Printed from https://ideas.repec.org/s/kap/compec4.html
Content
February 2021, Volume 57, Issue 2
- 577-591 The Success of the Deferred Acceptance Algorithm Under Heterogenous Preferences with Endogenous Aspirations
by Ismail Saglam - 593-616 An Intelligent System for Insider Trading Identification in Chinese Security Market
by Shangkun Deng & Chenguang Wang & Zhe Fu & Mingyue Wang - 617-637 A New Appraisal Model of Second-Hand Housing Prices in China’s First-Tier Cities Based on Machine Learning Algorithms
by Lulin Xu & Zhongwu Li - 639-654 Optimizing Algorithmic Strategies for Trading Bitcoin
by Gil Cohen - 655-691 Stationarity Statistics on Rolling Windows
by Joseph Ross - 693-718 An Integrated Quasi-Monte Carlo Method for Handling High Dimensional Problems with Discontinuities in Financial Engineering
by Zhijian He & Xiaoqun Wang - 719-742 Futures Hedging in CSI 300 Markets: A Comparison Between Minimum-Variance and Maximum-Utility Frameworks
by Qianjie Geng & Yudong Wang - 743-771 Functional Fuzzy Rule-Based Modeling for Interval-Valued Data: An Empirical Application for Exchange Rates Forecasting
by Leandro Maciel & Rosangela Ballini - 773-790 R-Squared-Bootstrapping for Gegenbauer-Type Long Memory
by Yixun Xing & Wayne A. Woodward
January 2021, Volume 57, Issue 1
- 1-4 Machine Learning in Economics and Finance
by Periklis Gogas & Theophilos Papadimitriou - 5-28 Gold Against the Machine
by Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou - 29-53 Forecasting Realized Volatility of Bitcoin: The Role of the Trade War
by Elie Bouri & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch - 55-87 Support Vector Machine Algorithms: An Application to Ship Price Forecasting
by Theodore Syriopoulos & Michael Tsatsaronis & Ioannis Karamanos - 89-112 Monitoring Liquidity Management of Banks With Recurrent Neural Networks
by Ron Triepels & Hennie Daniels & Ron Berndsen - 113-147 Modelling Stock Markets by Multi-agent Reinforcement Learning
by Johann Lussange & Ivan Lazarevich & Sacha Bourgeois-Gironde & Stefano Palminteri & Boris Gutkin - 149-181 Time-Varying Dictionary and the Predictive Power of FED Minutes
by Luiz Renato Lima & Lucas Lúcio Godeiro & Mohammed Mohsin - 183-201 Unemployment Rate Forecasting: A Hybrid Approach
by Tanujit Chakraborty & Ashis Kumar Chakraborty & Munmun Biswas & Sayak Banerjee & Shramana Bhattacharya - 203-216 Explainable Machine Learning in Credit Risk Management
by Niklas Bussmann & Paolo Giudici & Dimitri Marinelli & Jochen Papenbrock - 217-245 Should Deep Learning Models be in High Demand, or Should They Simply be a Very Hot Topic? A Comprehensive Study for Exchange Rate Forecasting
by Firat Melih Yilmaz & Ozer Arabaci - 247-265 Forecasting of Real GDP Growth Using Machine Learning Models: Gradient Boosting and Random Forest Approach
by Jaehyun Yoon - 267-280 The Determinants of Bitcoin’s Price: Utilization of GARCH and Machine Learning Approaches
by Ting-Hsuan Chen & Mu-Yen Chen & Guan-Ting Du - 281-309 A Synthetic Penalized Logitboost to Model Mortgage Lending with Imbalanced Data
by Jessica Pesantez-Narvaez & Montserrat Guillen & Manuela Alcañiz - 311-340 Predicting Stock Price Falls Using News Data: Evidence from the Brazilian Market
by Juvenal José Duarte & Sahudy Montenegro González & José César Cruz - 341-367 A New Scalable Bayesian Network Learning Algorithm with Applications to Economics
by Michail Tsagris - 369-385 Textual Machine Learning: An Application to Computational Economics Research
