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Editor: Christopher F. Baum
Description: Papers presented at Tenth International Conference on Computing in Economics and Finance, Amsterdam, July 2004
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Christopher F Baum .
Series handle: RePEc:sce:scecf4
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Content
2004
- 347 Computational Economics: Help for the Underestimated Undergraduate
by Hans Amman & David Kendrick & Ruben Mercado
- 346 Application Of The Kalman Filter For Estimating Continuous Time Term Structure Models: Evidence From The Uk And Germany
by Rana Chatterjee
- 345 Valuation of American Continuous-Installment Options
by Pierangelo Ciurlia & Ilir Roko
- 344 Money makes the world go round ... about the necessity of nonlinear techniques in interest rate forecasting
by Stefan Fink & Janette F. Walde
- 343 Bounded Rationality, Learning, and Business Cycles in a Standard Neoclassical Growth Model
by Laurent Cellarier
- 342 Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements
by Eugenie Hol & Siem Jan Koopman & Borus Jungbacker
- 341 A Strategy for Including Odd and Even-Numbered Higher Moments in Portfolio Selection
by Renato G. Flores Jr & Gustavo M. de Athayde
- 339 Robust Control Rules to Shield Against Indeterminacy
by Nicoletta Batini & Paul Levine
- 338 Should macroeconomists consider restricted perception equilibria? Evidence from the experimental laboratory
by Klaus Adam
- 336 Games and Queues
by Bernardo A. Huberman & Li Zhang & Fang Wu
- 335 Robust control, Regime Switching Risk and Asset Prices
by Turalay Kenc
- 334 Teaching Numerical Methods in an Applied Economics Department
by Mario J. Miranda
- 333 Can New Open Economy Macroeconomic Models Explain Business Cycle Facts?
by Jagjit Chadha & Charles Nolan
- 332 The Dynamics of Plant-level Productivity in U.S. Manufacturing
by Kirk White & Arpad Abraham
- 331 Changes in the Environment and Individual Learning
by John Ledyard & Jasmina Arifovic
- 330 Lumpy Investment, Sectoral Propagation, and Business Cycles
by Makoto Nirei
- 329 Human Capital Accumulation, Time to Build, and Business Cycles
by Toshiya Ishikawa
- 328 Network properties of trading
by Ilija I. Zovko
- 326 Experiments in a Software Aided Multiagent System
by Chung-Ching Tai & Shu-Heng Chen
- 325 Monetary and Fiscal Policy Switching
by Hess Chung & Troy Davig & Eric Leeper
- 324 On the real impact of money in an economy with spatially differentiated agents
by Petia Manolova
- 323 Optimal Capital Tax and Debt Policy Under Incomplete Asset Markets
by Andrew J Scott & Arpad Abraham & Albert Marcet
- 321 A Specification Search Algorithm for Cointegrated Systems
by Jerzy Mycielski & Michal Kurcewicz
- 320 The Use of a Simple Decision Rule in Repeated Oligopoly Games
by Jan Edman
- 319 Domestic and International Determinants of the Sustainability of Public Debt
by Michael Binder
- 318 (The Evolution of) Post-Secondary Education: A Computational Model and Experiments
by Sergey Slobodyan & Andreas Ortmann
- 316 Wake me up before you GO-GARCH
by Roy van der Weide
- 315 Critical behaviour and system size in agent-based models: an explanation
by Simone Alfarano & Friedrich Wagner
- 314 One Sector Models, Indeterminacy, and Productive Public Spending
by Sergey Slobodyan
- 313 Volatility and the Term Structure: Evidence from Interest Rate Derivatives
by Alessandro Beber; Fabio Fornari.
