Report NEP-CWA-2012-02-15This is the archive for NEP-CWA, a report on new working papers in the area of Central & Western Asia. Cherry Ann Santos issued this report. It is usually issued weekly.
The following items were announced in this report:
- Martin Gremm & Mark B. Wise, 2012. "Mathematical Constraints on Financially Viable Public Policy," Papers 1201.6340, arXiv.org.
- Jo\~ao P. da Cruz & Pedro G. Lind, 2012. "Heavy-tails in economic data: fundamental assumptions, modelling and analysis," Papers 1202.0142, arXiv.org.
- Miklos Rasonyi & Andrea M. Rodrigues, 2012. "Optimal Portfolio Choice for a Behavioural Investor in Continuous-Time Markets," Papers 1202.0628, arXiv.org, revised Apr 2013.
- Dario Caldara & Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez & Yao Wen, 2012. "Computing DSGE models with recursive preferences and stochastic volatility," Finance and Economics Discussion Series 2012-04, Board of Governors of the Federal Reserve System (U.S.).
- Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options," CREATES Research Papers 2012-04, School of Economics and Management, University of Aarhus.
- Ribin Lye & James Peng Lung Tan & Siew Ann Cheong, 2012. "Understanding agent-based models of financial markets: a bottom-up approach based on order parameters and phase diagrams," Papers 1202.0606, arXiv.org.
- Mikio Ito & Akihiko Noda & Tatsuma Wada, 2012. "The Evolution of Market Efficiency and Its Periodicity: A Non-Bayesian Time-Varying Model Approach," Papers 1202.0100, arXiv.org, revised Mar 2013.
- J. Shen & B. Zheng, 2012. "On return-volatility correlation in financial dynamics," Papers 1202.0342, arXiv.org.
- J. Shen & B. Zheng, 2012. "Cross-correlation in financial dynamics," Papers 1202.0344, arXiv.org.
- Anca Gheorghiu & Ion Spanulescu, 2012. "An Econophysics Model for the Migration Phenomena," Papers 1202.0996, arXiv.org.
- Jason M. Fletcher & Stephen L. Ross, 2011. "Estimating the Effects of Friendship Networks on Health Behaviors of Adolescents," Working papers 2011-26, University of Connecticut, Department of Economics.