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Content
March 2019, Volume 53, Issue 3
- 1183-1217 Systematic Sensitivity Analysis of the Full Economic Impacts of Sea Level Rise
by T. Chatzivasileiadis & F. Estrada & M. W. Hofkes & R. S. J. Tol - 1219-1243 A New Prediction Model Based on Cascade NN for Wind Power Prediction
by Amirhosein Torabi & Sayyed Ali Kiaian Mousavy & Vahideh Dashti & Mohammadhossein Saeedi & Nasser Yousefi - 1245-1263 Surrogate Modelling in (and of) Agent-Based Models: A Prospectus
by Sander Hoog - 1265-1277 Pricing Perpetual American Lookback Options Under Stochastic Volatility
by Min-Ku Lee - 1279-1308 Quanto Option Pricing with Lévy Models
by Hasan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi & Jiho Park
February 2019, Volume 53, Issue 2
- 479-505 Opinion Formation with Imperfect Agents as an Evolutionary Process
by Matjaž Steinbacher & Mitja Steinbacher - 507-532 Pricing Swaps on Discrete Realized Higher Moments Under the Lévy Process
by Wenli Zhu & Xinfeng Ruan - 533-554 What Types are There?
by Sam Cosaert - 555-586 Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching
by Dong-Mei Zhu & Jiejun Lu & Wai-Ki Ching & Tak-Kuen Siu - 587-616 Multi-scale Economic Dynamics: The Micro–Macro Wealth Dynamics and the Two-Level Imbalances of the Euro Crisis
by Hanchao Yang & Chenjie Shao & Khaldoun Khashanah - 617-632 Groupon and Groupon Now: Participating Firm’s Profitability Analysis
by Jenn-Bing Ong & Wee-Keong Ng & Artem Vorobev & Thanh-Nghia Ho - 633-655 Estimation of Overall Returns to Scale (RTS) of a Frontier Unit Using the Left and Right RTS
by Mostafa Omidi & Mohsen Rostamy-Malkhalifeh & Ali Payan & Farhad Hosseinzadeh Lotfi - 657-696 Identification in Models with Discrete Variables
by Lukáš Lafférs - 697-707 A Numerical Algorithm for the Coupled PDEs Control Problem
by Gonglin Yuan & Xiangrong Li - 709-742 Trade Costs and Endogenous Nontradability in a Model with Sectoral and Firm-Level Heterogeneity
by Manoj Atolia - 743-761 Forecasting Crude Oil Prices: A Comparison Between Artificial Neural Networks and Vector Autoregressive Models
by Sepehr Ramyar & Farhad Kianfar - 763-782 Getting the Best of Both Worlds? Developing Complementary Equation-Based and Agent-Based Models
by Claudius Gräbner & Catherine S. E. Bale & Bernardo Alves Furtado & Brais Alvarez-Pereira & James E. Gentile & Heath Henderson & Francesca Lipari - 783-816 Tail-Related Risk Measurement and Forecasting in Equity Markets
by Stelios Bekiros & Nikolaos Loukeris & Iordanis Eleftheriadis & Christos Avdoulas - 817-831 An Artificial Neural Network-Based Approach to the Monetary Model of Exchange Rate
by Huseyin Ince & Ali Fehim Cebeci & Salih Zeki Imamoglu - 833-849 Evolutionary Computation for Macroeconomic Forecasting
by Oscar Claveria & Enric Monte & Salvador Torra - 851-872 Improving Financial Distress Prediction Using Financial Network-Based Information and GA-Based Gradient Boosting Method
by Jiaming Liu & Chong Wu & Yongli Li - 873-900 Experimental Analysis of Corporate Wage Negotiations Based on the Ultimatum Game: A New Approach Using a Combination of Laboratory and fMRI Experiments
by Hidetoshi Yamaji & Masatoshi Gotoh & Yoshinori Yamakawa
January 2019, Volume 53, Issue 1
- 1-26 Extracting Appropriate Nodal Marginal Prices for All Types of Committed Reserve