- 312 An algorithmic solution to the interval Kyoto game
by Christophe Deissenberg & George Leitmann
- 310 From Heterogeneous expectations to exchange rate dynamic:
by Philippe Protin & Luc Neuberg & Christine Louargant
- 308 The U.S. Phillips-curve by time scale using waveletsMarco
by Marco Gallegati Mauro Gallegati James Ramsey Willi Semmler
- 307 On-the-job Search and Business Cycle Dynamics
by Thomas A. Lubik & Michael U. Krause
- 306 Aggregation of Dependent Risks with Specific Marginals by the Family of Koehler-Symanowski Distributions
by Paola Palmitesta & Corrado Provasi
- 305 Booms and bursts of asst markets: empirical results and a model based upon the Fokker-Plank equation
by Taisei KAIZOJI
- 303 Bureaucratic corruption and macroeconomic performance
by Ingrid Ott
- 302 Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters
by Giuliano De Rossi
- 301 A multiple matching model with endogenous participation : what's new about the supply-side policies?
by Etienne Campens
- 300 Discussing the Survivability Issue in Agent-Based Artificial Stock Market
by Ya-Chi Huang & Shu-Heng Chen
- 299 How Precise are Our Estimates of the Current Output Gap? New Evidence from Multivariate Estimates for the Euro-Zone
by Simon van Norden
- 298 On the Dynamics of Finite Memory Distributed Systems
by Jamsheed Shorish & Victor Dorofeenko
- 297 Distributed Technology Techniques for Solving Dynamic Models
by Paul Turton & Jan Herbert
- 296 An agent based approach to analysis of Capital structure and industry dynamics: The role of policy
by Roberto GABRIELE & Enrico ZANINOTTO
- 295 Review of Pension Schemes Under Segmented and Asymmetric Labor Market
by Renginar Dayangac & Bilge Ozturk
- 294 Credit and Cash-in-Advance in Disequilibrium Models
by Sander van der Hoog
- 293 Pricing a Path-dependent American Option by Monte Carlo Simulation
by Masaaki Kijima & Hajime Fujiwara
- 292 The Manufacturing Flexibility to Switch Products: Valuation and Optimal Strategy
by Sorin Tuluca & Piotr Stalinski
- 291 A Search for a Structural Phillips Curve
by Argia M. Sbordone & Timothy Cogley
- 289 A rational expectatons critque of the Hahn-Solow critique of rational expectations
by Richard E. Hawkins
- 288 Weird Ties? : Growth, Cycles and Firms Dynamics in an Agent Based-Model with Financial Market Imperfections
by Domenico Delli Gatti & Mauro Gallegati
- 287 Time Series Filtering through Chebyshev Polynomials
by Gonul Turhan-Sayan & Serdar Sayan
- 286 Codependence in Cointegrated Autoregressive Models
by Christoph Schleicher
- 285 The overvaluation of PPP in Europe?
by Stuart Snaith & Jerry Coakley
- 284 Some Practical Considerations for Applying Perturbation Methods to
by gary anderson & jinill kim
- 282 International evidence on monetary neutrality under broken trend stationary models
by R. Velazquez & Noriega & A.
- 281 Dynamics of an Extended Kaldor Model with Rational Expectation of Capital Efficiency and Adaptive Expectation of Inflation
by Kodera & J.
- 280 How Large Are Returns to Scale in the U.S.? A View Across the Boundary
by Thomas A. Lubik
- 279 Complex dynamics in a Pasinetti-Solow model of Growth and distribution
by Pasquale Commendatore
- 277 State-Dependent or Time-Dependent Pricing: Does It Matter For Recent U.S. Inflation?
