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Editor: Christopher F. Baum
Description: Papers presented at Eleventh International Conference on Computing in Economics and Finance, Amsterdam, July 2005
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Christopher F Baum .
Series handle: RePEc:sce:scecf5
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Content
2005
- 192 Yes, Libor Models can capture Interest Rate Derivatives Skew : A Simple Modelling Approach
by Eymen Errais & Fabio Mercurio
- 191 Vacancy Persistence
by Shigeru Fujita
- 190 Stochastic and deterministic unit root models: problem of dominance
by Svetlana Makarova & Wojciech Charemza
- 189 Payday Loans, Consumption Shocks, and Discounting
by Jeremy Tobacman & Paige Skiba
- 188 A Continuous-Time Version of the Principal-Agent
by Yuliy Sannikov
- 187 Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme
by Oleksandr Zhylyevskyy
- 186 Spurious regression under broken trend stationarity
by Daniel Ventosa-Santaularia & Antonio E. Noriega
- 185 Technological Complexity, R&D and Education: Some Pleasant Arithmetic
by Peter Thompson & Mihaela Pintea
- 184 Income Inequality, Monetary Policy, and the Business Cycle
by Stuart J. Fowler
- 183 A Quantitative Comparison Of Sticky-Price And Sticky-Information Models Of Price Setting
by Michael Kiley
- 182 Corporate Leverage and Financial Fragility in General Equilibrium
by Andrew T. Levin & Fabio M. Natalucci
- 181 Incentives to Cooperate in Network Formation
by Haydée Lugo
- 178 Unexpected Inflation, Firm Characteristics and Equity Returns in a New-Keynesian Model
by Chao Wei
- 177 Estimating the Revealed Inflation Target: An Application to U.S. Monetary Policy
by Daniel Leigh
- 176 Learning about which measure of inflation to target
by Luis-Felipe Zanna & Marco Airaudo
- 175 Evaluating Models of Sticky Prices
by Jonas Fisher & Martin Eichenbaum
- 172 Measuring the Effects of Real and Monetary Shocks in a Structural New-Keynesian Model
by Andreas Beyer & Roger E.A. Farmer
- 171 Wealth-Robust Intertemporal Incentive Contracts
by Mark Loewenstein & Jerome Detemple & Suresh Govindaraj
- 169 Welfare Effects of Tax Policy in Open Economies: Stabilization and Cooperation
by Sunghyun Henry Kim & Jinill Kim
- 168 Intertemporal Asset Allocation with Inflation-Indexed Bonds
by C. Chiarella & C. Hsiao
- 166 Time Consistency and Targeting Rules in Singular Rational Expectations Models
by Richard G. Pierse & Andrew P. Blake
- 165 Price expectations in the laboratory in positive and negative feedback systems
by Joep Sonnemans & Peter Heemeijer & Cars Hommes
- 163 Multi-period CAPM with Heterogeneous Agents
by Hendri Adriaens & Bertrand Melenberg
- 162 Escape Dynamics : A Continuous Time Approximation
by Dmitri Kolyuzhnov & Anna Bogomolova
- 161 Limited Dependet Panel Data: a Bayesian Approach
by Giuseppe Bruno
- 158 The internal efficiency of Index Option Markets
by Brunetti M. & Torricelli C.