by Paria Akbary & Mohammad Ghiasi & Mohammad Reza Rezaie Pourkheranjani & Hamidreza Alipour & Noradin Ghadimi - 27-50 Monetary Transmission Channels in DSGE Models: Decomposition of Impulse Response Functions Approach
by Miroljub Labus & Milica Labus - 51-83 Quantile-Based Inference for Tempered Stable Distributions
by Hasan A. Fallahgoul & David Veredas & Frank J. Fabozzi - 85-110 Wavelet Multiresolution Analysis of the Liquidity Effect and Monetary Neutrality
by Olivier Habimana - 111-124 A Hybrid Monte Carlo and Finite Difference Method for Option Pricing
by Darae Jeong & Minhyun Yoo & Changwoo Yoo & Junseok Kim - 125-140 A Stochastic Model with Inflation, Growth and Technology for the Political Business Cycle
by Gopal K. Basak & Mrinal K. Ghosh & Diganta Mukherjee - 141-168 Hodges–Lehmann Estimation of Static Panel Models with Spatially Correlated Disturbances
by Christoph Strumann - 169-189 The Limit of Global Carbon Tax and its Climatic and Economic Effects
by Gaoxiang Gu & Zheng Wang - 191-205 A Stable and Convergent Finite Difference Method for Fractional Black–Scholes Model of American Put Option Pricing
by R. Kalantari & S. Shahmorad - 207-225 Observing Cascade Behavior Depending on the Network Topology and Transaction Costs
by Joohyun Kim & Ohsung Kwon & Duk Hee Lee - 227-257 Predicting Corporate Financial Failure Using Macroeconomic Variables and Accounting Data
by Eduardo Acosta-González & Fernando Fernández-Rodríguez & Hicham Ganga - 259-287 Radial Basis Functions with Partition of Unity Method for American Options with Stochastic Volatility
by Reza Mollapourasl & Ali Fereshtian & Michèle Vanmaele - 289-313 Interactional Effects Between Individual Heterogeneity and Collective Behavior in Complex Organizational Systems
by Xingguang Chen & Zhentao Zhu - 315-342 Solving Deterministic and Stochastic Equilibrium Problems via Augmented Walrasian
by Julio Deride & Alejandro Jofré & Roger J-B Wets - 343-366 How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models
by Manh Cuong Dong & Cathy W. S. Chen & Sangyoel Lee & Songsak Sriboonchitta - 367-396 A New Characterization of Equilibrium in a Multi-period Finance Economy: A Computational Viewpoint
by Dong Chul Won - 397-431 On Optimal Pricing Model for Multiple Dealers in a Competitive Market
by Qing-Qing Yang & Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu - 433-455 Stress Testing for Retail Mortgages Based on Probability Analysis
by Chang Liu & Raja Nassar - 457-478 The Complexion of Multi-period Stackelberg Triopoly Game with Bounded Rationality
by Yu Yu & Weisheng Yu
December 2018, Volume 52, Issue 4
- 1045-1052 How to Apply Advanced Statistical Analysis to Computational Economics: Methods and Insights
by Malin Song & Ron Fisher - 1053-1068 Canonical Correlation Analysis Between Residents’ Living Standards and Community Management Service Levels in Rural Areas: An Empirical Analysis Based on Municipal Data in Anhui Province
by Deyou Chen & Lei Wang & Tao Su & Youtao Zhang - 1069-1087 Environmental Protection in Scenic Areas: Traffic Scheme for Clean Energy Vehicles Based on Multi-agent
by Lei Li & Wenting Liu & Lindi Xiao & Hui Sun & Shi Wang - 1089-1112 How Should the Chinese Government Invest R&D Funds: Enterprises or Institutions?
