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Editor: Christopher F. Baum
Description: Papers presented at Seventh International Conference on Computing in Economics and Finance, Yale University, June 2001
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Christopher F Baum .
Series handle: RePEc:sce:scecf1
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Content
2001
- 279 Unemployment Insurance and the Evolution of Worker-Employer\n Cooperation: Experiments with Real and Artificial Agents
by Mark Pingle and Leigh Tesfatsion
- 277 IntertemporalSubstitution, Risk Aversion, and Economic Performance in a StocashticallyGrowing Open Economy
by Stephen Turnovsky, University of Washington and Paola Giuliano, University of California-Berkeley
- 276 The Coming Generational Storm
by Laurence J. Kotlikoff, Kent Smetters, and Jan Walliser
- 275 Fiscal Policy and Aggregate Uncertainty
by Jagadeesh Gokhale and Laurence J. Kotlikoff
- 274 Econometric Methods for Endogenously Sampled Time Series: The Case of Commodity Price Speculation in the Steel Market
by George Hall and John Rust, Yale University
- 273 Finding a maximum skewness portfolio
by Gustavo Athayde and Renato Flores
- 272 Land Rents and Competitive Equilibrium
by Martin E. Diedrich
- 271 Normal versus Student in Measuring Value at Risk. An Empirical Bayesian Overview
by Gonzalo GarcÃa-Donato, Pedro Gento and Juan Ortega, University of Castilla-La Mancha
- 269 Technology Diffusion, Intertemporal Substitution, and Business Cycles
by Toshiya Ishikawa
- 268 Agent-Based Simulation of C2C Internet Auctions with Online Escrow
by Zhangxi Lin, S. Ramanathan, and Balakrishna Kandula
- 267 Measuring the Value of Children by Birth Order and Infant Health
by Frank Heiland
- 265 The Diversity of Neighborhood Transitions
by Sharon I. O'Donnell
- 264 A Stochastic Lake Game
by W. Davis Dechert
- 263 Evolution of Harvesting Strategies: Replicator and Resource Dynamics
by Joelle Noailly, Jeroen van den Bergh, Cees Withagen
- 262 Bootstrap LR Tests for Sign and Amplitude Asymmetries
by Jerry Coakley; Ana-Maria Fuertes
- 261 Measuring Emergent Properties of Agent-Based Landcover/Landuse Models using Spatial Metrics
by Dawn C. Parker, Tom Evans, Vicky Meretsky
- 259 Chaotic Interest Rate Rules
by Benhabib, Jess & Schmitt-Grohe, Stephanie & Uribe, Martin
- 258 Forecasting with a Real-Time Data Set for Macroeconomists
by Tom Stark and Dean Croushore
- 257 History Dependence and Global Dynamics in Models with Multiple Equilibria
by Christophe Deissenberg, Gustav Feichtinger, Willi Semmler and Franz Wirl
- 256 Solving for Market Equilibrium using Random Coefficient Random Utility Models
by V. Brian Viard, Nicholas Polson, Anne Gron
- 255 Estimation of Diffusions using Wavelet scaling methods
by Esben Hoeg
- 254 Monetary Policy with Imperfect Knowledge
by Athanasios Orphanides amd John Williams
- 253 Evolution of Risk Aversion in Adaptive Learning Agents
by J. Neil Bearden
- 252 Patterns of Trade between Countries with Differing Age Compositions of Populations: An Overlapping Generations General Equilibrium Analysis
by Serdar Sayan
- 251 Regulating Global Climate Change with Bayesian Learning about Damages
by Larry Karp, Jiangfeng Zhang
- 248 Public Investment in Human Capital: Insurance Benefit versus Tax Distortions
by Ayla Yilmaz
- 247 The Reliability of Inflation Forecasts Based on Output Gaps in Real Time
by Athanasios Orphanides and Simon van Norden
- 246 Diagnosing Failure: When is an Estimation Problem Too Large for a PC?