by Christos Alexakis & Michael Dowling & Konstantinos Eleftheriou & Michael Polemis - 387-417 Nowcasting US GDP Using Tree-Based Ensemble Models and Dynamic Factors
by Barış Soybilgen & Ege Yazgan - 419-432 A New Hybrid Instance-Based Learning Model for Decision-Making in the P2P Lending Market
by Golnoosh Babaei & Shahrooz Bamdad
December 2020, Volume 56, Issue 4
- 695-709 The Use of Partial Fractional Form of A-Stable Padé Schemes for the Solution of Fractional Diffusion Equation with Application in Option Pricing
by H. Ghafouri & M. Ranjbar & A. Khani - 711-721 ORPIT: A Matlab Toolbox for Option Replication and Portfolio Insurance in Incomplete Markets
by Vasilios N. Katsikis & Spyridon D. Mourtas - 723-746 Multiple Shooting Method for Solving Black–Scholes Equation
by Somayeh Abdi-Mazraeh & Ali Khani & Safar Irandoust-Pakchin - 747-771 Forecasting with Second-Order Approximations and Markov-Switching DSGE Models
by Sergey Ivashchenko & Semih Emre Çekin & Kevin Kotzé & Rangan Gupta - 773-794 An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection
by Mårten Gulliksson & Stepan Mazur - 795-841 Posterior Inference on Parameters in a Nonlinear DSGE Model via Gaussian-Based Filters
by Sanha Noh - 843-864 Measuring Spatio-temporal Efficiency: An R Implementation for Time-Evolving Units
by Georgios Digkas & Konstantinos Petridis & Alexander Chatzigeorgiou & Emmanouil Stiakakis & Ali Emrouznejad - 865-882 Fast Monte Carlo Simulation for Pricing Equity-Linked Securities
by Hanbyeol Jang & Sangkwon Kim & Junhee Han & Seongjin Lee & Jungyup Ban & Hyunsoo Han & Chaeyoung Lee & Darae Jeong & Junseok Kim - 883-928 Optimal Grid Selection for the Numerical Solution of Dynamic Stochastic Optimization Problems
by Karsten O. Chipeniuk - 929-952 Portfolio Optimization in Incomplete Markets and Price Constraints Determined by Maximum Entropy in the Mean
by Argimiro Arratia & Henryk Gzyl - 953-973 Degrees of Rationality in Agent-Based Retail Markets
by Georgios Methenitis & Michael Kaisers & Han Poutré - 975-1054 Optimization of Backtesting Techniques in Automated High Frequency Trading Systems Using the d-Backtest PS Method
by D. Th. Vezeris & C. J. Schinas & Th. S. Kyrgos & V. A. Bizergianidou & I. P. Karkanis - 1055-1077 Liquidity Constraints for Portfolio Selection Based on Financial Volume
by Eduardo Bered Fernandes Vieira & Tiago Pascoal Filomena
October 2020, Volume 56, Issue 3
- 599-600 Guest Editorial: Special Issue on Experimentation in Economics
by Hans M. Amman & Marco P. Tucci - 601-621 Heterogeneous Expectations and Uncertain Inflation Target
by Stefano Marzioni & Guido Traficante - 623-658 Heuristic Switching Model and Exploration-Exploitation Algorithm to Describe Long-Run Expectations in LtFEs: a Comparison
by Annarita Colasante & Simone Alfarano & Eva Camacho-Cuena - 659-673 An Evolutionary Approach to Passive Learning in Optimal Control Problems
by D. Blueschke & I. Savin & V. Blueschke-Nikolaeva - 675-693 How Active is Active Learning: Value Function Method Versus an Approximation Method
by Hans M. Amman & Marco P. Tucci
August 2020, Volume 56, Issue 2
- 263-317 Crises Beyond Belief: Findings on Contagion, the Role of Beliefs, and the Eurozone Debt Crisis from a Borrower–Lender Game
by Jonathan W. Welburn - 319-336 Multifractal Analysis of Realized Volatilities in Chinese Stock Market
by Yufang Liu & Weiguo Zhang & Junhui Fu & Xiang Wu - 337-353 Using Genetic Algorithm and NARX Neural Network to Forecast Daily Bitcoin Price
by Jin-Bom Han & Sun-Hak Kim & Myong-Hun Jang & Kum-Sun Ri - 355-372 Equilibrium Working Curves with Heterogeneous Agents
