Computing in Economics and Finance 2006

From Society for Computational Economics
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530: Implied binomial trees and calibration for the volatility smile

C. Charalambous, N. Christofides, E. D. Constantinide and S. H. Martzoukos

529: Learning, structural instability and present value calculations

Mohammad Pesaran, Davide Pettenuzzo and Allan Timmermann

528: O curse of dimensionality, where is thy sting?

Kenneth Judd

527: Agent-Based Computational Economics: A Constructive Approach to Economic Theory

Leigh Tesfatsion

526: Using wavelets to approximate the risk-neutral MGF for options

Liya Shen and Emmanuel Haven

525: Unemployment Fluctuations with Staggered Nash Wage Bargaining

Mark Gertler and Antonella Trigari

524: Demand Shocks and Monetary Policy

Guido Lorenzoni

523: Long Memory and Structural Breaks in Commodity Futures Basis and Market

Jerry Coakley, Jian Dollery and Neil Kellard

521: Optimal Monetary Policy in a Small Open Economy with Home Bias

Ester Faia and Tommaso Monacelli

520: Prediction of bank rating transition probabilities

Paraskevi Dimou, Alistair Milne and Francesca Campolongo

518: Nonlinear Effects in the Generalized Latent Variable Model

Irini Moustaki and Dimitris Rizopoulos

517: The Independent Monetary Policy under the Fixed Exchange Regime

Gang Gong and Jian Gao

516: Persistence of Monopoly, Innovation, and R-and-D Spillovers: Static versus Dynamic Analysis

Kresimir Zigic, Viatcheslav Vinogradov and Eugen Kovac

515: Myopia in Marketing Channel: A Differential Game Analysis

Sihem Taboubi, Guiomar Martín-Herrán and Georges Zaccour

514: Worst-case Robust Approach to the Equity Premium Puzzle

Nalan Gulpinar, Turalay Kenc and Berc Rustem

512: On the valuation of constant maturity swaps

Tetsuya Noguchi

511: Explaining Life-Cycle Profiles of Home-Ownership and Labour Supply

IFS,Renata Bottazzi, Institute for Fiscal Studies,Hamish Low, University of Cambrdige, Renata Bottazzi, Orazio Attanasio, Hamish Low, Lars Nesheim and Matthew Wakefield

510: Financial Transparency and Stock Returns: An International Study

Ivana Raonic, Christina Dargenidou and Stuart McLeay

509: On Sovereign Credit Migration: A Study of Alternative Estimators and Rating Dynamics

Elena Kalotychou and Ana-Maria Fuertes

508: On the Expectations Hypothesis in US Term Structure

Erdenebat Bataa, Dong Heon Kim and Denise Osborn

507: Profitability of Index-based Size and Style Rotation Strategies in the UK Equity Markets

Natasha Todorovic and Bhavesh Gokani

506: Valuation of participating contracts and risk capital assessment: the importance of market modelling

Laura Ballotta

505: Gullibility and Welfare in an Environmental Taxation Game

Christophe Deissenberg, Herbert Dawid and Pavel Å evÄ?ík

500: What are shocks capturing in DSGE modelling? Structure versus misspecification

Domenico Giannone and Lucrezia Reichlin

499: A Structural Model of Credit Risk with Counter-Cyclical Risk Premia

Turalay Kenc, Martin Sola and Marzia Raybaudi

497: A multiple testing procedure for neural network model selection

Michele La Rocca and Cira Perna

496: The combination of volatility forecasts

Alessandra Amendola and Giuseppe Storti

495: Financial Products with Guarantees: Applications, Models and Internet-based services

Andrea Consiglio and Stavros Zenios

494: Secular Trends in U.S Saving and Consumption

Kaiji Chen, Ayse Imrohoroglu and Selahattin Imrohoroglu

493: Testing for Structural Breaks and other forms of Non-stationarity: a Misspecification Perspective

Maria Heracleous, Andreas Koutris and Aris Spanos

492: A Broad-Spectrum Computational Approach for Market Efficiency

Olivier Brandouy and Philippe Mathieu

489: Forecasting stock prices using Genetic Programming and Chance Discovery

Alma Lilia Garcia-Almanza and Edward P.K. Tsang

488: Time-Varying U.S. Inflation Dynamics and the New Keynesian Phillips Curve

Kevin Lansing

487: Evaluating hedge fund managers: A Bayesian investigation of skill and persistence

Vrontos Ioannis, Vrontos Spyridon and Daniel Giamouridis

486: Equilibrium Specification and Structure of Technology: a Factor Substitution Analysis in French Industrial Demand of Energy

Sourour Baccar

484: Lag or Error? - Detecting the Nature of Spatial Correlation

Mario Larch and Janette Walde

483: Towards A Grid Market

Panos Parpas and Berc Rustem

482: Equilibria, Supernetworks, and Evolutionary Variational Inequalities

Anna Nagurney and Zugang Liu

478: Estimating Multi-country VAR models

Matteo Ciccarelli and Fabio Canova

477: Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis

Andrea Cipollini and George Kapetanios

475: Learning Hyperinflations

Atanas Christev

474: The Forward Premium Anomaly at Long Horizons

Stuart Snaith, Neil Kellard and Jerry Coakley

473: A Robust Approach to Bond Portfolio Immunization

Alejandro Balbás and Alfredo Ibáñez

472: A New Optimization Approach to Maximum Likelihood Estimation of Structural Models

Kenneth Judd and Che-Lin Su

471: Optimal Income Taxation with Multidimensional Taxpayer Types

Che-Lin Su and Kenneth Judd

470: Transitioning out of Poverty

Mika Kato, David Brasington and Willi Semmler

469: Comparing Accuracy of Second Order Approximation and Dynamic Programming

Willi Semmler, Stephanie Becker and Lars Gruene

467: Firm Dynamics with Infrequent Adjustment and Learning

Eugenio Pinto

466: Asset price volatilities and trading volumes in heterogeneous agent economies

Costas Xiouros

463: Is the relationship between ination and its uncertainty linear?

M. Karanasos and Stefanie Schurer