by B. D. McCullough and H. D. Vinod
- 245 Pricing Barrier Bond Options with One-factor Interest Rate Models
by Grace C.H. Kuan and Nick Webber
- 244 Stable Risk Sharing
by Jayasri Dutta, Kislaya Prasad
- 242 Estimating the Effect of Smoking on Birth Weight in a Dynamic Model when Fertility is a Choice
by Reuven Shnaps
- 241 Refining Influence Diagram For Stock Portfolio Selection
by Chiu-Che Tseng, Piotr J. Gmytrasiewicz, Chris Ching
- 240 Portfolio Selection Models Driven by Non Gaussian Price Dynamics
by Marina Resta
- 239 Portfolio Selection Models Driven by Non Gaussian Price Dynamics
by Marina Resta
- 238 Managing Information Complexity in a Supply Chain Model by Agent-Based Genetic Programming
by Ken Taniguchi, Setsuya Kurahashi, Takao Terano
- 237 Imitation and the diffusion of innovation in e-commerce
by Mario Eboli
- 234 The Economics of Free and Open Source Software
by Richard E. Hawkins
- 233 Inference on the Cointegration Rank in Fractionally Integrated Processes
by Joerg Breitung and Uwe Hassler
- 232 Semi Endogenous Growth in a Computable General Equilibrium Approach
by Arnaud Fougeyrollas, Pierre Le Mou‘l and Paul Zagam»
- 231 Economic Dynamics with Heterogeneous Agents
by C. R. Birchenhall
- 230 Industrial specialisation, trade, and labour market dynamics in a multisectoral model of technological progress
by Robert Stehrer
- 229 The Complexity of Production, Technological Volatility and Inter-Industry Differences in the Persistence of Profits Above the Norm
by Philip E. Auerswald
- 228 Intergenerational Risk Sharing and Asset Returns
by Vassil A. Konstantinov
- 227 A Comparative Evaluation of the Performances of Different Filtering Techniques in Business Cycle Identification
by Gonul Turhan-Sayan * and Serdar Sayan**
- 224 Multilateral Negotiations and Formation of Coalitions
by Armando Gomes
- 223 Is There More to Long Memory in Fixed-Income Excess Returns and Volatility than Structural Instability?
by Robert A. Connolly, Nuray G½ner, and Kenneth N. Hightower
- 222 Structural Estimation of Marriage Models
by Linda Y. Wong
- 221 Microeconomic Models for Long-Memory in the Volatility of Financial Time Series
by Alan P. Kirman, Gilles Teyssiere
- 219 A Partial Equilibrium Model of Option Markets
by Dietmar P.J. Leisen and Kenneth L. Judd
- 217 Asset pricing with a continuum of belief types
by Cees Diks and Roy van der Weide
- 215 Shocks and Institutions in a Job Market Model
by Wouter Den Haan, Christian Haefke, Garey Ramey
- 214 A Statistical Equilibrium Model of Wealth Distribution
by Mishael Milakovic
- 213 DYNARE: A program for the simulation of rational expectation models
by Michel Juillard
- 212 Demographic Transition and International Flows of Capital: What Can an OLG Model Tell Us?
by Team INGENUE
- 211 Optimal Capital - Labor Taxes under Uncertainty and Default Constraints of the Government
by Irina Yakadina
- 210 The Inflation Premium implicit in the US Real and Nominal
by J. Huston McCulloch
- 209 Can Indeterminacy Resolve the Consumption Correlation Puzzle?