by Atle Oglend & Vesa-Heikki Soini - 373-389 Nonlinear Scaling Behavior of Visible Volatility Duration for Financial Statistical Physics Dynamics
by B. Zhang & J. Wang & W. Zhang & G. C. Wang - 391-429 Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Rate
by Chaoqun Ma & Shengjie Yue & Hui Wu & Yong Ma - 431-460 Distributional Assumptions and the Estimation of Contingent Valuation Models
by James B. McDonald & Daniel B. Walton & Bryan Chia - 461-498 A Non-parametric Test and Predictive Model for Signed Path Dependence
by Fabio S. Dias & Gareth W. Peters - 499-528 An Analytic Approximation for Valuation of the American Option Under the Heston Model in Two Regimes
by Junkee Jeon & Jeonggyu Huh & Kyunghyun Park - 529-545 Bitcoin as Hedge or Safe Haven: Evidence from Stock, Currency, Bond and Derivatives Markets
by Sang Hoon Kang & Seong-Min Yoon & Stelios Bekiros & Gazi S. Uddin - 547-568 Optimal Filter Approximations for Latent Long Memory Stochastic Volatility
by Grace Lee Ching Yap - 569-597 Machine learning with parallel neural networks for analyzing and forecasting electricity demand
by Yi-Ting Chen & Edward W. Sun & Yi-Bing Lin
June 2020, Volume 56, Issue 1
- 1-3 Introduction to Topics in Modelling Financial and Macroeconomic Time Series
by Fredj Jawadi - 5-20 Optimal Portfolio Choice Under Shadow Costs with Fixed Assets when Time-Horizon Is Uncertain
by Mondher Bellalah & Detao Zhang & Panpan Zhang - 21-57 Optimal Portfolio Positioning on Multiple Assets Under Ambiguity
by Hachmi Ben Ameur & Mouna Boujelbène & J. L. Prigent & Emna Triki - 59-75 Intertemporal Similarity of Economic Time Series: An Application of Dynamic Time Warping
by Philip Hans Franses & Thomas Wiemann - 77-86 Conditional Correlation Demand Systems
by Apostolos Serletis & Libo Xu - 87-114 Modelling Time-Varying Parameters in Panel Data State-Space Frameworks: An Application to the Feldstein–Horioka Puzzle
by Mariam Camarero & Juan Sapena & Cecilio Tamarit - 115-130 A Monte Carlo Study of Time Varying Coefficient (TVC) Estimation
by Stephen G. Hall & Heather D. Gibson & G. S. Tavlas & Mike G. Tsionas - 131-143 Computing the Time-Varying Effects of Investor Attention in Islamic Stock Returns
by Nabila Jawadi & Fredj Jawadi & Abdoulkarim Idi Cheffou - 145-162 OPTCON3: An Active Learning Control Algorithm for Nonlinear Quadratic Stochastic Problems
by V. Blueschke-Nikolaeva & D. Blueschke & R. Neck - 163-186 A Testing Procedure for Constant Parameters in Stochastic Volatility Models
by Juan Hoyo & Guillermo Llorente & Carlos Rivero - 187-216 Predicting Extreme Financial Risks on Imbalanced Dataset: A Combined Kernel FCM and Kernel SMOTE Based SVM Classifier
by Xun Huang & Cheng-Zhao Zhang & Jia Yuan - 217-237 Technological Change and Catching-Up in the Indian Banking Sector: A Time-Dependent Nonparametric Frontier Approach
by Sushanta Mallick & Aarti Rughoo & Nickolaos G. Tzeremes & Wei Xu - 239-262 About Long-Term Cross-Currency Bermuda Swaption Pricing
by Bünyamin Erkan & Jean-Luc Prigent
April 2020, Volume 55, Issue 4
- 1045-1046 Macroeconomic Dynamics and Modelling on Chinese Economy
by Ling-Yun He & Hua-Qing Wu - 1047-1071 Modified Distance Friction Minimization Model with Undesirable Output: An Application to the Environmental Efficiency of China’s Regional Industry
by Qingxian An & Xiangyang Tao & Bo Dai & Jinlin Li - 1073-1093 Reducing Overcapacity in China’s Coal Industry: A Real Option Approach
by Wei Wu & Boqiang Lin - 1095-1116 Measuring the Energy Saving and CO2 Emissions Reduction Potential Under China’s Belt and Road Initiative
