick
12: Distributional Effects of Monetary Policies in a New Neoclassical Model with Progressive Income Taxation Downloads
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 Downloads
Dr. Brian J. Jacobsen
4: Finding an Example of an Optimising Agent with Cyclical Behaviour Downloads
Peter J. Stemp
3: The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective Downloads
Tao Wu and Glenn Rudebusch
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