Society for Computational Economics
Computing in Economics and Finance 2006
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2006
- 96 Introducing heterogeneous discrete-choice making agents in applied GE models
by Riccardo Magnani & Jean Mercenier - 95 Natural volatility, welfare and taxation
by Olaf Posch & Klaus Wälde - 94 Financial applications of flexible copula families based on mixing
by Arakelian Veni & Karlis Dimitris - 92 Should the Private Sector Provide Public Capital?
by Santanu Chatterjee - 91 Sustainable management of fisheries: an illustration of viability concepts and methods
by Michel De Lara & Luc Doyen & Therese Guilbaud & Marie-Joelle Rochet - 87 Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model
by Pau Rabanal - 86 A Ricardian Perspective of the Fiscal Theory of the Price Level
by Stefan Niemann - 84 The External Finance Premium and the Macroeconomy: US post-WWII Evidence
by Ferre De Graeve - 83 Macroeconomic factors in the term structure of interest rates when agents learn
by Thomas Laubach & Robert J. Tetlow & John C. Williams - 81 Identification Problems in SDGE Models with an illustration to a small Macro model
by Andreas Beyer & Roger E.A. Farmer - 8 Existence of Equilibrium for Integer Allocation Problems
by Somdeb Lahiri - 78 Modelling option prices using neural networks
by L.F. Hoogerheide & H.K. van Dijk - 77 Endogenous growth and time to build: the AK case
by Mauro Bambi - 76 Detrending and Output Growth-Rate Distributions
by Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini - 75 Distortionary Taxation, Debt, and the Price Level
by A. Schabert & L. v. Thadden - 74 Testing foe Stochastic Dominance Efficiency
by Nikolas Topaloglou & Olivier Scaillet & University of Geneva - 72 The Optimal Long-Run Inflation Rate for the U.S. Economy
by Roberto M. Billi - 71 Welfare Effects of Tax Policy in Open Economies: Stabilization and Cooperation
by Sunghyun Henry Kim & Jinill Kim - 7 The trade-off technological Vs environmental efficiency at glance
by Raouf Boucekkine & Thomas Vallee - 69 Markov-Switching Structural Vector Autoregressions: Theory and Application
by Juan F. Rubio-Ramirez & Daniel Waggoner & Tao Zha - 68 Pricing the CBT T-Bonds Futures
by Ramzi Ben Abdallah & Hatem Ben Ameur & Michèle Breton - 67 Space-filling Techniques in Visualizing Output from Computer Based Economic Models
by Ric D Herbert & Richard Webber & Wei Jiang - 65 The Role of Expectations in a Macroeconomic Model with Inventories
by Luca Colombo & Gerd Weinrich - 64 Inference in GARCH when some coefficients are equal to zero
by Christian Francq & Jean-Michel Zakoïan - 63 Stochastic unit-root bilinear processes
by Christian Francq & Svetlana Makarova & Jean-Michel Zakoïan - 61 Skewed policy responses and IT in Latin America
by Marco Vega - 60 The Quest for Status and Endogenous Labor Supply: The Relative Wealth Framework
by Walter H. Fisher & IHS-Vienna & Franz X. Hof - 6 The relative importance of Term Spread, Policy Inertia and Persistent Monetary Policy Shocks in Monetary Policy Rules
by Ramón Maria-Dolores & Jesus Vazquez - 59 Monetary Policy Switch, the Taylor Curve, and the Great Moderation
by Efrem Castelnuovo - 58 A new framework for firm value using copulas
by Elena Maria De Giuli & Mario Maggi & Dean Fantazzini - 57 A Unified Copula Framework for VaR forecasting
by Dean Fantazzini & Alessandro Carta & Elena Maria DeGiuli - 56 Rational Inattention, Portfolio Choice, and the Equity Premium
by Yulei Luo - 55 Bifurcation analysis of New Keynesian models
by William A. Barnett & Evgeniya A. Duzhak - 54 A closed form approach to valuing and hedging basket options
by Svetlana Borovkova & Ferry Permana - 530 Implied binomial trees and calibration for the volatility smile
by C. Charalambous & N. Christofides & E. D. Constantinide & S. H. Martzoukos - 529 Learning, structural instability and present value calculations
by M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann - 528 O curse of dimensionality, where is thy sting?