by Yue-Jun Zhang & Yan-Lin Jin & Bo Shen - 1117-1150 Dynamic Correlation and Risk Contagion Between “Black” Futures in China: A Multi-scale Variational Mode Decomposition Approach
by Qunwei Wang & Xingyu Dai & Dequn Zhou - 1151-1169 Forecasting Short-Term Oil Price with a Generalised Pattern Matching Model Based on Empirical Genetic Algorithm
by Lu-Tao Zhao & Guan-Rong Zeng & Ling-Yun He & Ya Meng - 1171-1184 Abandonment Decision-Making of Overseas Oilfield Project Coping with Low Oil Price
by Hui-Ling Zhou & Bao-Jun Tang & Hong Cao - 1185-1208 Game-Theoretic Analysis of Price and Quantity Decisions for Electric Vehicle Supply Chain Under Subsidy Reduction
by Jinshi Cheng & Jiali Wang & Bengang Gong - 1209-1231 Analysis of China’s Regional Economic Environmental Performance: A Non-radial Multi-objective DEA Approach
by Tao Ding & Zhixiang Zhou & Qianzhi Dai & Liang Liang - 1233-1247 Forecasting Trade Potential Between China and the Five Central Asian Countries: Under the Background of Belt and Road Initiative
by Rongji Huang & Tengfei Nie & Yangguang Zhu & Shaofu Du - 1249-1273 A Novel Decomposition-Ensemble Based Carbon Price Forecasting Model Integrated with Local Polynomial Prediction
by Quande Qin & Huangda He & Li Li & Ling-Yun He - 1275-1299 Markov Regime-Switching in-Mean Model with Tempered Stable Distribution
by Yanlin Shi & Lingbing Feng & Tong Fu
March 2020, Volume 55, Issue 3
- 745-778 Short Term Firm-Specific Stock Forecasting with BDI Framework
by Mansoor Ahmed & Anirudh Sriram & Sanjay Singh - 779-800 Financial Contagion in Core–Periphery Networks and Real Economy
by Asako Chiba - 801-826 Risk-Constrained Kelly Portfolios Under Alpha-Stable Laws
by Niels Wesselhöfft & Wolfgang K. Härdle - 827-843 An Optimal Stopping Problem of Detecting Entry Points for Trading Modeled by Geometric Brownian Motion
by Yue Liu & Aijun Yang & Jijian Zhang & Jingjing Yao - 845-874 Applying the Explicit Aggregation Algorithm to Heterogeneous Macro Models
by Takeki Sunakawa - 875-900 Estimating a Dynamic Factor Model in EViews Using the Kalman Filter and Smoother
by Martin Solberger & Erik Spånberg - 901-923 Classifier Based Stock Trading Recommender Systems for Indian stocks: An Empirical Evaluation
by V. Vismayaa & K. R. Pooja & A. Alekhya & C. N. Malavika & Binoy B. Nair & P. N. Kumar - 925-955 Solving Stochastic Dynamic Programming Problems: A Mixed Complementarity Approach
by Wonjun Chang & Michael C. Ferris & Youngdae Kim & Thomas F. Rutherford - 957-981 A Numerical Solution of Optimal Portfolio Selection Problem with General Utility Functions
by Guiyuan Ma & Song-Ping Zhu & Boda Kang - 983-997 Forecasting Financial Networks
by Petre Caraiani - 999-1019 A Radial Basis Function-Generated Finite Difference Method to Evaluate Real Estate Index Options
by Xubiao He & Pu Gong - 1021-1044 A Perturbation Method to Optimize the Parameters of Autoregressive Conditional Heteroscedasticity Model
by Xuejie Feng & Chiping Zhang
February 2020, Volume 55, Issue 2
- 383-405 International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming
by Libo Yin & Liyan Han - 407-450 Impact of Electronic Liquidity Providers Within a High-Frequency Agent-Based Modeling Framework
by Alexandru Mandes - 451-471 Forecasting Financial Returns Volatility: A GARCH-SVR Model
by Hao Sun & Bo Yu - 473-498 Wavelet Estimation Performance of Fractional Integrated Processes with Heavy-Tails
by Heni Boubaker - 499-509 Robust Estimation of Finite Horizon Dynamic Economic Models
