Computing in Economics and Finance 2006

From Society for Computational Economics
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328: Fiscal Policy and Microstructure of Treasury Bonds

Oscar Valencia

323: Threshold Autoregressive Models of the Commodities Futures Basis

Alfonso Gutierrez, Jerry Coakley and Neil Kellard

322: Optimal Endogenous Carbon Taxes for Electric Power Supply Chains with Power Plants

Zugang Liu, Trisha Woolley and Anna Nagurney

321: (Un)naturally low?

Silvia Sgherri and Marco Lombardi

320: Complete Markets, Enforcement Constraints and Intermediation

Arpad Abraham and Eva Carceles-Poveda

319: Analysing Website Choice and Consumer Loyalty: the Case of Book and CD Markets

Asmaa Khariji

318: The Dynamics of Wealth and Income distribution in a Neoclassical Growth Model

Stephen J Turnovsky and Cecilia Garcia-Penalosa

317: Applications of Kernel Methods in Financial Risk Management

Andreas Mitschele, Stephan Chalup, Frank Schlottmann and Detlef Seese

316: Prospects of a Canada-US Customs Union: a Computable General Equilibrium Assessment

Evangelia Papadaki, Merette Marcel, Jorge Hernandez and Yu Lan

314: Aggregating Phillips Curves

FAME,Eric Jondeau, University of Lausanne-HEC, Jean Imbs, Eric Jondeau and Florian Pelgrin

312: Sufficient Conditions and Necessary Conditions for delta-stability

Anna Bogomolova and Dmitri Kolyuzhnov

311: Competition among Payment Networks using Generalized Population Based Incremental Learning

Biliana Alexandrova Kabadjova, Andreas Krause and Edward Tsang

309: Assessing the structural VAR approach to exchange rate pass-through

Ida Wolden Bache

307: The Impact of Cost Reducing R\&D Spillovers on the Ergodic Distribution of Market Structures

Christopher Laincz and Ana Rodrigues

306: Optimal Monetary Policy Response to Distortionary Tax Changes

Michael Krause and Wolfgang Lemke

304: Graphical Methods for Investigating the Finite-sample Properties of Confidence Regions: an application to long memory

Christian de Peretti and Carole Siani

303: Estimation of IP Telephony Demand Using the Integrated Choice and Latent Variables Approach

Denis Bolduc and Moshe Ben-Akiva

302: Social Security and the search behavior of advanced-age workers in Spain

Alfonso Sanchez Martin and J. Ignacio García Pérez

301: Bootstrapping Neural tests for conditional heteroskedasticity

Carole Siani and Christian de Peretti

298: Approximating tax effects in an infinitely lived agent growth model using Chebyshev collocation

Mitja Steinbacher

297: Multivariate Generalizations of the Markov-Switching Model

Mohamad Khaled

296: Simulating job-search models using simulating annealing

Matej Steinbacher and University of Maribor

295: Using Perturbation Methods in the Model of Technological Change

Matjaz Steinbacher

294: ML Estimators for SEM-GARCH Models: Relative Performance of Different Computational Algorithms

Andi Kabili and Jaya Krishnakumar

292: Monetary Policy with Heterogeneous Agents and Credit Constraints

Yann Algan and Xavier Ragot

291: A Reliable Technique for Accurately Computing Unconditional Variances

Gary Anderson

290: Resource Exploitation and Growth: Domestic Innovation vs. Foreign Direct Investment

Francisco Cabo, María Pilar Martínez-García and Guiomar Martín-Herrán

288: Parallel algorithms for downdating the least-squares estimator of the regression model

Petko Yanev and Erricos John Kontoghirghes

287: Advanced estimates of regional accounts: an alternative approach by spatial panels

Riccardo Corradini

285: Nonlinear State-Space Models for Microeconometric Panel Data

Florian Heiss

282: A graph approach to generate all possible subset regression models

Cristian Gatu, Petko Yanev and Erricos Kontoghiorghes

281: On the stability of the wealth effect

Pedro Bação, Fernando Alexandre and Vasco Gabriel

277: Validating and Calibrating Agent-based Models: a Case Study

Pasquale Cirillo, Carlo Bianchi, Mauro Gallegati and Pietro Vagliasindi

276: Using genetic algorithms to improve the term structure of interest rates fitting

Ricardo Gimeno and Juan M. Nave

275: Firm Value and Default Correlation

Lars Grüne, Willi Semmler and Lucas Bernard

274: The air pollution emission permits market in the EU and moral hazard

Francisco Alvarez Gonzalez and Ester Camiña

273: Scenario Generation Methods for Public Debt Management

Massimo Bernaschi, Marco Papi and Davide Vergni

271: Forecasting VARMA processes: VAR models vs. subspace-based state space models

Segismundo Izquierdo, Cesareo Hernandez and Juan del Hoyo

270: Nelson and Siegel, no-arbitrage and risk premium

Le Grand François

268: Degenerate Kolmogorov equations in option pricing

Andrea Pascucci and Francesco Corielli

267: Foreign direct investment in the presence of technological spillovers and international competition

Herbert Dawid, Alfred Greiner and Benteng Zou

266: Base rate neglect for the wealth of populations

Diemo Urbig

265: A Spectral Method for Bonds

Javier de Frutos

264: Nonlinear Dynamical Model of Economy with Embodied Technological Progress

Jan Kodera and Miloslav Vošvrda

261: Opinion Formation in Business Surveys: Empirical Evidence from German Micro Data

Klaus Wohlrabe

260: The Volatility Structure of the Fixed Income Markets under the HJM Framework

Thuy Duong To, Carl Chiarella and Hing Hung

259: A Bayesian Approach to Counterfactual Analysis of Structural Change

Chang-Jin Kim, James Morley and Jeremy Piger

258: Learning Parameters in Non Linear Ecological Models

W. Davis Dechert, Sharon O'Donnell and William Brock

257: What Do We Know About the Effects of Fiscal Policy Shocks? A Comparative Analysis

Dario Caldara and Christophe Kamps

256: Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm

Y. Kahiri, A. Shmilovici and Shmuel Hauser