by Oleksiy Kryvtsov & Peter J. Klenow
- 276 An endogenous growth model with concave consumption functions
by Kirill Borissov & Vera Kipiatkova
- 273 Density Estimation and Combination under Model Ambiguity
by Stefania D'Amico
- 272 Generalised Fading Memory Learning in a Cobweb Model: some evidence
by Domenico Colucci & Vincenzo Valori
- 271 Adaptive Learning in Practice
by Chryssi Giannitsarou & Eva Carceles-Poveda
- 269 Speculative option valuation: A supercomputing approach
by Enrico Scalas & Alessandro Vivoli & Paride Dagna & Guido Germano
- 268 Perturbed Polynomial Path Method For Accurately Computing And Empirically Evaluating Total Factor Productivity
by Baoline Chen & Peter A. Zadrozny
- 267 Coordination Dynamics under Collective and Random Fining Systems for Controlling Non-Point Source Pollution: A Simulation Approach with Genetic Algorithms
by Eleni Samanidou
- 266 The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics
by Oleg Korenok & Bruce Mizrach
- 265 Endogenous Redistributive Cycles
by Maik Heinemann & Christiane Clemens
- 264 Nonlinear Mean Reversion in Stock Prices
by S. Manzan
- 263 Big fortunes, aggregate saving and growth
by Michael Reiter
- 262 Keynesian Dynamics and the wage price spiral. A baseline disequilibrium approach
by T. Asada & P. Chen
- 261 Asset price and wealth dynamics in a financial market with heterogeneous agents
by Carl Chiarella & Roberto Dieci
- 260 Multi-agent modeling and simulation of a sequential monetary production economy
by Marco Raberto & Silvano Cincotti
- 259 The Impact of Multiperiod Planning Horizons on Portfolios and Asset Prices
by Marten Hillebrand
- 258 Co-evolution vs. Neural Networks; An Evaluation of UK Risky Money
by Alicia Gazely & Jane Binner & Graham Kendall
- 256 Dividend and Stock Repurchase Policy with Transaction Costs
by Motoh Tsujimura
- 255 The Impacts of Fragmented Volatilities by Learning about Predictability in the Real Options Approach
by Kijima, Masaaki & Shibata & Takashi
- 254 Inflation Targeting and Q Volatility in Small Open Economies
by Paul McNelis & Guay Lim
- 252 Conditional Welfare Comparisons of Monetary Policy Rules
by Andy Levin & Jinill Kim
- 251 Estimation of the fractionally integrated process with Missing Values: Simulation and Application
by Valderio A. Reisen, UFES, Brazil. & Carlos Feitosa Luna & Manoel R. Sena Jr.
- 250 Semi-parametric procedures for Unit root and fractional cointegration tests
by Valderio A. Reisen, DEST-UFES, Brazil & Luz A. M. Santander & GET-UFF
- 246 Choosing Variables With A Genetic Algorithm For Econometric Models Based On Neural Networks Learning And Adaptation
by Daniel Ramirez A. & Juan M. Gómez G.
- 241 Heterogeneous Agents Past and Forward Time Horizons in Setting Up a Computational Model
by Serge Hayward
- 240 Inflation in the 1970s in the U.S.: Misspecification, Learning and Sunspots
by Peter von zur Muehlen & Robert J. Tetlow
- 239 Community structure and labour market segmentation in a stochastic model of
by Davide Fiaschi - Matteo Marsili
- 238 A Dynamical Analysis of Moving Average Rules
by Cars Hommes & Carl Chiarella & Xue-Zhong He
- 237 A Dynamic Programming Approach for Pricing Options Embedded in Bonds
by Hatem Ben-Ameur & Michèle Breton
- 235 Optimal Monetary Policy in an Imperfect World
by Andrew Levin & Eric Swanson
- 234 Should East Asia's Currencies Be Pegged to the Yen? The Role of Pricing Behavior and Currency Invoicing
by Wing-Leong Teo
- 231 Elements in the Design of an Early Warning System for Sovereign Default
by Ana-Maria Fuertes & Elena Kalotychou
- 230 Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?