by Thomas H. Jørgensen & Maxime Tô - 511-528 Measuring CoVaR: An Empirical Comparison
by Michele Leonardo Bianchi & Alberto Maria Sorrentino - 529-549 Are Central Bankers Inflation Nutters? An MCMC Estimator of the Long-Memory Parameter in a State Space Model
by Fredrik N. G. Andersson & Yushu Li - 551-575 Observation Driven Long Run Equilibria
by Katarzyna Łasak & Johannes Lont - 577-596 Approximating Walrasian Equilibria
by Aad Ruiter - 597-628 A Fitted Multi-point Flux Approximation Method for Pricing Two Options
by Rock Stephane Koffi & Antoine Tambue - 629-651 Bayesian Inference of Local Projections with Roughness Penalty Priors
by Masahiro Tanaka - 653-672 Quantifying the Advantages of Forward Orthogonal Deviations for Long Time Series
by Robert F. Phillips - 673-706 Prediction of Unemployment Rates with Time Series and Machine Learning Techniques
by Christos Katris - 707-744 SABCEMM: A Simulator for Agent-Based Computational Economic Market Models
by Torsten Trimborn & Philipp Otte & Simon Cramer & Maximilian Beikirch & Emma Pabich & Martin Frank
January 2020, Volume 55, Issue 1
- 1-35 Increment Variance Reduction Techniques with an Application to Multi-name Credit Derivatives
by Pierre Rostan & Alexandra Rostan & François-Éric Racicot - 37-60 Estimating Non-stationary Common Factors: Implications for Risk Sharing
by Francisco Corona & Pilar Poncela & Esther Ruiz - 61-86 Invertibility and VAR Representations of Time-Varying Dynamic Stochastic General Equilibrium Models
by Maddalena Cavicchioli - 87-117 Estimation of STAR–GARCH Models with Iteratively Weighted Least Squares
by Murat Midiliç - 119-141 A Computational Method Based on the Moving Least-Squares Approach for Pricing Double Barrier Options in a Time-Fractional Black–Scholes Model
by Ahmad Golbabai & Omid Nikan - 143-184 Entropy and Efficiency of the ETF Market
by Lucio Maria Calcagnile & Fulvio Corsi & Stefano Marmi - 185-210 Static Hedges of Barrier Options Under Fast Mean-Reverting Stochastic Volatility
by Jeonggyu Huh & Jaegi Jeon & Yong-Ki Ma - 211-230 Modeling Technique Based on the Ranges of Values: Implementation Using Conventional Regression Method
by Arthur Yosef & Eli Shnaider - 231-251 Boosting Exponential Gradient Strategy for Online Portfolio Selection: An Aggregating Experts’ Advice Method
by Xingyu Yang & Jin’an He & Hong Lin & Yong Zhang - 253-301 Liquidity in Financial Networks
by Hitoshi Hayakawa - 303-326 Comments on “Opinion Dynamics Driven by Various Ways of Averaging”
by Youzong Xu & Yunfei Cao - 327-334 Reply on Comments on “Opinion Dynamics Driven by Various Ways of Averaging” by Youzong Xu and Yunfei Cao
by Ulrich Krause - 335-348 Bankruptcy Prediction Using Logit and Genetic Algorithm Models: A Comparative Analysis
by Leila Bateni & Farshid Asghari - 349-381 A Comparative Study of Technical Trading Strategies Using a Genetic Algorithm
by Luís Lobato Macedo & Pedro Godinho & Maria João Alves
December 2019, Volume 54, Issue 4
- 1263-1285 Analysis of China’s Regional Eco-efficiency: A DEA Two-stage Network Approach with Equitable Efficiency Decomposition
by Junfei Chu & Jie Wu & Qingyuan Zhu & Qingxian An & Beibei Xiong - 1287-1302 Environmental Performance and Benchmarking Information for Coal-Fired Power Plants in China: A DEA Approach
by Xiaohong Liu & Qingyuan Zhu & Junfei Chu & Xiang Ji & Xingchen Li - 1303-1318 The Co-movement Between Chinese Oil Market and Other Main International Oil Markets: A DCC-MGARCH Approach
by Malin Song & Kuangnan Fang & Jing Zhang & Jianbin Wu - 1319-1342 Hidden Carbon Emissions, Industrial Clusters, and Structure Optimization in China
