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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 Downloads
M 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 Downloads
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 Downloads
Gang Gong and Jian Gao
516: Persistence of Monopoly, Innovation, and R-and-D Spillovers: Static versus Dynamic Analysis Downloads
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 Downloads
Elena Kalotychou and Ana-Maria Fuertes
508: On the Expectations Hypothesis in US Term Structure Downloads
Erdenebat Bataa, Dong Heon Kim and Denise Osborn
507: Profitability of Index-based Size and Style Rotation Strategies in the UK Equity Markets Downloads
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 Downloads
Kaiji Chen, Ayse Imrohoroglu and Selahattin Imrohoroglu
493: Testing for Structural Breaks and other forms of Non-stationarity: a Misspecification Perspective Downloads
Maria Heracleous, Andreas Koutris and Aris Spanos
492: A Broad-Spectrum Computational Approach for Market Efficiency Downloads
Olivier Brandouy and Philippe Mathieu
489: Forecasting stock prices using Genetic Programming and Chance Discovery Downloads
Alma Lilia Garcia-Almanza and Edward P.K. Tsang
488: Time-Varying U.S. Inflation Dynamics and the New Keynesian Phillips Curve Downloads
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 Downloads
Andrea Cipollini and George Kapetanios
475: Learning Hyperinflations Downloads
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 Downloads
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 Downloads
Willi Semmler, Stephanie Becker and Lars Gruene
467: Firm Dynamics with Infrequent Adjustment and Learning Downloads
Eugenio Pinto
466: Asset price volatilities and trading volumes in heterogeneous agent economies Downloads
Costas Xiouros
463: Is the relationship between ination and its uncertainty linear?
M. Karanasos and Stefanie Schurer
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