by Kenneth Judd - 527 Agent-Based Computational Economics: A Constructive Approach to Economic Theory
by Leigh Tesfatsion - 526 Using wavelets to approximate the risk-neutral MGF for options
by Liya Shen & Emmanuel Haven - 525 Unemployment Fluctuations with Staggered Nash Wage Bargaining
by Mark Gertler & Antonella Trigari - 524 Demand Shocks and Monetary Policy
by Guido Lorenzoni - 523 Long Memory and Structural Breaks in Commodity Futures Basis and Market
by Jerry Coakley & Jian Dollery & Neil Kellard - 521 Optimal Monetary Policy in a Small Open Economy with Home Bias
by Ester Faia & Tommaso Monacelli - 520 Prediction of bank rating transition probabilities
by Paraskevi Dimou & Alistair Milne & Francesca Campolongo - 518 Nonlinear Effects in the Generalized Latent Variable Model
by Irini Moustaki & Dimitris Rizopoulos - 517 The Independent Monetary Policy under the Fixed Exchange Regime
by Gang Gong & Jian Gao - 516 Persistence of Monopoly, Innovation, and R-and-D Spillovers: Static versus Dynamic Analysis
by Kresimir Zigic & Viatcheslav Vinogradov & Eugen Kovac - 515 Myopia in Marketing Channel: A Differential Game Analysis
by Sihem Taboubi & Guiomar MartÃn-Herrán & Georges Zaccour - 514 Worst-case Robust Approach to the Equity Premium Puzzle
by Nalan Gulpinar & Turalay Kenc & Berc Rustem - 512 On the valuation of constant maturity swaps
by Tetsuya Noguchi - 511 Explaining Life-Cycle Profiles of Home-Ownership and Labour Supply
by IFS,Renata Bottazzi, Institute for Fiscal Studies,Hamish Low, University of Cambrdige & Renata Bottazzi & Orazio Attanasio & Hamish Low & Lars Nesheim & Matthew Wakefield - 510 Financial Transparency and Stock Returns: An International Study
by Ivana Raonic & Christina Dargenidou & Stuart McLeay - 51 The discounted economic stock of money with VAR forecasting
by William A. Barnett & Unja Chae & John W. Keating - 509 On Sovereign Credit Migration: A Study of Alternative Estimators and Rating Dynamics
by Elena Kalotychou & Ana-Maria Fuertes - 508 On the Expectations Hypothesis in US Term Structure
by Erdenebat Bataa & Dong Heon Kim & Denise R. Osborn - 507 Profitability of Index-based Size and Style Rotation Strategies in the UK Equity Markets
by Natasha Todorovic & Bhavesh Gokani - 506 Valuation of participating contracts and risk capital assessment: the importance of market modelling
by Laura Ballotta - 505 Gullibility and Welfare in an Environmental Taxation Game
by Christophe Deissenberg & Herbert Dawid & Pavel Å evÄ?Ãk - 500 What are shocks capturing in DSGE modelling? Structure versus misspecification
by Domenico Giannone & Lucrezia Reichlin - 5 New Evidence on the Puzzles: Monetary Policy and Exchange Rates
by Almuth Scholl & Harald Uhlig - 499 A Structural Model of Credit Risk with Counter-Cyclical Risk Premia
by Turalay Kenc & Martin Sola & Marzia Raybaudi - 497 A multiple testing procedure for neural network model selection
by Michele La Rocca & Cira Perna - 496 The combination of volatility forecasts
by Alessandra Amendola & Giuseppe Storti - 495 Financial Products with Guarantees: Applications, Models and Internet-based services
by Andrea Consiglio & Stavros A. Zenios - 494 Secular Trends in U.S Saving and Consumption