by Shu-Hong Wang & Ma-Lin Song & Tao Yu - 1343-1358 Measuring the Efficiency of Two-Stage Production Process in the Presence of Undesirable Outputs
by Yalei Fei & Gongbing Bi & Wen Song & Yan Luo - 1359-1377 An Outlook on the Biomass Energy Development Out to 2100 in China
by Zhihui Li & Xiangzheng Deng & Xi Chu & Gui Jin & Wei Qi - 1379-1390 The Usage Analysis and Policy Choice of CNG Taxis Based on a Multi-stage Dynamic Game Model
by Xiaoyao Xie & Yuhong Wang & Xiaozhong Li - 1391-1421 Revealing Energy Over-Consumption and Pollutant Over-Emission Behind GDP: A New Multi-criteria Sustainable Measure
by Xiang Ji & Jiasen Sun & Qunwei Wang & Qianqian Yuan - 1423-1441 Fiscal Decentralization, Economic Growth, and Haze Pollution Decoupling Effects: A Simple Model and Evidence from China
by Liangliang Liu & Donghong Ding & Jun He - 1443-1471 Diversification Measures and the Optimal Number of Stocks in a Portfolio: An Information Theoretic Explanation
by Adeola Oyenubi - 1473-1489 Buying on Margin and Short Selling in an Artificial Double Auction Market
by Xuan Zhou & Honggang Li - 1491-1503 Effect of Information Exchange in a Social Network on Investment
by Ho Fai Ma & Ka Wai Cheung & Ga Ching Lui & Degang Wu & Kwok Yip Szeto - 1505-1537 Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective
by Aki-Hiro Sato & Paolo Tasca & Takashi Isogai - 1539-1539 Retraction Note to: Analyses of Economic Development Based on Different Factors
by Goran Maksimović & Srđan Jović & David Jovović & Marina Jovović
October 2019, Volume 54, Issue 3
- 845-875 Introduction to Network Modeling Using Exponential Random Graph Models (ERGM): Theory and an Application Using R-Project
by Johannes Pol - 877-891 A Reformulation-Based Simplicial Homotopy Method for Approximating Perfect Equilibria
by Yin Chen & Chuangyin Dang - 893-903 Individual Satisfaction and Economic Growth in an Agent-Based Economy
by João Silvestre & Tanya Araújo & Miguel St. Aubyn - 905-931 Physician Emigration: Should they Stay or Should they Go? A Policy Analysis
by Mário Amorim-Lopes & Álvaro Almeida & Bernardo Almada-Lobo - 933-955 Computing the Bargaining Approach for Equalizing the Ratios of Maximal Gains in Continuous-Time Markov Chains Games
by Kristal K. Trejo & Julio B. Clempner & Alexander S. Poznyak - 957-1003 Modifying Hybrid Optimisation Algorithms to Construct Spot Term Structure of Interest Rates and Proposing a Standardised Assessment
by Aryo Sasongko & Cynthia Afriani Utama & Buddi Wibowo & Zaäfri Ananto Husodo - 1005-1025 Accounting for Heterogeneity in Environmental Performance Using Data Envelopment Analysis
by George Halkos & Mike G. Tsionas - 1027-1042 An Evolutionary Game Approach in International Environmental Agreements with R&D Investments
by Giovanni Villani & Marta Biancardi - 1043-1063 Machine Learning and Sampling Scheme: An Empirical Study of Money Laundering Detection
by Yan Zhang & Peter Trubey - 1065-1084 On the Convergence of the Generalized Ibn Ezra Value
by Louis Mesnard - 1085-1111 A Spectral Approach to Pricing of Arbitrage-Free SABR Discrete Barrier Options
by Nawdha Thakoor & Désiré Yannick Tangman & Muddun Bhuruth - 1113-1155 Price Convergence under a Probabilistic Double Auction
by Xiaojing Xu & Jinpeng Ma & Xiaoping Xie - 1157-1177 Uniqueness and Multiple Trajectories for the Case of Lucas Model
by C. Chilarescu & I. Viasu - 1179-1211 On the Numerical Solution of Mertonian Control Problems: A Survey of the Markov Chain Approximation Method for the Working Economist
