Computing in Economics and Finance 1999

From Society for Computational Economics
CEF99, Boston College, Department of Economics, Chestnut Hill MA 02467 USA.
Contact information at EDIRC.
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333: A Technique for Solving Rational-Expectations Models

Jean-Louis Brillet

332: Swapping the Nested Fixed-Point Algorithm: a Class of Estimators for Discrete Markov Decision Models

Victor Aguirregabiria and Pedro Mira

331: Extending the High-Level Architecture Paradigm to Economic Simulation

James A. Calpin, Marnie R. Salisbury, John A. Vitkevich, Jr. and David Woodward

323: The Influence of Clean Up Capital Subsidies in Environmental Optimal Control Models with Complex Dynamics

Christophe Deissenberg and Laurent Cellarier

322: Knowledge Spillover, Transboundary Pollution, and Growth

Süheyla Özyildirim and Nedim M. Alemdar

321: Achieving Desired Performance through Constraint: Application to Pollution-Production Cycles

Christopher Pawlowski

314: Computer Automation of General-to-Specific Model Selection Procedures

Hans-Martin Krolzig and David Hendry

313: Forecasting Volatility under Multivariate Stochastic Volatility Model via Reprojection

Pieter van der Sluis and George J. Jiang

312: Time-Series Modelling of Daily Tax Revenues

Marius Ooms, Björn de Groot and Siem Jan Koopman

311: Fast Estimation of Parameters in State Space Models

Siem Jan Koopman

254: Implicit Programming and the Stable Manifold for Optimal Growth Problems

Baoline Chen and Robert Becker

253: Determining Short-Run Adjustments: Sensitivity to Non-Linearities in a Representative Agent Framework

Peter J. Stemp and Ric D. Herbert

252: Inaccuracy of Loglinearization in Welfare Calculations: Complete vs. Incomplete Market Economies

Jinill Kim, Sunghyun Kim and Andrew Levin

251: Inaccuracy of Loglinear Approximation in Welfare Calculations: the Case of International Risk Sharing

Jinill Kim and Sunghyun Kim

244: Evolution of Networks and the Diffusion of New Technology

Glenn T. Mitchell

243: Institutions and Innovation Diffusion

Francesco Luna and Andrea Zanatta

242: Organizational Structure and Perpetual Innovation: A Computational Model of a Retail Chain

Myong-Hun Chang and Joseph Harrington

241: The Need for a New Microeconomic Paradigm

Alfred Norman, Mridul Chowdhury and Khurram Mahmood

233: Beyond Serrano vs. Priest: National Funding of Education

Jorge Soares

232: Treasury Bill Auctions in Spain: an Optimal-Control Approach

Francisco Alvarez Gonzalez, Emilio Cerdá and Cristina Mazon

231: Asymmetric Observation Errors in Optimal Control of Stochastic Quadratic Linear Systems and Application to Modelling Volatility

Rosario Romera and Esther Ruiz

224: Learning and Excess Volatility

James Bullard and John Duffy

223: Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model

Xuezhong (Tony) He and Carl Chiarella

222: Heterogeneous Expectations, Market Dynamics, and Social Welfare

SaangJoon Baak

221: Learning with Bounded Memory in Stochastic Models

Kaushik Mitra and Seppo Honkapohja

213: Towards an Automata Approach of (Institutional) Economics

Koye Somefun and Philip Mirowski

212: Markets as Complex Distributed Networks: Implications for Efficiency and Inequality

Nienke Oomes

211: The Complexity of Exchange

Robert Axtell

154: Solving Large and Small Models on Microcomputers

Jean-Louis Brillet

153: Government-Private Ownership Equilibrium with Incomplete Markets

Sunanda Roy

152: Modeling the Economics of Internet Companies

Deniz Yuret, Ayla Ogus Binatli and Michael de la Maza

151: A Primal-Dual Decomposition-Based Interior-Point Approach to Two-Stage Stochastic Programming

Arjan B. Berkelaar, K. P. Bart Oldenkamp and Cees L. Dert

144: Stochastic Simulations of a Non-Linear Phillips Curve Model

Michel Juillard and Fabrice Collard

143: Mathematical and Numerical Analysis of a Type of Monetary Model

Jenny Li

142: Is It Worth Reducing Exclusion?

Fabrice Collard, Patrick Fève and Francois Langot

141: An Analysis of the Robustness of Simple Monetary Policy Rules in Simple Models of the Output-Inflation Process

Douglas Laxton

133: Valuation of Barrier Options in a Black-Scholes Setup with Jump Risk

Dietmar P. J. Leisen

132: Performance of a Hedged Dynamic Portfolio Model in the Presence of Extreme Events

Rosella Giacometti and Rosella Castellano

131: Finite Element Methods in Bond and Option Pricing

Juergen Topper

124: The Use of Qualitative Research to Develop a Computational Model for Dynamic Entry Deterrence in an Emerging Market

Jane M. Binner, C. B. Lee, W. D. Murphy and L. R. Fletcher

123: Learning Schemes in Evolutionary Game Theory: Application to a Model of Entry in a Regulated Market

Iqbal Adjali, A. A. Reeder, David Collings, M. H. Lyons and A. Varley

122: Moving-Horizon Control in Dynamic Games

W. A. van den Broek

121: Learning to Trust: Uncovering Unobserved Multi-Period Behavioral Strategies from Observed Stage Game Actions Using Finite Automata

Jim Warnick and Robert Slonim

113: ARCH Models and Option Pricing: the Continuous-Time Connection

Antonio Mele and Fabio Fornari

112: Stochastic Volatility: Univariate and Multivariate Extensions

Eric Jacquier, Nicholas G. Polson and Peter Rossi

111: Nonparametric Estimation of Multifactor Continuous Time Interest-Rate Models

Christopher T. Downing