Society for Computational Economics
Computing in Economics and Finance 2004
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2004
- 99 Learning with Heterogeneous Expectations in an Evolutionary World
by Eran Guse - 98 Comparison of Optimal Control Solutions in a Labor Market Model
by Gareth D Leeves & Ric D Herbert - 97 Inflation targeting
by Harris Dellas & Fabrice Collard - 96 Durable Consumption As A Status Good: A Study Of Neoclassical Cases
by Walter H. Fisher - 95 Extending the OLAP framework for automated explanatory tasks
by Hennie Daniels & Emiel Caron - 94 Do hedging instruments stabilize markets?
by Florian Wagener & William Brock & Cars Hommes - 92 Distribution and Fluctuation of Firm Size in the Long-Run
by W. Souma & H. Aoyama & L. Gruene - 91 Market Dynamics and Stock Price Volatility
by J. Barkley Rosser, Jr. & Honggang Li - 90 Backward dynamics, inverse limits and global sunspots
by Alfredo Medio - 89 Empirical Calibration of Simulation Models
by Thomas Brenner & Claudia Werker - 88 Cognitive Learning and the Emergence of Cooperation - An Simulation Approach
by Thomas Brenner - 87 Working women and their fertility choices
by Marji Lines - 84 Towards an Evolutionary Interpretation of Aggregate Labor Market Regularities
by Gabriele R. & Fagiolo G. & Dosi G. - 83 Monetary Rules, Indeterminacy, and the Business-Cycle Stylised Facts
by Luca Benati - 82 Learning the Shape of the Likelihood of Typical Econometric Models using Gibbs Sampling
by Michiel D. de Pooter & Rengert Segers - 81 Efficiency in Public Sector: A Neural Network Approach
by Francisco J. Delgado - 8 Tied Versus Untied Foreign Aid: Consequences for a Growing Economy
by Stephen J. Turnovsky & Santanu Chatterjee - 79 A DSGE-VAR for the Euro Area
by Marco Del Negro & Frank Schorfheide - 78 Using systems engineering software to build a model of the monetary circuit
by Steve Keen - 76 Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates
by Iryna Kaminska & Andrea Carriero & Carlo A. Favero - 75 Learning-by-Doing, Hi-Tech Consumption and Productivity Resurgence
by Francesco Venturini - 74 Functional Approximations to Likelihoods/Posterior Densities: A Neural Network Approach to Efficient Sampling
by Lennart F. Hoogerheide & Johan F. Kaashoek - 73 Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming
by Carl Chiarella & Chih-ying Hsiao - 71 Computational Economics: Help for the Underestimated Undergraduate
by P. Ruben Mercado & David A. Kendrick - 70 Monetary policy and the expectations hypothesis
by D. Vestin & Hordahl & P. - 69 Model Evolution of Heterogeneous Beliefs in an Network Economy
by Jie-Shin Lin - 68 Robust investment policies with bound forecasts
by Nalan Gulpinar & Berc Rustem - 67 Optimal Monetary Policy under Commitment with a Zero Bound on Nominal Interest Rates
by Roberto M. Billi & Klaus Adam - 66 A formal model of modularity
by Koen Frenken & Luigi Marengo - 65 Exchange Rate Policy and the Zero Bound on Nominal Interest Rates
by Volker Wieland (Goethe University Frankfurt) & Günter Coenen (European Central Bank) - 64 Monetary policy with endogenous Nairu
by Wenlang Zhang & Willi Semmler - 62 Exchange rate overshooting and the costs of floating
by Nouriel Roubini & Michele Cavallo & Kate Kisselev - 61 Advertising Dynamics and Competitive Advantage
by Ulrich Doraszelski & Sarit Markovich - 60 Uninsurable Investment Risk
by Cesaire Meh (co-author Vincenzo Quadrini) - 6 Forecasting the Bond-Equity Yield Ratio Using Regime Switching and Cointegration Models: An international Comparison
by Mikael Petitjean & Pierre Giot - 59 Asset Pricing with Delayed Consumption Decisions
by Willi Semmler & Lars Grüne - 58 Which order is too much? An application to a model with staggered price and wage contratcs
by Florian PELGRIN & Michel JUILLARD - 56 Are New Keynesian Phillips Curves Identified ?
by Maral Kichian & Jean-Marie Dufour & Lynda Khalaf - 55 Fiscal Policy in a Two-Sector Economy with Public Capital and Congestion
by Mihaela Pintea - 54 Uncovered interest parity tests and exchange rate expectations
by Philip Marey - 53 Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates
by PeterTillmann - 52 Does the Term Spread Play a Role in the Fed's Reaction Function? An Empirical Investigation
by Jesus Vazquez - 51 Does Employment Protection Inhibit Technical Diffusion?