- 157 An Agent-Based Keynesian Laboratory
by Charlotte Bruun
- 156 Money, Inventories and Underemployment in Deflationary Recessions
by Gerd Weinrich & Luca Colombo
- 154 Numerical Integration Filters for Maximum Likelihood Estimation of Asymmetric Stochastic Volatility Models
by Hiroyuki Kawakatsu
- 150 A SNCP Method for Solving Equilibrium Problems with Equilibrium Constraints
by Che-Lin Su
- 149 An Overview of Automatic Differentiation
by Jean Utke & Paul D Hovland
- 148 Conditional Welfare Comparisons of Monetary Policy Rules
by Andrew Levin & Jinill Kim
- 147 Optimal Nonlinear Policy: Signal Extraction with a Non-Normal Prior
by Eric Swanson
- 146 Higher-Order Perturbation Solutions to Dynamic, Discrete-Time Rational Expectations Models: Methods and an Application to Optimal Monetary Policy
by Eric Swanson & Gary Anderson & Andrew Levin
- 145 Monetary Concequences of Alternative Fiscal Policy Rules
by Jukka Railavo
- 144 Changing Effects of Monetary Policy in the U.S. –Evidence from a Time-Varying Coefficient VAR
by Christian Melzer & Thorsten Neumann
- 143 Investment-Specific and Multifactor Productivity in Multi-Sector Open Economies:Data and Analysis
by Luca Guerrieri & Dale Henderson
- 142 The Aggregate Of Elasticities Or The Elasticity Of The Aggregates: U.S. Trade In Services
by Jaime Marquez
- 141 Approximate Aggregation
by Eric R Young
- 140 Extreme Value Theory and Fat Tails in Equity Markets
by Ritirupa Samanta & Blake LeBaron
- 139 A Computer Algebra Primer and Homework Exercises for use in an Intermediate Macroeconomics Course—A Student/Teacher Collaboration
by Ryder Delaloye & Luke Olson & Max Jerrell
- 138 Central Bank Estimates of the Unemployment Natural Rate
by Peter Tinsley & Sharon Kozicki
- 135 Capital Mobility and spillovers within a modular approach to multiregion modeling
by Marian Leimbach & Ottmar Edenhofer
- 134 Time Consistent Policy in Markov Switching Models
by Fabrizio Zampolli & Andrew P. Blake
- 133 Capital Injection to Save Bank Crisis
by Isamu OKADA & Ichiro TAKAHASHI
- 132 Inequality and Growth: A Semiparametric Investigation
by Dustin Chambers
- 130 Stochastic Volatility with ARMA Extension Applied to Portfolio Choice
by Arnisa Abazi
- 128 Expansionary Fiscal Shocks and the Trade Deficit
by Christopher Erceg & Luca Guerrieri
- 127 Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?
by Carlos Capistrán-Carmona
- 126 Learning-by-doing or Habit Formation?
by Takashi Kano & Hafedh Bouakez
- 124 Two-class structure of the personal income distribution in the USA in 1983-2001
by A. C. Silva & V. M. Yakovenko
- 123 Aging, pension reform, and capital flows: A multi-country simulation model
by Axel Boersch-Supan & Alexander Ludwig
- 121 Reconciling The Effects of Monetary Policy Actions on Consumption Within A Heterogeneous Agent Framework
by Yamin Ahmad
- 120 Credit Market Development, Asset Prices and Business Cycle
by Caterina Mendicino
- 119 Inflation Targeting, Committee Decision Making and Uncertainty: The case of the Bank of England's MPC
by Sean Holly & Arnab Bhattacharjee
- 117 Long Swings in the US-Dollar: a Stochastic Control Approach
by Rita L. D’Ecclesia & Rosella Castellano
- 116 Estimating default probabilities using a non parametric approach
by Rita L. D'Ecclesia & Robert G. Tompkins
- 114 Constrained Pricing of Monopolies with Endogenous Participation
by Eugenio Miravete & Gabriel Basaluzzo
- 113 Long Memory, Heterogeneity, and Trend Chasing
by Youwei Li & Xue-Zhong He
- 112 Adaptive Agent Modeling as a Tool for Trade and Development Theory
by Timothy R. Gulden
- 110 A welfare analysis of bargaining frictions
by Samuel Danthine & Stéphane Auray
- 108 Monetary Policy with Model Uncertainty: Distribution Forecast Targeting
by Noah Williams & Lars E.O. Svensson
- 107 U.K. Monetary Regimes and Macroeconomic Stylised Facts
by Luca Benati
- 106 Solving SDGE Models: Approximation About The Stochastic Steady State
by Michel Juillard & Ondra Kamenik
- 103 Term structure estimation without using latent factors
by Greg Duffee
- 102 Non-Ricardian Households and Fiscal Policy in an Estimated DSGE Model of the Euro Area
by Roland Straub & Günter Coenen
- 101 Effects of Demand Share Patterns on GDP, Okun's Law, Beveridge Curves, and Sector Sizes
by Hiroshi Yoshikawa & Masanao Aoki
- 100 Insurance Policies for Monetary Policy in the Euro Area
by Volker Wieland & Keith Kuester
- 99 A Welfare Analysis of Progressive Tax and Transfer Policies: Is the Present System Better than the Flat Tax System?
by Shailesh Bhandari & Ph. D.