by Yuhan Zhao & Xuguang Song - 1113-1138 Coordinated Development of Metropolitan Logistics and Economy Toward Sustainability
by Shulin Lan & Ming-Lang Tseng - 1139-1151 Exploring Dynamic Impact of Foreign Direct Investment on China’s CO $$_{2}$$ 2 Emissions Using Markov-Switching Vector Error Correction Model
by Xiongfeng Pan & Jing Zhang & Changyu Li & Rong Quan & Bin Li - 1153-1174 The Income Gap Between Urban and Rural Residents in China: Since 1978
by Xiao Ma & Feiran Wang & Jiandong Chen & Yang Zhang - 1175-1194 The Potential Gains from Carbon Emissions Trading in China’s Industrial Sectors
by Yanni Yu & Weijie Zhang & Ning Zhang - 1195-1211 The Electricity Consumption and Economic Growth Nexus in China: A Bootstrap Seemingly Unrelated Regression Estimator Approach
by Jianlin Wang & Jiajia Zhao & Hongzhou Li - 1213-1232 Insights into the Effects of Cognitive Factors and Risk Attitudes on Fire Risk Mitigation Behavior
by Tianzhuo Liu & Huifang Jiao - 1233-1256 Credit Rationing and the Simulation of Multi-bank Credit Market Model: A Computational Economics Approach
by Yu Zhang & Xiong Xiong & Wei Zhang & Xuefeng Liu - 1257-1275 Explaining Environmental Sustainability in Supply Chains Using Graph Theory
by Zongwei Luo & Rameshwar Dubey & Thanos Papadopoulos & Benjamin Hazen & David Roubaud - 1277-1291 Spatial Pattern of Regional Urbanization Efficiency: An Empirical Study of Shanghai
by Jinyan Zhan & Fan Zhang & Siqi Jia & Xi Chu & Yifan Li - 1293-1316 Does Expressway Consume More Land of the Agricultural Production Base of Shandong Province?
by Xiangzheng Deng & John Gibson & Siqi Jia - 1317-1334 Nonparametric Regression Using Clusters
by Hrishikesh D. Vinod & Fred Viole - 1335-1351 Evaluating Design of Increasing Block Tariffs for Residential Natural Gas in China: A Case Study of Henan Province
by Chang Liu & Boqiang Lin - 1353-1374 Design and Analysis of Supply Chain Networks with Low Carbon Emissions
by Tsai-Chi Kuo & Ming-Lang Tseng & Hsiao-Min Chen & Ping-Shun Chen & Po-Chen Chang
October 2018, Volume 52, Issue 3
- 707-710 Introduction: Special Issue on Evolutionary Dynamics and Agent-Based Modeling in Economics
by Herbert Dawid & Andreas Pyka - 711-744 Estimation of Sentiment Effects in Financial Markets: A Simulated Method of Moments Approach
by Zhenxi Chen & Thomas Lux - 745-772 Modeling Firm and Market Dynamics: A Flexible Model Reproducing Existing Stylized Facts on Firm Growth
by Thomas Brenner & Matthias Duschl - 773-808 The Role of Network Topology and the Spatial Distribution and Structure of Knowledge in Regional Innovation Policy: A Calibrated Agent-Based Model Study
by Ben Vermeulen & Andreas Pyka - 809-837 Network Externalities and Compatibility Among Standards: A Replicator Dynamics and Simulation Analysis
by Torsten Heinrich - 839-872 The Impact of Credit Rating on Innovation in a Two-Sector Evolutionary Model
by Pascal Aßmuth - 873-920 The Limits to Credit Growth: Mitigation Policies and Macroprudential Regulations to Foster Macrofinancial Stability and Sustainable Debt
by Sander Hoog - 921-951 Evolutionary Climate-Change Modelling: A Multi-Agent Climate-Economic Model
by Sylvie Geisendorf - 953-994 Agent-Based Analysis of Industrial Dynamics and Paths of Environmental Policy: The Case of Non-renewable Energy Production in Germany
by Frank Beckenbach & Maria Daskalakis & David Hofmann - 995-1028 Endogenous Economic Growth, Climate Change and Societal Values: A Conceptual Model
by Michael W. M. Roos - 1029-1043 Assortative Matching with Inequality in Voluntary Contribution Games
by Stefano Duca & Dirk Helbing & Heinrich H. Nax
August 2018, Volume 52, Issue 2
- 313-340 Robust Monetary Policy in a Model of the Polish Economy: Is the Uncertainty Responsible for the Interest Rate Smoothing Effect?