by Kaiji Chen & Ayse Imrohoroglu & Selahattin Imrohoroglu - 493 Testing for Structural Breaks and other forms of Non-stationarity: a Misspecification Perspective
by Maria Heracleous & Andreas Koutris & Aris Spanos - 492 A Broad-Spectrum Computational Approach for Market Efficiency
by Olivier Brandouy & Philippe Mathieu - 49 Oil crisis, Energy Saving Technological Change, and the Stock Market Collapse of 1974
by Adrian Peralta-Alva & Sami Alpanda - 489 Forecasting stock prices using Genetic Programming and Chance Discovery
by Alma Lilia Garcia-Almanza & Edward P.K. Tsang - 488 Time-Varying U.S. Inflation Dynamics and the New Keynesian Phillips Curve
by Kevin J. Lansing - 487 Evaluating hedge fund managers: A Bayesian investigation of skill and persistence
by Vrontos Ioannis & Vrontos Spyridon & Giamouridis Daniel - 486 Equilibrium Specification and Structure of Technology: a Factor Substitution Analysis in French Industrial Demand of Energy
by Sourour Baccar - 484 Lag or Error? - Detecting the Nature of Spatial Correlation
by Mario Larch & Janette Walde - 483 Towards A Grid Market
by Panos Parpas & Berc Rustem - 482 Equilibria, Supernetworks, and Evolutionary Variational Inequalities
by Anna Nagurney & Zugang Liu - 48 A Geometric Approach to Computing Center Manifolds
by Pedro Gomis Porqueras & Alex Haro - 478 Estimating Multi-country VAR models
by Matteo Ciccarelli & Fabio Canova - 477 Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis
by Andrea Cipollini & George Kapetanios - 475 Learning Hyperinflations
by Atanas Christev - 474 The Forward Premium Anomaly at Long Horizons
by Stuart Snaith & Neil Kellard & Jerry Coakley - 473 A Robust Approach to Bond Portfolio Immunization
by Alejandro Balbás & Alfredo Ibáñez - 472 A New Optimization Approach to Maximum Likelihood Estimation of Structural Models
by Ken Judd & Che-Lin Su - 471 Optimal Income Taxation with Multidimensional Taxpayer Types
by Che-Lin Su & Kenneth L. Judd - 470 Transitioning out of Poverty
by Mika Kato & David Brasington & Willi Semmler - 47 Exploring the International Linkages of the Euro Area: a Global VAR Analysis
by Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith - 469 Comparing Accuracy of Second Order Approximation and Dynamic Programming
by Willi Semmler & Stephanie Becker & Lars Gruene - 467 Firm Dynamics with Infrequent Adjustment and Learning
by Eugenio Pinto - 466 Asset price volatilities and trading volumes in heterogeneous agent economies
by Costas Xiouros - 463 Is the relationship between ination and its uncertainty linear?
by M. Karanasos & S. Schurer - 462 Analisys of Hidden Cointegration in Financial Time Series
by Pizzi Claudio & Procidano Isabella & Parpinel Francesca - 460 Uncertainty and Irreversible Investment : A Bayesian approach of DSGE models
by Jean-Francois Piferini - 46 Estimation of Precautionary Demand by Financial Anxieties
by Y. Morita & Md. J. Rahman & S. Miyagawa - 459 New Dimensions in Portfolio Optimization
by S. Nagornii & D. Widijanto - 457 Optimising Microfoundations for Inflation Persistence
by Richard Mash - 456 Smooth Transition Autoregressive (STAR) Models
by Dietmar Maringer & Mark Meyer - 455 On-the-Job Search and the Cyclical Dynamics of the Labor Market
by Michael U. Krause & Thomas A. Lubik - 453 Computation of heterogenous agent models: Krusell/Smith vs. backwardinduction