- 98 Measuring the Effects of Employment Protection on Job Flows: Evidence from Seasonal Cycles
by Justin Wolfers
- 96 Segregation in Social Networks
by Vriend N.J. & Fagiolo G. & Valente M.
- 95 Unit Root Tests With Markov-Switching
by Xiao Qin & Gee Kwang Randolph Tan
- 92 Optimal Experimentation a Comparison of the Perturbation and Dynamic Programming Algorithms
by Michael T. Gapen & Thomas F. Cosimano
- 91 An Agent-Based Model of Mortality Shocks, Intergenerational Effects, and Urban Crime
by Michael D. Makowsky
- 87 Persistence and Nominal Inertia in a Generalized Taylor Economy: How Longer Contracts Dominate Shorter Contracts
by Engin Kara & Huw Dixon
- 84 An estimated open-economy model for the EURO area
by Marco Ratto & Werner Roeger
- 83 The Valuation of Multiple Asset American Options under Jump Diffusion Processes
by A. Ziogas & G. Cheang & C. Chiarella
- 81 Innovation and Idiosyncratic Risk
by Mariana Mazzucato & Massimiliano Tancioni
- 80 Monetary Policy under Adaptive Learning
by Vitor Gaspar & Frank Smets
- 79 The Effectiveness of Margin Requirements: Agent-Based Modeling Approach
by Yi-Feng Tzeng & Chung-Yi Yang & Chia-Hsuan Yeh
- 78 Time Series Properties Under Price Limits
by Chia-Hsuan Yeh
- 77 Pricing American Options under Stochastic Volatility
by Andrew Ziogas & Carl Chiarella
- 75 Housing Wealth and Mortgage Contracts
by Joseph B. Nichols
- 73 Valuing Pilot Project Investments in Incomplete Markets : A Compound Option Approach
by Eymen Errais & Jeffrey Sadowsky
- 72 Agent-Based Computational Laboratories for the Experimental Study of Complex Economic Systems
by Leigh Tesfatsion
- 71 An Integrated Treatment of Monte Carlo Numerical Integration Techniques
by J.F. Richard & R. Liesenfeld
- 70 Quantifying the Inefficiency of the US Social Security System
by J. C. Parra & M. Huggett
- 68 The Phillips Curve Under State-Dependent Pricing
by Rudolf, B. & Bakhshi, H.