by Mariusz Górajski - 341-385 Making Decisions in a Sustainable Development Context: A State-of-the-Art Survey and Proposal of a Multi-period Single Synthesizing Criterion Approach
by Anissa Frini & Sarah Benamor - 387-404 Brownian Signals: Information Quality, Quantity and Timing in Repeated Games
by António Osório - 405-420 New Splitting Scheme for Pricing American Options Under the Heston Model
by Maryam Safaei & Abodolsadeh Neisy & Nader Nematollahi - 421-442 Debt Persistence in a Deflationary Environment: A Regime-Switching Model
by Piero Ferri & Fabio Tramontana - 443-457 Multi Criteria Decision Making in Financial Risk Management with a Multi-objective Genetic Algorithm
by Sujatha Srinivasan & T. Kamalakannan - 459-477 Bayesian Variance Changepoint Detection in Linear Models with Symmetric Heavy-Tailed Errors
by Shuaimin Kang & Guangying Liu & Howard Qi & Min Wang - 479-492 Simulation Solution to a Two-Dimensional Mortgage Refinancing Problem
by Dejun Xie & Nan Zhang & David A. Edwards - 493-519 A Spatial Game Theoretic Analysis of Conflict and Identity
by Anirban Ghatak & Diganta Mukherjee & K. S. Mallikarjuna Rao - 521-530 Nonlinear Forecasting of Euro Area Industrial Production Using Evolutionary Approaches
by Christos Avdoulas & Stelios Bekiros - 531-553 Measurement Error Models for Replicated Data Under Asymmetric Heavy-Tailed Distributions
by Chunzheng Cao & Yahui Wang & Jian Qing Shi & Jinguan Lin - 555-582 A Stochastic EM Algorithm for Quantile and Censored Quantile Regression Models
by Fengkai Yang - 583-602 Labor Market Volatility in the RBC Search Model: A Look at Hagedorn and Manovskii’s Calibration
by Manoj Atolia & John Gibson & Milton Marquis - 603-626 Multivariate Co-movement Between Islamic Stock and Bond Markets Among the GCC: A Wavelet-Based View
by Chaker Aloui & Rania Jammazi & Hela Ben Hamida - 627-652 Integrated Portfolio Risk Measure: Estimation and Asymptotics of Multivariate Geometric Quantiles
by Edward W. Sun & Yu-Jen Wang & Min-Teh Yu - 653-684 Risk Assessment with Wavelet Feature Engineering for High-Frequency Portfolio Trading
by Yi-Ting Chen & Edward W. Sun & Min-Teh Yu - 685-706 Pricing European Options under Fractional Black–Scholes Model with a Weak Payoff Function
by Farshid Mehrdoust & Ali Reza Najafi
June 2018, Volume 52, Issue 1
- 1-23 A Unique and Stable $$\hbox {Se}{\mathcal {C}}\hbox {ure}$$ Se C ure Reversion Protocol Improving Efficiency: A Computational Bayesian Approach for Empirical Analysis
by Cédric Wanko - 25-54 Can Efficiency of Returns Be Considered as a Pricing Factor?