by Wei Xiao
- 207 Living Rationally Under the Volcano? Heavy Drinking and Smoking Among the Elderly
by Peter Arcidiacono, Holger Sieg, Frank Sloan
- 206 Numerical methods for the solution of a human capital model
by Sisira K. Sarma
- 205 Information Bundling in a Dynamic Environment
by Christopher H. Brooks, Rajarshi Das, Jeffrey O. Kephart, Jeffrey K. MacKie-Mason, Robert S. Gazzale,
- 204 Genetic Algorithms in Portfolio Optimization
by Chi-Cheong
- 203 Estimation of Poorly-Measured Service-Industry Output
by Baoline Chen
- 202 Monetary Instrument Problem Revisited: The Role of Fiscal Policy
by Soyoung Kim
- 200 The Impact of Idiosyncratic Shocks on Welfare and Asset Returns in a Stochastically Growing Economy
by Marcelo Bianconi and Stephen J. Turnovsky
- 199 Quasi Monte Carlo methods for macroeconometric simulation
by Jenny X. Li and Peter Winker
- 196 The Implications of Lower Down Payments on Consumption Volatility
by Christopher Farr and Maria J. Luengo-Prado
- 195 Heterogeneous Expectations, Currency Options and the euro/dollar exchange rate
by Rzepkowski Bronka
- 194 Calibration and Computation of Household Portfolio Models
by Michael Haliassos and Alexander Michaelides
- 193 Revolvers for Self-Control
by Carol C. Bertaut and Michael Haliassos
- 192 Incomplete unemployment insurance and aggregate fluctuations
by Francesc Obiols-Homs
- 191 Small sample properties of panel time-series estimators with I(1) errors
by Jerry Coakley, Ana-Maria Fuertes, Ron Smith
- 190 An Interacting-Agents Approach to International Financial Contagion
by Taisei Kaizoji
- 189 General Equilibrium Tax Policy with Hyperbolic Consumers
by Toke Ward Petersen
- 188 Intergenerational Risk Sharing: Myth or Possibility
by Dirk Krueger and Felix Kubler
- 186 Housing Markets, Liquidity Constraints and Labor Mobility
by Markus Haavio and Heikki Kauppi
- 185 Strategic Choice of Partners: Research Joint Ventures and Market Power
by Siebert, Roeller, Tombak
- 184 On Inflation and the Persistence of shocks to Output
by Maral Kichian and Richard Luger, Bank of Canada
- 182 Testing for Asymmetric Dynamic Oligopoly Models
by Ralph Siebert and Christine Zulehner
- 181 The Compound Option Approach to American Options on Jump-Diffusions
by Chandrasekhar Reddy Gukhal
- 179 Complex dynamics and adaptive fuzzy rule-based expectations - economic simulations with GENEFER
by Stefan Kooths, Eric Ringhut
- 177 Identifying The Monetary Policy Transmission Channels: The Role Of Simultaneity, Model Nonlinearity, Expectation Formation Mechanisms And Policy Rules
by Filippo Altissimo, Fabio Busetti, Alberto Locarno, Libero Monteforte, Stefano Siviero
- 176 Evolutionary Strategies vs. Neural Networks; New Evidence from Taiwan on the Divisia Index Debate
by Graham Kendall, Jane Binner and Alicia Gazely
- 175 Heterogeneous Interacting Agent Models and the Stylized Facts
by Taisei Kaizoji
- 174 Empirical analysis of the emerging Brazilian stock market: scaling and volatility
by A. A. Perez Jr. and J. M. P. Moser
- 172 Bounded Rationality and Social Cognition: A Computational Study
by Robert Hoffmann
- 171 Evolution of Cooperative Networks and the Emergence of Leadership
by M.G. Zimmermann, V. M. Eguiluz
- 168 Robustness against priors and mixing distributions
by Tiemen Woutersen
- 167 Recursive Solution Of Heterogeneous Agent Models
by Michael Reiter
- 166 Health Insurance, Habits and Health Outcomes: A Dynamic Stochastic Model of Investment in Health
by Ahmed W. Khwaja
- 165 Agent-Based Modeling of Price Discovery and Excessive Volatility in Financial Markets
by Shu-Heng Chen and Chung-Chih Liao
- 164 General--to--Specific Reductions of Vector Autoregressive Processes
by Hans-Martin Krolzig
- 163 Estimation of a dynamic structural model of irreversible investment
by Rocio Sanchez
- 162 Learning, Stabilization and Credibility: Optimal Monetary Policy in a Changing Economy
by Guenter W. Beck and Volker Wieland