by Roberto M Samaniego - 49 Regime Shifts and the Stability of Backward Looking Phillips Curves in Open Economies
by Efrem Castelnuovo - 48 Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management
by Dietmar Leisen - 47 Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices
by Daniela Hristova - 46 Approximate Versus Exact Equilibria
by K.Schmedders & F.Kubler - 45 On Asymmetric Business Cycle Effects on Convergence Rates: Some European Evidence
by Ramón MarÃa-Dolores & Israel Sancho - 44 How much can firms know?
by Bridget Rosewell & Paul Ormerod - 41 Limited dependent panel data models: a comparative analysis of classical and Bayesian inference among econometric packages
by Giuseppe Bruno - 40 Asymmetric Jump Processes: Option Pricing Implications
by Brice Dupoyet - 39 Modelling the health related benefits of environmental policies and their feedback effects, a CGE analysis for the EU countries with GEM-E3
by Denise Van Regemorter & Inge Mayeres - 38 Computing Center Manifolds: A Macroeconomic Example
by Alex Haro & Pere Gomis-Poruqeras - 36 Nonparametric Identification and Estimation of Multi-Unit, Sequential, Oral, Ascending-Price Auctions with Asymmetric Bidders
by Harry J. Paarsch & Bjarne Brentstrup - 35 Strongly rational expectations equilibria with endogenous acquisition of information
by Gabriel Desgranges & Maik Heinemann - 347 Computational Economics: Help for the Underestimated Undergraduate
by Hans Amman & David Kendrick & Ruben Mercado - 346 Application Of The Kalman Filter For Estimating Continuous Time Term Structure Models: Evidence From The Uk And Germany
by Rana Chatterjee - 345 Valuation of American Continuous-Installment Options
by Pierangelo Ciurlia & Ilir Roko - 344 Money makes the world go round ... about the necessity of nonlinear techniques in interest rate forecasting
by Stefan Fink & Janette F. Walde - 343 Bounded Rationality, Learning, and Business Cycles in a Standard Neoclassical Growth Model
by Laurent Cellarier - 342 Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements
by Eugenie Hol & Siem Jan Koopman & Borus Jungbacker - 341 A Strategy for Including Odd and Even-Numbered Higher Moments in Portfolio Selection
by Renato G. Flores Jr & Gustavo M. de Athayde - 339 Robust Control Rules to Shield Against Indeterminacy
by Nicoletta Batini & Paul Levine - 338 Should macroeconomists consider restricted perception equilibria? Evidence from the experimental laboratory
by Klaus Adam - 336 Games and Queues
by Bernardo A. Huberman & Li Zhang & Fang Wu - 335 Robust control, Regime Switching Risk and Asset Prices
by Turalay Kenc - 334 Teaching Numerical Methods in an Applied Economics Department
by Mario J. Miranda - 333 Can New Open Economy Macroeconomic Models Explain Business Cycle Facts?
by Jagjit Chadha & Charles Nolan - 332 The Dynamics of Plant-level Productivity in U.S. Manufacturing
by Kirk White & Arpad Abraham - 331 Changes in the Environment and Individual Learning
by John Ledyard & Jasmina Arifovic - 330 Lumpy Investment, Sectoral Propagation, and Business Cycles
by Makoto Nirei - 329 Human Capital Accumulation, Time to Build, and Business Cycles
by Toshiya Ishikawa - 328 Network properties of trading
by Ilija I. Zovko - 326 Experiments in a Software Aided Multiagent System
by Chung-Ching Tai & Shu-Heng Chen - 325 Monetary and Fiscal Policy Switching
by Hess Chung & Troy Davig & Eric Leeper - 324 On the real impact of money in an economy with spatially differentiated agents
by Petia Manolova - 323 Optimal Capital Tax and Debt Policy Under Incomplete Asset Markets
by Andrew J Scott & Arpad Abraham & Albert Marcet - 321 A Specification Search Algorithm for Cointegrated Systems
by Jerzy Mycielski & Michal Kurcewicz - 320 The Use of a Simple Decision Rule in Repeated Oligopoly Games
by Jan Edman - 32 Monetary Policy, Taxes, and the Business Cycle
by Michael R. Pakko & William T. Gavin & Finn E. Kydland - 319 Domestic and International Determinants of the Sustainability of Public Debt
by Michael Binder - 318 (The Evolution of) Post-Secondary Education: A Computational Model and Experiments
by Sergey Slobodyan & Andreas Ortmann - 316 Wake me up before you GO-GARCH
by Roy van der Weide - 315 Critical behaviour and system size in agent-based models: an explanation
by Simone Alfarano & Friedrich Wagner - 314 One Sector Models, Indeterminacy, and Productive Public Spending
by Sergey Slobodyan - 313 Volatility and the Term Structure: Evidence from Interest Rate Derivatives
by Alessandro Beber; Fabio Fornari. - 312 An algorithmic solution to the interval Kyoto game
by Christophe Deissenberg & George Leitmann - 310 From Heterogeneous expectations to exchange rate dynamic:
by Philippe Protin & Luc Neuberg & Christine Louargant - 31 Why are long rates sensitive to monetary policy?