by J. Francisco Rubio & Neal Maroney & M. Kabir Hassan - 55-77 Time Series Simulation with Randomized Quasi-Monte Carlo Methods: An Application to Value at Risk and Expected Shortfall
by Yu-Ying Tzeng & Paul M. Beaumont & Giray Ökten - 79-104 Evolutionary Frequency and Forecasting Accuracy: Simulations Based on an Agent-Based Artificial Stock Market
by Ya-Chi Huang & Chueh-Yung Tsao - 105-121 Hilbert Spectra and Empirical Mode Decomposition: A Multiscale Event Analysis Method to Detect the Impact of Economic Crises on the European Carbon Market
by Bangzhu Zhu & Shujiao Ma & Rui Xie & Julien Chevallier & Yi-Ming Wei - 123-123 Erratum to: Hilbert Spectra and Empirical Mode Decomposition: A Multiscale Event Analysis Method to Detect the Impact of Economic Crises on the European Carbon Market
by Bangzhu Zhu & Shujiao Ma & Rui Xie & Julien Chevallier & Yi-Ming Wei - 125-144 An Automated Investing Method for Stock Market Based on Multiobjective Genetic Programming
by Alexandre Pimenta & Ciniro A. L. Nametala & Frederico G. Guimarães & Eduardo G. Carrano - 145-166 A Hybrid Metaheuristic for the Efficient Solution of GARCH with Trend Models
by Lourdes Uribe & Benjamin Perea & Gerardo Hernández-del-Valle & Oliver Schütze - 167-193 Testing for Unit Roots in Dynamic Panels with Smooth Breaks and Cross-Sectionally Dependent Errors
by Tolga Omay & Mübariz Hasanov & Yongcheol Shin - 195-226 Decision Theory Matters for Financial Advice
by Thorsten Hens & János Mayer - 227-252 An Efficient Adaptive Real Coded Genetic Algorithm to Solve the Portfolio Choice Problem Under Cumulative Prospect Theory
by Chao Gong & Chunhui Xu & Ji Wang - 253-274 On the Allocation of Multiple Divisible Assets to Players with Different Utilities
by Ephraim Zehavi & Amir Leshem - 275-297 Financial Soundness Prediction Using a Multi-classification Model: Evidence from Current Financial Crisis in OECD Banks
by D. Fernández-Arias & M. López-Martín & T. Montero-Romero & F. Martínez-Estudillo & F. Fernández-Navarro - 299-311 Programming Correlation Criteria with free CAS Software
by George E. Halkos & Kyriaki D. Tsilika
April 2018, Volume 51, Issue 4
- 743-760 Dynamics Evolution of Trading Strategies of Investors in Financial Market
by Binghui Wu & Tingting Duan & Jianmin He - 761-807 Profitability Edge by Dynamic Back Testing Optimal Period Selection for Technical Parameters Optimization, in Trading Systems with Forecasting
by D. Th. Vezeris & C. J. Schinas & G. Papaschinopoulos - 809-820 DEA-Based Piecewise Linear Discriminant Analysis
by Ai-bing Ji & Ye Ji & Yanhua Qiao - 821-846 Discovering Traders’ Heterogeneous Behavior in High-Frequency Financial Data
by Ya-Chi Huang & Chueh-Yung Tsao - 847-864 Network Topology and Systemically Important Firms in the Interfirm Credit Network
by Ohsung Kwon & Sung-guan Yun & Seung Hun Han & Yang Hon Chung & Duk Hee Lee - 865-892 The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market
by Filip Stanek & Jiri Kukacka - 893-911 Fiscal Policy Design in Greece in the Aftermath of the Crisis: An Algorithmic Approach
by Ilias Kostarakos & Stelios Kotsios - 913-940 Short-Term Price Overreactions: Identification, Testing, Exploitation
by Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun - 941-959 A New Predictive Measure Using Agent-Based Behavioral Finance
by Todd Feldman & Shuming Liu - 961-972 Finite Difference Method for the Black–Scholes Equation Without Boundary Conditions
by Darae Jeong & Minhyun Yoo & Junseok Kim - 973-990 Efficient Simulation of Value-at-Risk Under a Jump Diffusion Model: A New Method for Moderate Deviation Events
by Cheng-Der Fuh & Huei-Wen Teng & Ren-Her Wang - 991-1020 Trading Volume and Price Distortion: An Agent-Based Model with Heterogenous Knowledge of Fundamentals