by Simon Ellersgaard - 1213-1229 Modeling Credit Risk with Hidden Markov Default Intensity
by Feng-Hui Yu & Jiejun Lu & Jia-Wen Gu & Wai-Ki Ching - 1231-1261 Financial Market as Driver for Disparity in Wealth Accumulation—A Receding Horizon Approach
by Raphaele Chappe & Willi Semmler
August 2019, Volume 54, Issue 2
- 477-505 Solving Transfer Pricing Involving Collaborative and Non-cooperative Equilibria in Nash and Stackelberg Games: Centralized–Decentralized Decision Making
by Julio B. Clempner & Alexander S. Poznyak - 507-534 Do Energy and Banking CDS Sector Spreads Reflect Financial Risks and Economic Policy Uncertainty? A Time-Scale Decomposition Approach
by Nader Naifar & Shawkat Hammoudeh & Aviral Kumar Tiwari - 535-549 Computational Approach for the Firm’s Cost Minimization Problem Using the Selective Infimal Convolution Operator
by L. Bayón & P. Fortuny Ayuso & R. García-Rubio & J. M. Grau & M. M. Ruiz - 551-573 How Unemployment Affects Bond Prices: A Mixed Frequency Google Nowcasting Approach
by Thomas Dimpfl & Tobias Langen - 575-611 How Many Agents are Rational in China’s Economy? Evidence from a Heterogeneous Agent-Based New Keynesian Model
by Wei Zhao & Yi Lu & Genfu Feng - 613-624 Computing the Substantial-Gain–Loss-Ratio
by Jan Voelzke & Sebastian Mentemeier - 625-645 Bayesian Estimation of Beta-type Distribution Parameters Based on Grouped Data
by Kazuhiko Kakamu & Haruhisa Nishino - 647-667 Customer Satisfaction Prediction in the Shipping Industry with Hybrid Meta-heuristic Approaches
by Stelios Bekiros & Nikolaos Loukeris & Nikolaos Matsatsinis & Frank Bezzina - 669-704 Technical Trading Behaviour: Evidence from Chinese Rebar Futures Market
by Guanqing Liu - 705-728 Option Implied Risk-Neutral Density Estimation: A Robust and Flexible Method
by Arindam Kundu & Sumit Kumar & Nutan Kumar Tomar - 729-761 A Continuous Differentiable Wavelet Shrinkage Function for Economic Data Denoising
by Fan He & Xuansen He - 763-782 Approximating the Solution of Stochastic Optimal Control Problems and the Merton’s Portfolio Selection Model
by Behzad Kafash - 783-807 Exploring House Price Dynamics: An Agent-Based Simulation with Behavioral Heterogeneity
by Tolga A. Ozbakan & Serdar Kale & Irem Dikmen - 809-844 Jump Detection and Noise Separation by a Singular Wavelet Method for Predictive Analytics of High-Frequency Data
by Yi-Ting Chen & Wan-Ni Lai & Edward W. Sun
June 2019, Volume 54, Issue 1
- 1-3 Introduction to Advanced Statistical Analyses for Computational Economics and Finance
by Fredj Jawadi - 5-5 Correction to: Introduction to Advanced Statistical Analyses for Computational Economics and Finance
by Fredj Jawadi - 7-43 Forecasting Corporate Bankruptcy Using Accrual-Based Models
by Philippe Jardin & David Veganzones & Eric Séverin - 45-75 Testing for Periodic Integration with a Changing Mean
by Tomás Barrio & Mariam Camarero & Cecilio Tamarit - 77-98 Performances of Model Selection Criteria When Variables are Ill Conditioned
by Peter S. Karlsson & Lars Behrenz & Ghazi Shukur - 99-112 Fast and Adaptive Cointegration Based Model for Forecasting High Frequency Financial Time Series
by Paola Arce & Jonathan Antognini & Werner Kristjanpoller & Luis Salinas - 113-137 Testing for Constant Parameters in Nonlinear Models: A Quick Procedure with an Empirical Illustration
by J. Hoyo & G. Llorente & C. Rivero - 139-176 Asset Returns Under Model Uncertainty: Evidence from the Euro Area, the US and the UK
by João M. Sousa & Ricardo M. Sousa - 177-198 Nowcasting GDP Growth for Small Open Economies with a Mixed-Frequency Structural Model