by Michael Reiter - 451 On learnability of E–stable equilibria
by Sergey Slobodyan & Atanas Christev - 450 Group formation and Mass Media effects in Cultural Dynamics: The power of being subtle
by J.C. Gonzalez-Avella & Victor M. Eguiluz & M. San Miguel - 45 Monetary Policy and the Illusionary Exchange Rate Puzzle
by Hilde C. Bjørnland - 449 Learning From the Expectations of Others
by Jim Granato & Eran Guse & Sunny Wong - 446 Stochastic Gradient versus Recursive Least Squares Learning
by Sergey Slobodyan & Anna Bogomolova & Dmitri Kolyuzhnov - 445 Labor Market Institutions and Aggregate Fluctuations in a Search and Matching Model
by Francesco Zanetti - 444 Particle Swarm Optimization in Economics
by Mico Mrkaic - 443 Macroeconomic Dynamics under Rational Inattention
by Bartosz Mackowiak & Mirko Wiederholt - 442 Multiagent modelling for telecommunication market structure evolution
by Bogumil Kaminski & Maciek Latek - 441 Linear-Quadratic Approximation, Efficiency and Target-Implementability
by Paul Levine & Joseph Pearlman & Richard Pierse - 440 Optimal Control Response to Multiplicative Uncertainty with a Constant Term
by Fidel Gonzalez - 44 Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics
by Carl Chiarella & Andrew Ziogas - 438 Semi-Markov Regime Switching Regression Models
by Ingo Bulla - 437 Structured Hidden Markov Models
by Jan Bulla & Ingo Bulla - 436 Misspecification of Space: An Illustration Using Growth Convergence Regressions
by Jan Mutl - 435 A Karush-Kuhn-Tucker test of convexity for univariate observations
by Sofia Georgiadou & Ioannis C. Demetriou - 434 Foreign shock transmission in small open economies
by Alejandro Justiniano & Bruce Preston - 432 Job Creation and Investment in Imperfect Capital and Labor Markets
by Silvio Rendon - 431 Household debt, house prices, and consumption in the UK: a theoretical analysis of recent developments
by Fabrizio Zampolli & Matt Waldron - 43 Fiscal Policy in an estimated open-economy model for the EURO area
by Ratto Marco & Roeger Werner & Veld Jan - 429 VaR competition: Measuring the degree of adjustment of Value at Risk methodologies
by Clara I. Gonzalez & Ricardo Gimeno - 428 Financial Market Imperfections: Does it Matter for Firm Size Dynamics?
by Kim P. Huynh & Robert J. Petrunia - 427 The effect of supply and demand in a dynamic limit order based financial market
by Dan Ladley & Klaus Reiner & Schenk-Hoppé - 426 Business Cycles in the Equilibrium Model of Labor Search and Self-Insurance
by Makoto Nakajima - 425 International Wealth Effects
by Jiri Slacalek - 424 Labor Demand Dynamics And the Structure of Adjustment Costs: Evidence From French Firms
by Nicolas Roys - 423 Competing or Colluding in a Stochastic Environment
by Adriana Breccia & Hector Salgado-Banda - 422 Multi-Sectoral Cascading and Price Dynamics - A Bayesian Econometric Evaluation
by Alejandro Justiniano & Michael Kumhof & Federico Ravenna - 420 Learning, the Stock Market and Monetary Policy
by Marco Airaudo & Salvatore Nistico' & Luis-Felipe Zanna - 42 Global sensitivity analysis for macro-economic models
by Marco Ratto - 419 Dynamic equilibrium conditions used for building a family of FX rate simulation models
by Lukas Ladislav - 418 Sticky Prices vs. Limited Participation:What Do We Learn From the Data?