by Vivien Lespagnol & Juliette Rouchier - 1021-1032 A Linear Stochastic Programming Model for Optimal Leveraged Portfolio Selection
by Davi Michel Valladão & Álvaro Veiga & Alexandre Street - 1033-1068 Evaluation of a DSGE Model of Energy in the United Kingdom Using Stationary Data
by Nasir Aminu - 1069-1095 Information and Efficiency in Thin Buyer–Seller Markets over Random Networks
by Michiel Leur - 1097-1121 Visual Economic Modelling System (VEMS) for Computable General Equilibrium Models
by Nico Vellinga - 1123-1138 Sparse Bayesian Variable Selection in Probit Model for Forecasting U.S. Recessions Using a Large Set of Predictors
by Yang Aijun & Xiang Ju & Yang Hongqiang & Lin Jinguan
March 2018, Volume 51, Issue 3
- 339-378 Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models
by Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi - 379-406 Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach
by Alessandro Andreoli & Luca Vincenzo Ballestra & Graziella Pacelli - 407-425 A Discontinuity Model of Technological Change: Catastrophe Theory and Network Structure
by Torsten Heinrich - 427-462 A Dynamic Model of Unemployment with Migration and Delayed Policy Intervention
by Liliana Harding & Mihaela Neamţu - 463-492 Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods
by Alexander Ludwig & Matthias Schön - 493-511 Agent-Based Simulation and Microstructure Modeling of Immature Stock Markets
by Hazem Krichene & Mhamed-Ali El-Aroui - 513-533 Advantages of an Ellipse when Modeling Leisure Utility
by Richard W. Evans & Kerk L. Phillips - 535-539 Estimating Dynamic Binary Panel Data Model with Random Effects: A Computational Note
by Gang Yu & Wei Gao & Weiguo Wang & Shaoping Wang - 541-569 Pollution Control with Time-Varying Model Mistrust of the Stock Dynamics
by Fidel Gonzalez - 571-594 A New Vision of Classical Multi-regional Input–Output Models
by George E. Halkos & Kyriaki D. Tsilika - 595-605 An Integrated Matching-Immunization Model for Bond Portfolio Optimization
by P. Xidonas & C. Hassapis & G. Bouzianis & C. Staikouras - 607-635 Correlation Structure and Evolution of World Stock Markets: Evidence from Pearson and Partial Correlation-Based Networks
by Gang-Jin Wang & Chi Xie & H. Eugene Stanley - 637-675 A Semi-Parametric Non-linear Neural Network Filter: Theory and Empirical Evidence
by Panayotis G. Michaelides & Efthymios G. Tsionas & Angelos T. Vouldis & Konstantinos N. Konstantakis & Panagiotis Patrinos - 677-696 Computing Transitional Cycles for a Deterministic Time-to-Build Growth Model
by Hwan C. Lin - 697-697 Erratum to: Computing Transitional Cycles for a Deterministic Time-to-Build Growth Model
by Hwan C. Lin - 699-718 On the Stochastic Sensitivity and Noise-Induced Transitions of a Kaldor-Type Business Cycle Model
by Irina Bashkirtseva & Davide Radi & Lev Ryashko & Tatyana Ryazanova - 719-730 Conditional Versus Unconditional Utility as Welfare Criterion: Two Examples
by Jinill Kim & Sunghyun Kim - 731-740 Mean-Extended Gini Portfolios: A 3D Efficient Frontier
by Frank Hespeler & Haim Shalit - 741-741 Erratum to: ABATE: A New Tool to Produce Marginal Abatement Cost Curves
by Oswald Marinoni & Martijn Grieken
February 2018, Volume 51, Issue 2
- 173-193 A Network Analysis of the United Kingdom’s Consumer Price Index
by Georgios Antonios Sarantitis & Theophilos Papadimitriou & Periklis Gogas - 195-210 State and Network Structures of Stock Markets Around the Global Financial Crisis
by Jae Woo Lee & Ashadun Nobi - 211-226 Systemic Risk on Trade Credit Systems: with the Tangible Interconnectedness
by Jisang Lee & Duk Hee Lee & Sung-Guan Yun - 227-262 Another Look at Large-Cap Stock Return Comovement: A Semi-Markov-Switching Approach
by Kaihua Deng - 263-294 Artificial Momentum, Native Contrarian, and Transparency in China