by Ruey Yau & C. James Hueng - 199-244 Predicting US Banks Bankruptcy: Logit Versus Canonical Discriminant Analysis
by Zeineb Affes & Rania Hentati-Kaffel - 245-266 Asset Market Volatility and New Keynesian Macroeconomics: A Game-Theoretic Approach
by Namun Cho & Tae-Seok Jang - 267-279 Low Complexity Algorithmic Trading by Feedforward Neural Networks
by J. Levendovszky & I. Reguly & A. Olah & A. Ceffer - 281-303 Applying Independent Component Analysis and Predictive Systems for Algorithmic Trading
by Attila Ceffer & Janos Levendovszky & Norbert Fogarasi - 305-341 Agent-Based Modeling of a Non-tâtonnement Process for the Scarf Economy: The Role of Learning
by Shu-Heng Chen & Bin-Tzong Chie & Ying-Fang Kao & Ragupathy Venkatachalam - 343-366 Enhancing Quasi-Monte Carlo Simulation by Minimizing Effective Dimension for Derivative Pricing
by Ye Xiao & Xiaoqun Wang - 367-417 A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates
by Farid Mkaouar & Jean-Luc Prigent & Ilyes Abid - 419-454 Good Policies or Good Luck? New Insights on Globalization and the International Monetary Policy Transmission Mechanism
by Enrique Martínez-García - 455-476 Forecasting Inflation Uncertainty in the United States and Euro Area
by Zied Ftiti & Fredj Jawadi
April 2019, Volume 53, Issue 4
- 1309-1335 An Integrated Approach to Forecasting Intermittent Demand for Electric Power Materials
by Aiping Jiang & Qiuguo Chi & Junjun Gao & Maoguo Wu - 1337-1351 Risk: An R Package for Financial Risk Measures
by Stephen Chan & Saralees Nadarajah - 1353-1375 An Optimal Mortgage Refinancing Strategy with Stochastic Interest Rate
by Xiaoxia Wu & Dejun Xie & David A. Edwards - 1377-1395 The Likelihood of the Consistency of Collective Rankings Under Preferences Aggregation with Four Alternatives Using Scoring Rules: A General Formula and the Optimal Decision Rule
by Eric Kamwa & Vincent Merlin - 1397-1401 Carl Chiarella, Willi Semmler, Chih-Ying Hsiao and Lebogang Mateane: Sustainable Asset Accumulation and Dynamic Portfolio Decisions, Dynamic Modelling and Econometrics in Economics and Finance 18
by Xue-Zhong He - 1403-1419 Enhanced Predictive Models for Construction Costs: A Case Study of Turkish Mass Housing Sector
by Latif Onur Ugur & Recep Kanit & Hamit Erdal & Ersin Namli & Halil Ibrahim Erdal & Umut Naci Baykan & Mursel Erdal - 1421-1442 Unified Approach for the Affine and Non-affine Models: An Empirical Analysis on the S&P 500 Volatility Dynamics
by Shunwei Zhu & Bo Wang - 1443-1449 Programming Language Choices for Algo Traders: The Case of Pairs Trading
by Pedro Vergel Eleuterio & Lovjit Thukral - 1451-1465 Internal and External Cartel Stability: Numerical Solutions
by Christos Papahristodoulou - 1467-1485 Monitoring the Impact of Economic Crisis on Crime in India Using Machine Learning
by Mamta Mittal & Lalit Mohan Goyal & Jasleen Kaur Sethi & D. Jude Hemanth - 1487-1508 Efficient Semi-Discretization Techniques for Pricing European and American Basket Options
by Fazlollah Soleymani - 1509-1546 Stress-Testing U.S. Macroeconomic Policy: A Computational Approach Using Stochastic and Robust Designs in a Wavelet-Based Optimal Control Framework
by David Hudgins & Patrick M. Crowley - 1547-1563 A Nationwide or Localized Housing Crisis? Evidence from Structural Instability in US Housing Price and Volume Cycles
by MeiChi Huang - 1565-1591 An Efficient Algorithm for Options Under Merton’s Jump-Diffusion Model on Nonuniform Grids
by Yingzi Chen & Wansheng Wang & Aiguo Xiao