by Kirstin Hubrich
- 228 Forecasting sovereign default using panel models: A comparative analysis
by Ana-Maria Fuertes & Elena Kalotychou
- 227 Price and Wealth Dynamics in an Agent-Based Model with Heterogeneous Evolving Strategies
by Giulio Bottazzi & Mikhail Anoufriev
- 225 A double-auction artificial market with time-irregularly spaced orders
by Enrico Scalas & Silvano Cincotti
- 224 The magnitude and Cyclical Behavior of Financial Market Frictions
by (Kim | Lopez-Salido | Swanson) & Andrew Levin
- 223 Portfolio choice, life-cycle and idiosyncratic income risk : the semi-external habit formation approach
by Thomas Weitzenblum & Philippe Bernard
- 222 Solving SDGE Models: A New Algorithm for Sylvester Equation
by Ondrej Kamenik
- 221 An agent-based model of directed advertising on a social network
by C. Castaldi & F. Alkemade
- 220 The Optimality of the US and Euro Area Taylor Rule
by Ferhat MIHOUBI & Pascal JACQUINOT
- 219 Fitting and comparing stochastic volatility models through Monte Carlo simulations
by Silvano Bordignon & Davide Raggi
- 218 Negotiating over Bundles and Prices Using Aggregate Knowledge
by Koye Somefun & Tomas Klos
- 217 On Learning Equilibria
by Florian Wagener & Jan Tuinstra
- 216 Demand Side Shocks and Macroeconomic Policy
by Maciej K. Dudek
- 215 Habit formation and Interest-Rate Smoothing
by Sean Holly & Luisa Corrado
- 213 Stochastic Optimisation and Worst Case Analysis in Monetary Policy Design
by S. Zakovic & V. Wieland & B. Rustem
- 212 The New Keynesian Phillips Curve: An Empirical Assessment
by Florian PELGRIN & GUAY Alain & LUGER Richard
- 211 An evolutionary approach to the El Farol game
by J. Tuinstra & P. Dindo & C.H. Hommes
- 209 Heterogeneous Investment Horizons in a Simple Asset Pricing Model
by Giulio Bottazzi & Mikhail Anoufriev
- 207 Exchange Rate Pass-Through in a Structural Small Open Economy Model: How Important is the Conduct of Monetary Policy
by Stephen Murchison
- 206 Neighborhood models of minority opinion spreading
by C. J. Tessone & R. Toral
- 205 Heterogeneity and feedback in an agent based market model
by Ghoulmié & F.
- 204 Extending the CAPM model
by Hendri Adriaens & Bas Donkers
- 203 Discovering Financial Patterns in the Foreign Exchange Markets
by Chueh-Yung Tsao & Shu-Heng Chen
- 202 Product Preannouncement in New Markets: A Strategic Analysis
by Herbert Dawid & Yongchuan Bao
- 201 Testing multivariate hypotheses with positive definite bilinear forms
by Valentyn Panchenko & Cees Diks
- 200 Using Genetic Programming with Lambda Abstraction to Find Technical Trading Rules
by Tina Yu & Shu-Heng Chen
- 198 Price Formation and Asset Allocations of the Electronic Trading System Xetra
by Jan Wenzelburger & Xihao Li
- 197 On the performance of efficient portfolios
by Jan Wenzelburger & Volker Boehm
- 196 Competition as a Coordination Device
by Joachim Weimann & Thomas Riechmann
- 195 The Econometric Analysis of Microscopic Simulation Models
by Youwei Li & Bas Donkers
- 194 Occasionally Binding Collateral Constraints in RBC Models
by Emilio Espino & Thomas Hintermaier
- 193 International Capital Mobility and Aggregate Volatility: the Case of Credit-Rationed Open Economies
by Patrick Pintus
- 192 Modified Hiemstra-Jones Test for Granger Non-causality
by Cees Diks & Valentyn Panchenko
- 191 Strucural change and DSGE models
by Michel Juillard
- 190 Escape Dynamics: A Continuous Time Approximation