- 161 Stabilization versus Insurance
by James Costain and Michael Reiter
- 160 The efficiency of the Taylor rule : A stochastic analysis using the Macsim model
by Jean Louis Brillet, INSEE, French National Institute for Statistics and Economic Studies
- 159 Growth versus Equality in Agent-Based Macro Models
by Charlotte Bruun
- 158 John Holland's Legacy in Economics: Artificial Adaptive Economic Agents --From 1986 to the Present in Retrospect
by Shu-Heng Chen
- 157 Extortion as an obstacle to economic growth: A dynamic game analysis
by H. Dawid, G. Feichtinger, A. Novak
- 156 Variety Of Behavior Of Equity Returns In Financial Markets
by Fabrizio Lillo and Rosario N. Mantegna
- 154 Emergent Cities: A Microeconomic Explanation for Zipf's Law
by Robert Axtell and Richard Florida
- 152 On Genes, Insects, and Crystals: Determining Marginal Diversification Effects With Nature Based Algorithms
by Christian Keber, Dietmar G. Maringer
- 151 Multiple Regimes in U.S. Monetary Policy? A Nonparametric Approach
by John Duffy and Jim Engle-Warnick
- 150 Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments
by Nikolay Gospodinov
- 149 Studying Real Options with Genetic Algorithms
by Alfons Balmann, Oliver Musshoff
- 148 Adjustment Costs of Agri-Environmental Policy Switchings: A Multi-Agent Approach
by Alfons Balmann, Kathrin Happe, Konrad Kellermann, Anne Kleingarn
- 147 Risk Adjusted Returns to Technical Trading Rules: a Genetic Programming Approach
by JP Marney, Colin Fyfe, Heather Tarbert, David Miller
- 146 An Adaptive Electronic Market-Maker
by Nicholas T. Chan and Christian Shelton
- 145 The Real Interest Rate Gap as an Inflation Indicator
by Katharine S. Neiss and Edward Nelson
- 144 Cost of Business Cycles under Incomplete Markets
by Yann Algan and Olivier Allais
- 143 A recursive algorithm for solving SUR models
by Erricos J. Kontoghiorghes and Paolo Foschi
- 140 Between-Group Dependence in PPP Equations and its Causes: A Principal Components Approach
by Jerry Coakley, Ana-Maria Fuertes, Ron Smith
- 139 Social Security evaluation: A critique
by Jorge Soares
- 138 Practical
by Gary Anderson
- 137 Solving and Estimating Finite Mixture Models in Parallel
by Christopher Ferrall
- 136 Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity
by Nikolay Gospodinov
- 135 Can Trade Theory Help Us Understand the Linkages Between International Trade and Business Cycles?
by M. Ayhan Kose and Kei-Mu Yi
- 134 Evaluating Business Cycle Models with Labor Market Search
by Robert M. Hussey
- 133 Government Expenditure and Long-Run Stochastic Growth
by Christiane Clemens
- 132 Bifurcation Routes and Economic Stability
by Miloslav S. Vosvrda
- 131 Evaluating Information Variables for Monetary Policy in a Noisy Economic Environment
by Gunter Coenen, Volker Wieland, Andrew Levin
- 130 Micro Heterogeneity and Macro Dynamics: an Empirical Analysis
by Filippo Altissimo, Paolo Zaffaroni
- 128 Algorithmic Design and Beowulf Cluster Implementation of Stochastic Simulation Code of Stochastic Simulation Code for Large Scale Non Linear Models
by gary anderson and raymond board
- 127 Spectral Analysis as a Tool for Financial Policy: An Analysis of the Short-End of the British Term Structure
by Andrew Hughes Hallett, Christian R Richter
- 126 Increasing returns and cycles in fishing
by M. Liski, P.M. Kort, A.J. Novak
- 125 Return-based Style Analysis with Time-varying Exposures
by Laurens Swinkels, Pieter Jelle VanDerSluis
- 124 Simulation
by Nalan
- 123 G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models
by S»bastien Laurent and Jean-Philippe Peters
- 122 Financial Risk Management in the Danish Mortgage Market
by Soren S. Nielsen, Rolf Poulsen
- 121 A computational model for incomplete contracts
by Juan D. Montoro-Pons
- 120 Succes and Failure of Technical Trading Strategies in the Cocoa Futures Market
by Boswijk, H.P., Griffioen, G.A.W., Hommes, C.H.