by Hung-Wen Lin & Mao-Wei Hung & Jing-Bo Huang - 295-321 Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments
by Yogo Purwono & Irwan Adi Ekaputra & Zaäfri Ananto Husodo - 323-338 Sparse Bayesian Variable Selection with Correlation Prior for Forecasting Macroeconomic Variable using Highly Correlated Predictors
by Aijun Yang & Ju Xiang & Lianjie Shu & Hongqiang Yang
January 2018, Volume 51, Issue 1
- 1-34 Comparing Solution Methods for DSGE Models with Labor Market Search
by Hong Lan - 35-74 Where has All the Education Gone? Everywhere But into Growth
by Hongchun Zhao & Yanjie Liu - 75-121 Terms of Trade Shocks and Monetary Policy in India
by Chetan Ghate & Sargam Gupta & Debdulal Mallick - 123-158 R&D-based Calibrated Growth Models with Finite-Length Patents: A Novel Relaxation Algorithm for Solving an Autonomous FDE System of Mixed Type
by Hwan C. Lin & L. F. Shampine - 159-172 Investment Index Construction from Information Propagation Based on Transfer Entropy
by Fujio Toriumi & Kazuki Komura
December 2017, Volume 50, Issue 4
- 533-547 An Agent-Based Simulation of the Stolper–Samuelson Effect
by Luzius Meisser & C. Friedrich Kreuser - 549-577 Influence of Inefficiency in Government Expenditure on the Multiplier of Public Investment
by Shigeaki Ogibayashi & Kosei Takashima - 579-594 Computational Experiments Successfully Predict the Emergence of Autocorrelations in Ultra-High-Frequency Stock Returns
by Jian Zhou & Gao-Feng Gu & Zhi-Qiang Jiang & Xiong Xiong & Wei Chen & Wei Zhang & Wei-Xing Zhou - 595-627 Is the Extension of Trading Hours Always Beneficial? An Artificial Agent-Based Analysis
by Kotaro Miwa & Kazuhiro Ueda - 629-653 Endogenous Fundamental and Stock Cycles
by Weihong Huang & Yu Zhang - 655-667 The Psychological Force Model for Lowest Unique Bid Auction
by Rui Hu & Jinzhong Guo & Qinghua Chen & Tao Zheng - 669-685 Can Sentiment Analysis and Options Volume Anticipate Future Returns?
by Patrick Houlihan & Germán G. Creamer - 687-710 Emergent Heterogeneity in Keyword Valuation in Sponsored Search Markets: A Closer-to-Practice Perspective
by Agam Gupta & Biswatosh Saha & Uttam K. Sarkar
October 2017, Volume 50, Issue 3
- 353-372 Bayesian Analysis of Power-Transformed and Threshold GARCH Models: A Griddy-Gibbs Sampler Approach
by Qiang Xia & Heung Wong & Jinshan Liu & Rubing Liang - 373-392 A New Method For Dynamic Stock Clustering Based On Spectral Analysis
by Zhaoyuan Li & Maozai Tian - 393-423 Cowboying Stock Market Herds with Robot Traders
by Jaqueson K. Galimberti & Nicolas Suhadolnik & Sergio Silva - 425-445 Can Minorities Escape Wage Discrimination by Forming Firms?
by James Fain - 447-471 Performance of Tail Hedged Portfolio with Third Moment Variation Swap
by Kyungsub Lee & Byoung Ki Seo - 473-502 An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems
by Shinya Sugawara & Yasuhiro Omori - 503-515 A Generalized Singular Value Decomposition Strategy for Estimating the Block Recursive Simultaneous Equations Model
by Mircea I. Cosbuc & Cristian Gatu & Ana Colubi & Erricos John Kontoghiorghes - 517-531 Uncertain Potential Output and Simple Rules in Small Open Economy
by Guido Traficante
August 2017, Volume 50, Issue 2
- 173-187 LSM Algorithm for Pricing American Option Under Heston–Hull–White’s Stochastic Volatility Model
by O. Samimi & Z. Mardani & S. Sharafpour & F. Mehrdoust - 189-205 A Numerical Method to Approximate Multi-Asset Option Pricing Under Exponential Lévy Model
by Leila Khodayari & Mojtaba Ranjbar - 207-230 Dynamic and Asymmetric Contagion Reactions of Financial Markets During the Last Subprime Crisis
by Wei Zhou - 231-279 Contrarian Behavior, Information Networks and Heterogeneous Expectations in an Asset Pricing Model
by Tomasz Makarewicz - 281-324 A Practical, Accurate, Information Criterion for Nth Order Markov Processes