by Dmitri Kolyuzhnov & Anna Bogomolova
- 189 Habit Persistence in Consumption in a Sticky Price Model of the Business Cycle
by Michael Gail
- 188 Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve
by Marco Lyrio & Hans Dewachter
- 187 Structural analysis of optimal investment for firms with non-concave revenues
by Florian Wagener
- 181 Solving Continuous-Time Markov-Perfect Nash Equilibria
by Uli Doraszelski & Kenneth L. Judd
- 180 Teaching Numerical Methods to Economics Students
by Kenneth L. Judd
- 178 Modelling the effect of learning and evolving rules on the use of common-pool resources
by Alexander Smajgl
- 177 Pricing American Options on Jump-Diffusion Processes using Fourier-Hermite Series Expansions
by Andrew Ziogas & Carl Chiarella
- 176 Does Central Bank Transparency Matter for Economic Stability
by Stefano Eusepi
- 175 Business Cycle Implications of Habit Formation
by James M. Nason & Takashi Kano
- 173 Understanding the Variations in Gibrat's Law with a Markov-Perfect Dynamic Industry Model
by Ana Sofia Domingues Rodrigues & Christopher A. Laincz
- 172 The second moments matter: The response of bank lending behavior to macroeconomic uncertainty
by Christopher F Baum & Mustafa Caglayan & Neslihan Ozkan
- 171 A behavioral cobweb model with heterogeneous speculators
by Cristian Wieland & Frank Westerhoff
- 170 Monetary Policy, Fiscal Policy and Automatic Stabilizers: Welfare and Macroeconomic Stability
by Massimiliano Marzo & Thomas A. Lubik
- 169 The Great Depression and the Friedman-Schwartz Hypothesis
by Lawrence J. Christiano & Roberto Motto
- 166 Optimal monetary policy in a regime-switching economy
by Fabrizio Zampolli
- 165 Sectoral Specialisation and Growth Rate DIfferences Among Integrated Economies
by André Lorentz
- 164 Job Contact Networks, Inequality and Aggregate Economic Performance
by Nicola Meccheri & Andrea Mario Lavezzi
- 163 Can Social Security be welfare improving when there is demographic uncertainty?
by Virginia Sanchez-Marcos & Alfonso Sanchez Martin
- 162 Nonlinear Growth and the Productivity Slowdown
by Andrea Mario Lavezzi & Davide Fiaschi
- 161 Pollution abatement in the Netherlands: a dynamic applied general equilibrium assessment
by Ekko van Ierland & Rob Dellink
- 160 Portfolio & Risk Management: Asset Allocation and Risk Budgeting Optimization
by D. Widijanto & S. Nagornii
- 159 Option Pricing under different uncertainty regimes
by Haven Emmanuel
- 158 Forecasting Volume and Volatility in the Tokyo Stock Market: The Advantage of Long Memory Models
by Taisei Kaizoji & Thomas Lux
- 157 Equilibrium Properties of Finite Binary Choice Games
by Adriaan R. Soetevent
- 156 Statistical Evidences for the Influence of GP's Representation on Forecasting
by Chia-Hsuan Yeh
- 155 Optimal Lag Structure Selection in VEC-Models
by Dietmar Maringer & Peter Winker
- 154 An Adverse Selection Model of Optimal Unemployment Insurance
by Marcus Hagedorn & Ashok Kaul
- 153 Intertemporal and Spatial Location of Disposal Facilities
by F. Velasco & F.J. André
- 152 On the Indeterminacy of New-Keynesian Economics
by Andreas Beyer & Roger E. A. Farmer
- 151 Bayesian Estimation of Total Investment Expenditures For Romanian Economy using DYNARE
by Marco Ratto & Riccardo Girardi
- 149 Keynesian Dynamics and the Wage-Price Spiral:Estimating a Baseline Disequilibrium Approach
by C. Chiarella & P. Chen
- 148 Forecasting inflation: An art as well as a science!
