Report NEP-FIN-1999-07-12

This report is closed
Other reports in NEP-FIN

The following items were anounced in this report:

• John Y. Campbell & Joao Cocco & Francisco Gomes & Pascal Maenhout & Luis M. Viceira, 1999. "Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor," Computing in Economics and Finance 1999 1344, Society for Computational Economics.
• Mark Howard, 1999. "The Evolution of Trading Rules in an Artificial Stock Market," Computing in Economics and Finance 1999 712, Society for Computational Economics. [Downloadable!]
• Juergen Topper, 1999. "Finite Element Methods in Bond and Option Pricing," Computing in Economics and Finance 1999 131, Society for Computational Economics. [Downloadable!]
• Filippo Altissimo, 1999. "Change of Measure in Monte Carlo Integration via Gibbs Sampling with an application to Stochastic Volatility Models," Computing in Economics and Finance 1999 821, Society for Computational Economics. [Downloadable!]
• Ioulia Ioffe & Alexandra E. MacKay & Eliezer Z. Prisman, 1999. "Term Structure Estimation: an Implied Norm Approach Negative Option Prices -- A Puzzle or Just Noise?," Computing in Economics and Finance 1999 852, Society for Computational Economics.
• Antonio Mele & Fabio Fornari, 1999. "Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis," Computing in Economics and Finance 1999 912, Society for Computational Economics. [Downloadable!]
• Mark Fisher, 1999. "Consumption and Asset Prices with Recursive Preferences: Continuous-Time Approximations to Discrete-Time Models," Computing in Economics and Finance 1999 934, Society for Computational Economics. [Downloadable!]
• Murat Yildizoglu, 1999. "Competing R&D Strategies in an Evolutionary Industry Model," Computing in Economics and Finance 1999 343, Society for Computational Economics. [Downloadable!]
• Andrew Lo & Nicholas Chan & Blake LeBaron & Tomaso Poggio, 1999. "Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders," Computing in Economics and Finance 1999 653, Society for Computational Economics. [Downloadable!]
• Antonio Mele & Fabio Fornari, 1999. "ARCH Models and Option Pricing: the Continuous-Time Connection," Computing in Economics and Finance 1999 113, Society for Computational Economics. [Downloadable!]
• Carl Chiarella & Peter Flaschel, 1999. "Applying Disequilibrium Growth Theory: Debt Effects and Debt Deflation," Computing in Economics and Finance 1999 714, Society for Computational Economics. [Downloadable!]
• Xue-Zhong He & Carl Chiarella, 1999. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model," Computing in Economics and Finance 1999 223, Society for Computational Economics. [Downloadable!]
• Pieter J. van der Sluis & George J. Jiang, 1999. "Forecasting Volatility under Multivariate Stochastic Volatility Model via Reprojection," Computing in Economics and Finance 1999 313, Society for Computational Economics.
• Cesare Robotti & Pierluigi Balduzzi, 1999. "Minimum-Variance Kernels and Economic Risk Premia," Computing in Economics and Finance 1999 953, Society for Computational Economics. [Downloadable!]
• Inderst, Roman & Müller, Holger M., 1999. "Delegation of Control Rights, Ownership Concentration, and the Decline of External Finance," Sonderforschungsbereich 504 Publications 99-68, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
• Blake LeBaron, 1999. "Evolution and Time Horizons in an Agent-Based Stock Market," Computing in Economics and Finance 1999 1342, Society for Computational Economics.
• Dietmar P. J. Leisen, 1999. "Valuation of Barrier Options in a Black-Scholes Setup with Jump Risk," Computing in Economics and Finance 1999 133, Society for Computational Economics. [Downloadable!]
• Simone Manganelli & Robert F. Engle, 1999. "Modeling a Time-Varying Order Statistic," Computing in Economics and Finance 1999 952, Society for Computational Economics. [Downloadable!]
• Michael Sullivan, 1999. "Discrete-Time Continuous-State Interest Rate Models," Computing in Economics and Finance 1999 913, Society for Computational Economics.
• Jing Yang, 1999. "Heterogeneous Beliefs, Intelligent Agents, and Allocative Efficiency in an Artificial Stock Market," Computing in Economics and Finance 1999 612, Society for Computational Economics. [Downloadable!]
• Rosella Giacometti & Rosella Castellano, 1999. "Performance of a Hedged Dynamic Portfolio Model in the Presence of Extreme Events," Computing in Economics and Finance 1999 132, Society for Computational Economics.
• Eric Jacquier & Nicholas G. Polson & Peter Rossi, 1999. "Stochastic Volatility: Univariate and Multivariate Extensions," Computing in Economics and Finance 1999 112, Society for Computational Economics.
• Shu-Heng Chen & Chia-Hsuan Yeh, 1999. "Evolving Traders and the Faculty of the Business School: A New Architecture of the Artificial Stock Market," Computing in Economics and Finance 1999 613, Society for Computational Economics. [Downloadable!]
• Sunanda Roy, 1999. "Government-Private Ownership Equilibrium with Incomplete Markets," Computing in Economics and Finance 1999 153, Society for Computational Economics.
• Berç Rustem & Tetsuya Noguchi & Michael Selby, 1999. "Computational Algorithms for Vertical Complementarity Arising in Finance," Computing in Economics and Finance 1999 931, Society for Computational Economics. [Downloadable!]

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