by Sylvain Barde - 325-351 Measuring and Testing Tail Dependence and Contagion Risk Between Major Stock Markets
by EnDer Su
June 2017, Volume 50, Issue 1
- 1-20 Detection of Mispricing in the Black–Scholes PDE Using the Derivative-Free Nonlinear Kalman Filter
by G. Rigatos & N. Zervos - 21-68 WorkSim: A Calibrated Agent-Based Model of the Labor Market Accounting for Workers’ Stocks and Gross Flows
by Olivier Goudet & Jean-Daniel Kant & Gérard Ballot - 69-94 AdaBoost Models for Corporate Bankruptcy Prediction with Missing Data
by Ligang Zhou & Kin Keung Lai - 95-110 A Recursive Method for Solving a Climate–Economy Model: Value Function Iterations with Logarithmic Approximations
by In Chang Hwang - 111-140 Wavelets Analysis on Structural Model for Default Prediction
by Lu Han & Ruihuan Ge - 141-159 Online Portfolio Selection Strategy Based on Combining Experts’ Advice
by Yong Zhang & Xingyu Yang - 161-172 Finite Sample Critical Values of the Generalized KPSS Stationarity Test
by Peter Sephton
April 2017, Volume 49, Issue 4
- 563-578 Parallel Optimization of Sparse Portfolios with AR-HMMs
by I. Róbert Sipos & Attila Ceffer & János Levendovszky - 579-597 A Non-iterative Bayesian Sampling Algorithm for Linear Regression Models with Scale Mixtures of Normal Distributions
by Fengkai Yang & Haijing Yuan - 599-622 Adaptive Quadrature for Maximum Likelihood Estimation of a Class of Dynamic Latent Variable Models
by Silvia Cagnone & Francesco Bartolucci - 623-651 The Comparison of Power and Optimization Algorithms on Unit Root Testing with Smooth Transition
by Tolga Omay & Furkan Emirmahmutoğlu - 653-675 Simple Agents, Intelligent Markets
by Karim Jamal & Michael Maier & Shyam Sunder - 677-686 Forecasting Bank Failure: Base Learners, Ensembles and Hybrid Ensembles
by Aykut Ekinci & Halil İbrahim Erdal
March 2017, Volume 49, Issue 3
- 343-361 Algorithmic Representations of Managerial Search Behavior
by William M. Tracy & Dmitri G. Markovitch & Lois S. Peters & B. V. Phani & Deepu Philip - 363-385 A note on the Estimation of a Gamma-Variance Process: Learning from a Failure
by Gian P. Cervellera & Marco P. Tucci - 387-404 Extremal Pure Strategies and Monotonicity in Repeated Games
by Kimmo Berg - 405-432 Searching for Inefficiencies in Exchange Rate Dynamics
by Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun - 433-458 Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem
by Fei Cong & Cornelis W. Oosterlee - 459-479 How Would Bilateral Trade Retaliation Affect China?
by Chunding Li - 481-498 Robust Monte Carlo Method for R&D Real Options Valuation
by Marta Biancardi & Giovanni Villani - 499-516 Numerical Modeling of Dependent Credit Rating Transitions with Asynchronously Moving Industries
by D. V. Boreiko & Y. M. Kaniovski & G. Ch. Pflug
February 2017, Volume 49, Issue 2
- 177-226 Game Theoretic Modeling of Economic Systems and the European Debt Crisis
by Jonathan William Welburn & Kjell Hausken - 227-253 Global Banking on the Financial Network Modelling: Sectorial Analysis
by Fathin Faizah Said - 255-270 Permanent Breaks and Temporary Shocks in a Time Series
by Yoonsuk Lee & B. Wade Brorsen - 271-288 A New Stable Local Radial Basis Function Approach for Option Pricing
by A. Golbabai & E. Mohebianfar - 289-306 Debt Portfolio Management for an Oil Company Under Oil Price Uncertainty
by Vladimir Korotin & Arseniy Ulchenkov & Rustam Islamov - 307-323 Endogenous Demand and Demanding Consumers: A Computational Approach
by Carlos M. Fernández-Márquez & Francisco Fatás-Villafranca & Francisco J. Vázquez - 325-341 An Effective Computational Model for Bankruptcy Prediction Using Kernel Extreme Learning Machine Approach
by Dong Zhao & Chunyu Huang & Yan Wei & Fanhua Yu & Mingjing Wang & Huiling Chen