- 119 Evolutionary dynamics in financial markets with many trader types
by W.A. Brock, C.H. Hommes and F.O.O. Wagener
- 118 Evolving Automata Negotiate with a Variety of Opponents
by D.D.B. van Bragt and J.A. La Poutre
- 117 How different is the cyclical behavior of home production across countries?
by William Blankenau and M. Ayhan Kose
- 116 International Portfolio Choice and Liquidity Constraints: Can Small Information Costs Explain the Home Equity Bias Puzzle?
by Alexander Michaelides
- 115 Portfolio Choice, Liquidity Constraints and Stock Market Mean Reversion
by Alexander Michaelides
- 114 Parallelization and Performance of Portfolio Choice Models
by A. Abdelkhalek, A. Bilas and A. Michaelides
- 113 Krylov Methods and Preconditioning in Computational Economics Problems
by Mico Mrkaic and Giorgio Pauletto
- 112 Parametric Path Method: An alternative to Fair-Taylor and L-B-J for solving perfect foresight models
by Kenneth L. Judd
- 111 Market making, price formation, and technical trading
by Doyne Farmer, John Geanakoplos, and Paul Melby
- 110 An Anticipative Feedback Solution for Infinite-Horizon Linear-Quadratic Dynamic Stackelberg Games
by Baoline Chen and Peter Zadrozny
- 108 Volatility
by Blake LeBaron
- 107 Simulated Specification Tests for Panel Multinomial Probit Models: Some Finite Sample Evidence
by Jiahui Wang
- 106 A Gibbs Sampler for Mixed Logit Analysis of Differentiated Product Markets Using Aggregate Data
by Charles J. Romeo
- 105 Market Efficiency and Learning in an Endogenously Unstable Environment
by David Goldbaum
- 104 Holdup and the Evolution of Bargaining Conventions
by Herbert Dawid and Bentley MacLeod
- 103 A numerically computed DNS-curve in a two state capital accumulation model
by Haunschmied, J.L., Kort, P.M., Hartl, R.F., Feichtinger, G.
- 102 The Present Value Model of the Current Account Has Been Rejected: Round Up the Usual Subjects
by James M. Nason and John H. Rogers
- 101 The use of Fuzzy Decision Tree Analysis in Monitoring a Minimum Wage
by Malcolm Beynon, Keith Whitfield
- 100 A Dynamic Model of Job Search Behavior over the Life Cycle with Empirical Applications
by Hugo Benitez-Silva
- 99 Econometric analysis of the sequential probit model with an application to innovation surveys
by Patrick Waelbroeck
- 98 What Can We Learn From Simulating a Standard Agency Model?
by Michel Robe
- 97 Magnitude X on the Richter Scale: Welfare Cost of Business Cycles in Developing Countries
by Stephane Pallage and Michel A. Robe
- 96 Unemployment Insurance and Precautionary Savings : Transitional Dynamics vs. Steady State Equilibrium
by JOSEPH Gilles and WEITZENBLUM Thomas
- 94 Value-At-Risk For Long And Short Trading Positions
by Pierre Giot and S»bastien Laurent
- 93 An Application of Agent-based Simulation to the New Electricity Trading Arrangements of England and Wales
by Derek W. Bunn and Fernando Oliveira
- 92 Dynamic Voluntary Contribution to a Public Good:Learning to be a Free Rider
by Christiane Clemens and Thomas Riechmann
- 91 Evolutionary Learning in the Ultimatum Game
by Thomas Riechmann
- 90 Efficiency and Equality in a Welfare State Economy
by Radim Bohacek
- 89 Dynamic Production Teams with Strategic Behavior
by Michele Breton, Pascal St-Amour and D. Vencatachellum
- 88 Pareto-Improving Cheating In An Economic Policy Game
by Christophe Deissenberg and Francisco Alvarez Gonzalez
- 87 The Network-Enabled Optimization System (NEOS) - a means of solving optimization problems over the Internet
by Max E. Jerrell and Wendy A. Campione
- 86 Profit opportunities, crash prediction and risk minimization in artificial and real-world markets
by Neil F. Johnson, David Lamper, Paul Jefferies, Michael Hart and Sam Howison
- 85 Exchange Rate Effects on the Volume of Trade Flows: An Empirical Analysis Employing High-Frequency Data
by Christopher F Baum, Mustafa Caglayan, Neslihan Ozkan
- 83 Dynamics of a market with market participants switching their expectation formation functions: an empirical application to the U.S. hog market
by SaangJoon Baak
- 82 Endogenous Growth Paths in Economies with Locally Interacting Agents
by Fagiolo, G. and Dosi, G.