by Ulf Soderstrom & Tore Ellingsen - 308 The U.S. Phillips-curve by time scale using waveletsMarco
by Marco Gallegati Mauro Gallegati James Ramsey Willi Semmler - 307 On-the-job Search and Business Cycle Dynamics
by Thomas A. Lubik & Michael U. Krause - 306 Aggregation of Dependent Risks with Specific Marginals by the Family of Koehler-Symanowski Distributions
by Paola Palmitesta & Corrado Provasi - 305 Booms and bursts of asst markets: empirical results and a model based upon the Fokker-Plank equation
by Taisei KAIZOJI - 303 Bureaucratic corruption and macroeconomic performance
by Ingrid Ott - 302 Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters
by Giuliano De Rossi - 301 A multiple matching model with endogenous participation : what's new about the supply-side policies?
by Etienne Campens - 300 Discussing the Survivability Issue in Agent-Based Artificial Stock Market
by Ya-Chi Huang & Shu-Heng Chen - 30 A Bayesian algorithm for a Markov Switching GARCH model
by Dhiman Das - 3 Can Long-Run Restrictions Identify Technology Shocks?
by Christopher J. Erceg & Luca Guerrieri - 299 How Precise are Our Estimates of the Current Output Gap? New Evidence from Multivariate Estimates for the Euro-Zone
by Simon van Norden - 298 On the Dynamics of Finite Memory Distributed Systems
by Jamsheed Shorish & Victor Dorofeenko - 297 Distributed Technology Techniques for Solving Dynamic Models
by Paul Turton & Jan Herbert - 296 An agent based approach to analysis of Capital structure and industry dynamics: The role of policy
by Roberto GABRIELE & Enrico ZANINOTTO - 295 Review of Pension Schemes Under Segmented and Asymmetric Labor Market
by Renginar Dayangac & Bilge Ozturk - 294 Credit and Cash-in-Advance in Disequilibrium Models
by Sander van der Hoog - 293 Pricing a Path-dependent American Option by Monte Carlo Simulation
by Masaaki Kijima & Hajime Fujiwara - 292 The Manufacturing Flexibility to Switch Products: Valuation and Optimal Strategy
by Sorin Tuluca & Piotr Stalinski - 291 A Search for a Structural Phillips Curve
by Argia M. Sbordone & Timothy Cogley - 289 A rational expectatons critque of the Hahn-Solow critique of rational expectations
by Richard E. Hawkins - 288 Weird Ties? : Growth, Cycles and Firms Dynamics in an Agent Based-Model with Financial Market Imperfections
by Domenico Delli Gatti & Mauro Gallegati - 287 Time Series Filtering through Chebyshev Polynomials
by Gonul Turhan-Sayan & Serdar Sayan - 286 Codependence in Cointegrated Autoregressive Models
by Christoph Schleicher - 285 The overvaluation of PPP in Europe?
by Stuart Snaith & Jerry Coakley - 284 Some Practical Considerations for Applying Perturbation Methods to
by gary anderson & jinill kim - 282 International evidence on monetary neutrality under broken trend stationary models
by R. Velazquez & Noriega & A. - 281 Dynamics of an Extended Kaldor Model with Rational Expectation of Capital Efficiency and Adaptive Expectation of Inflation
by Kodera & J. - 280 How Large Are Returns to Scale in the U.S.? A View Across the Boundary
by Thomas A. Lubik - 28 Public Opinion Formation in Policy Issues. An evolutionary approach
by F. Fatas-Villafranca - 279 Complex dynamics in a Pasinetti-Solow model of Growth and distribution
by Pasquale Commendatore - 277 State-Dependent or Time-Dependent Pricing: Does It Matter For Recent U.S. Inflation?