by Niki Papadopoulou - 417 Genetically Optimised Artificial Neural Network for Financial Time Series Data Mining
by Serge Hayward - 416 Exchange-Rate-Based Stabilization, Durables Consumption, and Stylized Facts
by Manoj Atolia & Edward F. Buffie - 415 Labor Market Search, Inflation and Emloyment Dynamics
by Günes Kamber & Chahnez Boudaya - 414 Robust monetary policy under Knightian uncertainty
by Q. Farooq Akram & Yakov Ben-Haim & Øyvind Eitrheim - 412 Duopolistic competition in an electricity markets with heterogeneous cost functions
by Eric Guerci & Stefano Ivaldi & Marco Raberto & Silvano Cincotti - 410 Comparative study of central decision makers versus groups of evolved agents trading in equity markets
by Cyril Schoreels & Jonathan M. Garibaldi - 409 New strategies for the detection of influential observations
by Marc Hofmann & Cristian Gatu & Erricos John Kontoghioghes - 408 Differential Population Dynamics and Trade between Large and Small Countries
by Serdar Sayan - 407 Forecasting Inflation: the Relevance of Higher Moments
by Jane M. Binner & C. Thomas Elger & Barry E. Jones & Birger Nilsson - 406 Dismissal Protection or Wage Flexibility
by Jens Rubart - 404 A Stochastic Programming Framework for International PortfolioManagement
by Hercules Vladimirou & Nikolas Topaloglou & Stavros A. Zenios - 403 Welfare Gains from Monetary Commitment in a Model of the Euro-Area
by Paul Levine & Peter McAdam & Joseph Pearlman - 402 Oil Price Shocks, Monetary Policy Rules and Welfare
by Fiorella de Fiore & Giovenni Lombardo & Viktors Stebunovs - 401 Estimation of Industry Distribution of Statistical Discrepancy in National Accounts
by Baoline Chen - 400 Flat Tax Reforms in the U.S.: a Boon for the Income Poor
by Javier Diaz-Gimenez & Josep Pijoan-Mas - 40 Optimal Monetary Policy when Agents are Learning
by Krisztina Molnar & Sergio Santoro - 399 Currency Predictions for Multi-Currency Instruments
by Baldur P. Magnusson - 398 Co evolution of Genetic Programming Based Agents in an Artificial Stock Market
by Martinez Jaramillo Serafin. & Tsang Edward P. K. & Markose, Sheri. - 396 Local Polynomials vs Neural Networks: some empirical evidences
by Giordano Francesco & Parrella Maria Lucia - 395 Parallel particle filters for likelihood evaluation in DSGE models: An assessment
by Ingvar Strid - 394 Monotonic Power in tests for structural change in the mean based on orthonormal series filtering
by Elena Andreou - 393 Discrete-Time Implementation of Continuous-Time Portfolio Strategies
by Beate Breuer & Nicole Branger & Christian Schlag - 392 Optimal Simple Nonlinear Rules for Monetary Policy in a New-Keynesian Model
by Paolo Zagaglia & Massimiliano Marzo & Ingvar Strid - 390 A Dynamic Tobit Model for the Open Market Desk's Daily Reaction Function
by George Monokroussos - 388 A component GARCH model with time varying weights
by Giuseppe Storti & Luc Bauwens - 387 Real-Time Measurement of Business Conditions
by Chiara Scotti & S.Boragan Aruoba & Francis X. Diebold & University of Maryland - 386 Impact of oil prices in an estimated EU12 open economy model
by M. Ratto & R. Girardi & R. Liska & W. Roeger & J. In't Veld - 384 Multinational Corporations and the Moderation of U.S. Output Volatility
by Luis San Vicente Portes - 383 Endogenous Labor Market Participation and the Business Cycle
by Christian Haefke & Michael Reiter - 382 Evaluating the Predictive Abilities of Semiparametric Multivariate Models
by Valentyn Panchenko - 380 Dynamic cointegration and relevant vector machine: the relationship between gold and silver
by Isabella Procidano & Margherita Gerolimetto & Silio Rigatti Luchini - 38 Inflation Targeting under Imperfect Knowledge
by Athanasios Orphanides & John C. Williams - 379 Representing Uncertainty about Response Paths: the Use of Heuristic Optimisation Methods
by Anna Staszewska - 377 An Alternative to Stationarization
by Michel Juillard - 376 Speculative Hyperinflations: When Can We Rule Them Out?