by Peter Vlaar & Ard den Reijer
- 147 Robust Control: A Note on the Timing of Model Uncertainty
by Arnulfo Rodriguez
- 146 Permanent and Transitory Policy Shocks in an Empirical Macro Model with Asymmetric Information
by P.A. Tinsley & Sharon Kozicki
- 145 New Phenomena Identified in a Stochastic Dynamic Macroeconometric Model: A Bifurcation Perspective
by William A. Barnett & Yijun He
- 144 The Decline of Activist Stabilization Policy: Natural Rate Misperceptions, Learning, and Expectations
by John C. Williams & Athanasios Orphanides
- 140 Optimal Technological Portfolios for Climate-Change Policy under Uncertainty: A Computable General Equilibrium Approach
by David F. Bradford & Seung-Rae Kim & Klaus Keller
- 139 On the Possibility of Informationally Efficient Markets
by David Goldbaum
- 137 Practical guide to real options in discrete time
by Sergey Levendorskiy & Svetlana Boyarchenko
- 136 Monetary Policy, Endogenous Inattention, and the Output-Inflation Variance Tradeoff
by Bruce McGough & William A. Branch & John Carlson
- 135 Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation
by Eiji Fuji & Jeannine Bailliu
- 134 Optimal Constrained Interest Rate Rules
by Bruce McGough & George Evans
- 133 The US Phillips Curve and inflation expectations: A State Space Markov-Switching explanatory model
by Guillaume Guerrero & Nicolas Million
- 132 Welfare analysis of non-fundamental asset price and investment shocks: Implications for monetary policy
by Raf Wouters & Frank Smets
- 131 Data Uncertainty in General Equilibrium
by S. Boragan Aruoba
- 130 Performance of Inflation Targeting Based on constant Interest Rate Projections
by Kaushik Mitra & Seppo Honkapohja
- 129 Cournot Competition and Endogenous Firm Size
by Francesco Saraceno & Jason Barr
- 128 A Frequency-selective Filter for Short-Length Time Series
by Alain Noullez & Alessandra Iacobucci
- 127 Comparing robust control with optimal control with time-varying parameters
by Marco P. Tucci
- 126 Search in Financial Markets, and Monetary Policy
by Scott Hendry & Kevin Moran
- 125 Optimal Taylor Rules in an Estimated Model of a Small Open Economy
by Nooman Rebei & Steve Ambler & Ali Dib
- 124 Financial Liberalization and Emerging Stock Market Volatility
by F. Pérez de Gracia & J. Cuñado; J. Gómez
- 123 Learning and Shifts in Long-Run Growth
by Rochelle Edge & Thomas Laubach
- 121 The Inflation Aversion of the Bundesbank: A State Space Approach
by Vladimir Kuzin
- 120 Turnover Activity in Wealth Portfolios
by Mishael Milakovic & Carolina Castaldi
- 119 On the Intradaily Relationship between Information Revelation and Trade Duration: The Evidence of MSCI Taiwan Futures
by Chiang & Min-Hsien;Fan
- 118 Stepwise calibration of a higher-order Keynes-Metzler-Goodwin model
by Reiner Franke
- 117 The short-run dynamics of optimal growth models with delays
by Luis A. Puch & Fabrice Collard & Omar Licandro
- 116 Inflation Dynamics in Seven Industrialised Open Economies
by Nicoletta Batini & Ryan Banerjee
- 115 Performing an Environmental Tax Reform in a Regional Economy: A Computable General Equilibrium Approach
by Francisco J. André & M. Alejandro Cardenete
- 114 Robust Control: A Note on the Response of the Control to Changes in the
by Arnulfo Rodriguez & Fidel Gonzalez
- 113 Price Reaction to Momentum Trading and Market Equilibrium
by Katsumasa NISHIDE
- 112 Forecasting Chilean Industrial Production and Sales with Automated Procedures
by Romulo A. Chumacero
- 111 Test for long memory processes. A bootstrap approach
by Pilar Grau-Carles
- 110 Minority Games, Local Interactions, and Endogenous Networks
by Valente M. & Fagiolo G.
- 109 Animal Spirits, Lumpy Investment, and the Business Cycle
by Fagiolo G. & Roventini A.
- 108 Inflation Targeting and Nonlinear Policy Rules: the Case of Asymmetric Preferences
by Paolo Surico
- 106 Can Intelligence Help Improve Market Performance?
by Chia-Hsuan Yeh
- 104 A Stochastic Lake Game
by Sharon I. O'Donnell & W. Davis Dechert
- 103 I'll buy that: The Schelling Model of Segregation in an Owner Occupied Housing Market
by Margo Bergman & Sharon I. O'Donnell
- 102 Welfare Maximizing Monetary and Fiscal Policy Rules
by Robert Kollmann
- 100 Optimal marketing decisions in a micro-level framework
by Luigi De Cesare & Andrea Di Liddo
- 99 Learning with Heterogeneous Expectations in an Evolutionary World
by Eran Guse
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