- 80 Social Recommendations Rather than Social Values
by Hakan Aksoy and Erdem Basci
- 79 Posted Offer versus Bargaining: An Example of how Institutions can Facilitate Learning
by Koye Somefun
- 76 Multimodality and the GARCH Likelihood
by Jurgen A. Doornik and Marius Ooms
- 75 Using High Frequency Data to Calculate, Model and Forecast Realized Volatility
by Roel Oomen
- 74 The Influence of Market Size in an Artificial Stock Market: The Approach Based on Genetic Programming
by Chia-Hsuan Yeh, Shu-Heng Chen
- 72 Threshold Accepting for Index Tracking
by Manfred Gilli and Evis Kellezi
- 71 Spectral Implications of Security Market Data for Models of Dynamic Economies
by Christopher Otrok, B. Ravikumar, Charles H. Whiteman
- 70 Consumption Asset Pricing with Stable Shocks: Exploring a Solution and Its Implications for the Equity Premium Puzzle
by Prasad V. Bidarkota and J. Huston McCulloch
- 69 Seeking Protection and the Origin of the State
by Allen Wilhite
- 68 Hamilton-Jacobi-Bellman equation with multiple equilibria
by Malte Sieveking
- 63 Interbank Lending, reserve requirements and systemic risk
by giulia iori and Saqib Jafarey
- 62 The Multi-Fractal Model of Asset Returns: Simple Moment and GMM Estimation
by Thomas Lux
- 60 The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model
by Frank Niehaus
- 59 Indirect Estimation of the Parameters of Agent Based Models of Financial Markets
by Peter Winker and Manfred Gilli
- 58 Asset Pricing in Models with incomplete markets and default
by Karl Schmedders, Felix Kubler
- 56 Economic Evolution and Structural Changes: a Non-Linear Model of Responses to Changes of Demand
by London, S. - Tohme, F.
- 55 The Timing of Uncertainty and The Intensity of Policy
by P. Ruben Mercado
- 54 Consumer Search, Competition, and the Organizational Structure of Multi-Unit Firms
by Myong-Hun Chang and Joseph E. Harrington, Jr.
- 53 New economy : new policy rules?
by Eric Schaling, James Bullard
- 52 An efficient and simple simulation smoother for state space time series analysis
by J. Durbin and S.J. Koopman
- 51 Digital Security Tokens and Their Derivatives
by Kanta Matsuura
- 50 Risk Neutral Forecasting
by Spyros Skouras
- 49 Evolution, Efficiency and Noise Traders in a One-Sided Auction Market
by Guo Ying (Rosemary) Luo
- 48 Expectations Driven Distortions in the Foreign Exchange Market
by Frank H. Westerhoff
- 47 Small neighborhoods
by Brian Krauth
- 46 Stability Analysis of Heterogeneous Learning in Self-Referential Linear Stochastic Models
by Chryssi Giannitsarou
- 45 Reserve Price Auctions with a Strong Bidder
by M. Utku Unver and A. Alexander Elbittar
- 43 An R&D Race with Learning and Forgetting
by Ulrich Doraszelski
- 42 The 40% Neoclassical Aggregate Theory of Production
by Zambelli Stefano
- 41 Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States
by Michael Brandt, Qi Zeng and Lu Zhang
- 40 Economic Geography, Trade, and War
by David Bearce and Eric Fisher
- 39 A Non-Stationary Asset Pricing Model under Heterogeneous Expectations
by Carl Chiarella and Xue-Zhong He
- 38 Internet Auctions with Artificial Adaptive Agents
by M. Utku Unver
- 37 Cross-Sectional Aggregation of Nonlinear Dynamic Models and Aggregate Consumption Dynamics
by Michael Binder
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