by Oscar J. Arce - 374 E-consumers' search and emerging structure of B-to-C coalitions
by Jacques Laye & Charis Lina & Herve Tanguy - 370 Testing the impact of disaggregated investment on Economic growth
by Meryem Duygun Fethi & Salih Turan Katirciglu & Sami Fethi - 37 Teaching simulation methods in economics
by Michael Reiter - 369 Credit Cycles in a OLG Economy with Money and Bequest
by Anna Agliari & Tiziana Assenza & Domenico Delli Gatti & Emiliano Santoro - 368 Approximately Exact Inference in Dynamic Panel Models
by Simon Broda & Marc Paolella & Yianna Tchopourian - 367 Learning to Forecast the Exchange Rate: Two Competing Approaches
by Paul De Grauwe & Agnieszka Markiewicz - 364 Bank Profitability and Taxation
by Ugo Albertazzi & Leonardo Gambacorta - 362 Government expenditure, capital adjustment, and economic growth
by Ingrid Ott & Susanne Soretz - 361 The emergence of knowledge exchange: an agent-based model of a software market
by Maria Chli & Philippe De Wilde - 360 The impact of expectations in an agent-based model
by Gottfried Haber - 36 Teaching Computational Economics to Graduate Students
by David A. Kendrick - 359 Comparing Time Series
by K. Fokianos - 358 Asset pricing implications of a New Keynesian model
by Bianca De Paoli & Alasdair Scott & Olaf Weeken - 357 A Genetic Algorithm for UPM/LPM Portfolios
by David Moreno & David Nawrocki & Ignacio Olmeda - 355 A Data-Driven Optimization Heuristic for Downside Risk Minimization
by M. Gilli & E. Kellezi & H. Hysi - 353 Uncertainty and Judgment Aggregation in Monetary Policy Committees
by Carl Andreas Claussen & Øistein Røisland - 352 Monetary Policy and the Term Structure: A Fully Structural DSGE approach
by Massimiliano Marzo & Ulf Sodestrom & Paolo Zagaglia - 351 Income Risk and Household Debt with Endogenous Collateral Constraints
by Thomas Hintermaier & Winfried Koeniger - 350 Economic activity and Recession Probabilities: spread predictive power in Italy
by Costanza Torricelli & Marianna Brunetti - 35 Teaching Computational Economics
by Viktor Winschel & Alexander Ludwig - 349 Optimal banks behaviour and procyclicality
by Chiara Pederzoli & Costanza Torricelli - 348 Emergence in multi-agent systems, part II: Axtell, Epstein and Young's revisited
by Jean Louis Dessalles & Serge Galam & Denis Phan - 347 Euro area inflation persistence in an estimated nonlinear
by Gianni Amisano & Oreste Tristani - 346 Labor Taxation, Matching and Shocks in the New Keynesian Model
by Juuso Vanhala - 345 Pricing problems of perpetual Bermudan options
by Yoshifumi Muroi & Takashi Yamada - 344 Non-constant volatility models a comparison
by Paolo Foschi - 343 Exchange Rate Variability in a Dollarized Small Open Economy
by Luca Martino Francesco Colantoni - 341 Breaking trend panel unit root tests
by Pui Sun Tam & University of Macau - 340 Ambiguity, No Arbitrage, Coherence and Artificial Financial Markets
by Hendri Adriaens & Bertrand Melenberg & Bas Donkers - 34 Optimal Fiscal and Monetary Policy in the Presence of Remittances
by Michael Gapen & Thomas Cosimano & Ralph Chami - 338 Regional Inflation Dynamics within and across Euro Area and a Comparison with the US
by Guenter Beck & Massimiliano Marcellino - 336 Simulating the Formation of Risk Perception
by Jie-Shin Lin - 334 An Estimated Dynamic Stochastic General Equilibrium Model of Taiwanese Economy
by Wing Leong Teo - 333 Finite Memory Distributed Systems
by Victor Dorofeenko & Jamsheed Shorish - 332 The Conquest of U.S. Inflation in an Estimated DSGE Model with Labor Market Search
by Fabio Milani - 331 Asset Prices and asset Correlations in Illiquid Markets
by Celso Brunetti & Alessio Caldarera