by Oleksiy Kryvtsov & Peter J. Klenow - 276 An endogenous growth model with concave consumption functions
by Kirill Borissov & Vera Kipiatkova - 273 Density Estimation and Combination under Model Ambiguity
by Stefania D'Amico - 272 Generalised Fading Memory Learning in a Cobweb Model: some evidence
by Domenico Colucci & Vincenzo Valori - 271 Adaptive Learning in Practice
by Chryssi Giannitsarou & Eva Carceles-Poveda - 27 Surrogate Data Analysis and Stochastic Chaotic Modelling: Application to Stock Exchange Returns Series
by Constantinos VORLOW & Antonios ANTONIOU & Catherine KYRTSOU - 269 Speculative option valuation: A supercomputing approach
by Enrico Scalas & Alessandro Vivoli & Paride Dagna & Guido Germano - 268 Perturbed Polynomial Path Method For Accurately Computing And Empirically Evaluating Total Factor Productivity
by Baoline Chen & Peter A. Zadrozny - 267 Coordination Dynamics under Collective and Random Fining Systems for Controlling Non-Point Source Pollution: A Simulation Approach with Genetic Algorithms
by Eleni Samanidou - 266 The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics
by Oleg Korenok & Bruce Mizrach - 265 Endogenous Redistributive Cycles
by Maik Heinemann & Christiane Clemens - 264 Nonlinear Mean Reversion in Stock Prices
by S. Manzan - 263 Big fortunes, aggregate saving and growth
by Michael Reiter - 262 Keynesian Dynamics and the wage price spiral. A baseline disequilibrium approach
by T. Asada & P. Chen - 261 Asset price and wealth dynamics in a financial market with heterogeneous agents
by Carl Chiarella & Roberto Dieci - 260 Multi-agent modeling and simulation of a sequential monetary production economy
by Marco Raberto & Silvano Cincotti - 26 The Malaysian Balance of Payments:Keynesian Approach Versus Monetary Approach
by Jarita Duasa - 259 The Impact of Multiperiod Planning Horizons on Portfolios and Asset Prices
by Marten Hillebrand - 258 Co-evolution vs. Neural Networks; An Evaluation of UK Risky Money
by Alicia Gazely & Jane Binner & Graham Kendall - 256 Dividend and Stock Repurchase Policy with Transaction Costs
by Motoh Tsujimura - 255 The Impacts of Fragmented Volatilities by Learning about Predictability in the Real Options Approach
by Kijima, Masaaki & Shibata & Takashi - 254 Inflation Targeting and Q Volatility in Small Open Economies
by Paul McNelis & Guay Lim - 252 Conditional Welfare Comparisons of Monetary Policy Rules
by Andy Levin & Jinill Kim - 251 Estimation of the fractionally integrated process with Missing Values: Simulation and Application
by Valderio A. Reisen, UFES, Brazil. & Carlos Feitosa Luna & Manoel R. Sena Jr. - 250 Semi-parametric procedures for Unit root and fractional cointegration tests
by Valderio A. Reisen, DEST-UFES, Brazil & Luz A. M. Santander & GET-UFF - 25 Financing Constraints and Corporate Growth
by Winston Moore & Roland Craigwell - 246 Choosing Variables With A Genetic Algorithm For Econometric Models Based On Neural Networks Learning And Adaptation
by Daniel Ramirez A. & Juan M. Gómez G. - 241 Heterogeneous Agents Past and Forward Time Horizons in Setting Up a Computational Model
by Serge Hayward - 240 Inflation in the 1970s in the U.S.: Misspecification, Learning and Sunspots
by Peter von zur Muehlen & Robert J. Tetlow - 24 Technological and Social Costs and Benefits of Patent Systems
by Murat Yildizoglu & Thomas Vallée - 239 Community structure and labour market segmentation in a stochastic model of
by Davide Fiaschi - Matteo Marsili - 238 A Dynamical Analysis of Moving Average Rules
by Cars Hommes & Carl Chiarella & Xue-Zhong He - 237 A Dynamic Programming Approach for Pricing Options Embedded in Bonds
by Hatem Ben-Ameur & Michèle Breton - 235 Optimal Monetary Policy in an Imperfect World
by Andrew Levin & Eric Swanson - 234 Should East Asia's Currencies Be Pegged to the Yen? The Role of Pricing Behavior and Currency Invoicing
by Wing-Leong Teo - 231 Elements in the Design of an Early Warning System for Sovereign Default
by Ana-Maria Fuertes & Elena Kalotychou - 230 Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?
by Kirstin Hubrich - 23 Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity
by Aaron Smallwood - 228 Forecasting sovereign default using panel models: A comparative analysis
by Ana-Maria Fuertes & Elena Kalotychou - 227 Price and Wealth Dynamics in an Agent-Based Model with Heterogeneous Evolving Strategies
by Giulio Bottazzi & Mikhail Anoufriev - 225 A double-auction artificial market with time-irregularly spaced orders
by Enrico Scalas & Silvano Cincotti - 224 The magnitude and Cyclical Behavior of Financial Market Frictions
by (Kim | Lopez-Salido | Swanson) & Andrew Levin - 223 Portfolio choice, life-cycle and idiosyncratic income risk : the semi-external habit formation approach
by Thomas Weitzenblum & Philippe Bernard - 222 Solving SDGE Models: A New Algorithm for Sylvester Equation
by Ondrej Kamenik - 221 An agent-based model of directed advertising on a social network
by C. Castaldi & F. Alkemade - 220 The Optimality of the US and Euro Area Taylor Rule
by Ferhat MIHOUBI & Pascal JACQUINOT - 22 A Steady State Approach to Trend / Cycle Decomposition
by Jeremy Piger & James Morley - 219 Fitting and comparing stochastic volatility models through Monte Carlo simulations
by Silvano Bordignon & Davide Raggi - 218 Negotiating over Bundles and Prices Using Aggregate Knowledge
by Koye Somefun & Tomas Klos - 217 On Learning Equilibria
by Florian Wagener & Jan Tuinstra - 216 Demand Side Shocks and Macroeconomic Policy
by Maciej K. Dudek - 215 Habit formation and Interest-Rate Smoothing
by Sean Holly & Luisa Corrado - 213 Stochastic Optimisation and Worst Case Analysis in Monetary Policy Design
by S. Zakovic & V. Wieland & B. Rustem - 212 The New Keynesian Phillips Curve: An Empirical Assessment
by Florian PELGRIN & GUAY Alain & LUGER Richard - 211 An evolutionary approach to the El Farol game
by J. Tuinstra & P. Dindo & C.H. Hommes - 209 Heterogeneous Investment Horizons in a Simple Asset Pricing Model
by Giulio Bottazzi & Mikhail Anoufriev - 207 Exchange Rate Pass-Through in a Structural Small Open Economy Model: How Important is the Conduct of Monetary Policy
by Stephen Murchison - 206 Neighborhood models of minority opinion spreading
by C. J. Tessone & R. Toral - 205 Heterogeneity and feedback in an agent based market model
by Ghoulmié & F. - 204 Extending the CAPM model
by Hendri Adriaens & Bas Donkers - 203 Discovering Financial Patterns in the Foreign Exchange Markets
by Chueh-Yung Tsao & Shu-Heng Chen - 202 Product Preannouncement in New Markets: A Strategic Analysis
by Herbert Dawid & Yongchuan Bao - 201 Testing multivariate hypotheses with positive definite bilinear forms
by Valentyn Panchenko & Cees Diks - 200 Using Genetic Programming with Lambda Abstraction to Find Technical Trading Rules
by Tina Yu & Shu-Heng Chen - 20 Why Does Private Consumption Rise After a Government Spending Shock?
by Nooman Rebei & Hafedh Bouakez - 198 Price Formation and Asset Allocations of the Electronic Trading System Xetra
by Jan Wenzelburger & Xihao Li - 197 On the performance of efficient portfolios
by Jan Wenzelburger & Volker Boehm - 196 Competition as a Coordination Device
by Joachim Weimann & Thomas Riechmann - 195 The Econometric Analysis of Microscopic Simulation Models
by Youwei Li & Bas Donkers - 194 Occasionally Binding Collateral Constraints in RBC Models
by Emilio Espino & Thomas Hintermaier - 193 International Capital Mobility and Aggregate Volatility: the Case of Credit-Rationed Open Economies
by Patrick Pintus - 192 Modified Hiemstra-Jones Test for Granger Non-causality
by Cees Diks & Valentyn Panchenko - 191 Strucural change and DSGE models
by Michel Juillard - 190 Escape Dynamics: A Continuous Time Approximation
by Dmitri Kolyuzhnov & Anna Bogomolova - 19 Monetary policy and the transition to rational expectations
by Giuseppe Ferrero - 189 Habit Persistence in Consumption in a Sticky Price Model of the Business Cycle
by Michael Gail - 188 Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve
by Marco Lyrio & Hans Dewachter - 187 Structural analysis of optimal investment for firms with non-concave revenues
by Florian Wagener - 181 Solving Continuous-Time Markov-Perfect Nash Equilibria
by Uli Doraszelski & Kenneth L. Judd - 180 Teaching Numerical Methods to Economics Students
by Kenneth L. Judd - 18 Targeting Inflation by Forecast Feedback Rules in Small Open Economies
by Kai Leitemo