- 66 Identifying the Influences of Nominal and Real Rigidities in Aggregate Price-Setting Behavior
by Andrew Levin & Günter Coenen
- 65 Complexity Measures and Macroeconomic Stability of Centralized and Decentralized Exchange: Evidence from Cross-Cultural Anthropological Data
by James Stodder
- 64 Computational Efficiency and Macroeconomic Stability under Centralized Exchange: Evidence from Swiss and US Exchange Data
by James Stodder
- 63 Teaching to do economics with the computer
by Kurt Schmidheiny & Harris Dellas
- 62 Monetary and Fiscal Interactions without Commitment and the Value of Monetary Conservatism
by Roberto Billi & Klaus Adam
- 61 Efficient Allocations in a Dynamic Moral Hazard Economy
by Noah Williams
- 60 How the Bundesbank really conducted monetary policy
by Christina Gerberding & Franz Seitz & Andreas Worms
- 59 Curve Forecasting by Functional Autoregression
by A. Onatski & V. Karguine
- 57 Adaptive Control for Economic Models Revisited
by David A. Kendrick
- 56 Estimating Single Factor Jump Diffusion Interest Rate Models
by Ghulam Sorwar
- 54 Uncertainty, Learning, and Optimal Technological Portfolios: A Dynamic General Equilibrium Approach to Climate Change
by Seung-Rae Kim
- 53 Identification and Estimation of Discrete Games of Complete Information
by Stephen Ryan & Patrick Bajari & Han Hong
- 52 Should we be surprised by the unreliability of real-time output gap estimates? Density estimates for the Euro area
by James Mitchell
- 50 An Agent-Based Computational Laboratory for Testing the Economic Reliability of Wholesale Power Market Designs
by Deddy Koesrindartoto & Junjie Sun
- 49 Climate Change and Extreme Events: an Assessment of Economic Implications
by Roberto Roson & Calzadilla Alvaro & Pauli Francesco
- 48 Identification Robust Confidence Sets Methods for Inference on Parameter Ratios and their Application to Estimating Value-of-Time
by Denis Bolduc & Lynda Khalaf & Clément Yélou
- 47 Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data
by Kris Jacobs & Stephane Pallage & Michel A. Robe
- 46 Measuring the NAIRU with Reduced Uncertainty: A Multiple Indicator-Common Component Approach
by Arabinda Basistha & Richard Startz
- 45 A Time-Frequency Analysis of the Coherences of the US Business
by Christian Richter & Andrew Hughes Hallett
- 44 The Microstructure of the Italian Overnight Money Market
by G. Iori & O. Precup
- 43 Swing Options: A Mechanism for Pricing Peak IT Demand
by Bernardo A. Huberman & Scott H. Clearwater
- 42 Financial Computational Intelligence
by Chiu-Che Tseng & Yu-Chieh Lin
- 41 Offer Games and Non-Market-Clearing Nash Equilibria: a Biform Game Analysis and Agent-Based Simulation Study
by Roger A. McCain
- 40 Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models
by Marno Verbeek & Jeroen VK Rombouts
- 39 Elasticity of Substitution and the Persistence of the Deviation of the Real Exchange Rates
by Stephen J. Turnovsky & A.K.M. Mahbub Morshed
- 38 Optimal Capital Structure and the Term Structure of Interest Rates
by Xin Wang & Chris Downing
- 37 Commercial Mortgage Backed Securities: How Much Subordination is Enough?
by Nancy Wallace & Chris Downing
- 35 The Futures Pricing Puzzle
by Shafiqur Rahman & M. Shahid Ebrahim
- 33 Model Uncertainty and Endogenous Volatility
by George W. Evans & William A. Branch
- 31 The long-run output-inflation trade-off in the presence of menu costs
by James Yetman & Wai Yip Alex Ho
- 30 Strong contagion with weak spillovers
by Martin Ellison & Liam Graham & Jouko Vilmunen
- 29 Dynamic Portfolio Optimization and Economics Uncertainties
by Xiaolou Yang
- 28 An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle
by Riccardo Corradini
- 26 Empirical Best Linear Unbiased Prediction in Misspecified and Improved Panel Data Models with an Application to Gasoline Demand
by I-Lok Chang & P.A.V.B. Swamy & Yaghi Wisam
- 25 The Optimal Inflation Buffer with a Zero Bound on Nominal Interest Rates
by Roberto M. Billi
- 24 Financial Development and Property Valuation
by Sikandar Hussain & M. Shahid Ebrahim
- 22 Over the Top: U.K. World War I Finance and Its Aftermath
by Shaun P. Vahey & James M. Nason
- 21 The Synthesis of Bottom-Up and Top-Down Approaches to Climate Policy Modeling: Electric Power Technologies and the Cost of Limiting U.S. CO2 Emissions
by Ian Sue Wing
- 20 PD Games on Networks
by Allen wilhite
- 15 Evolutionary Portfolio Selection with Liquidity Shocks
by Enrico De Giorgi
- 14 Accurate Yield Curve Scenarios Generation using Functional Gradient Descent
by Fabio Trojani & Francesco Audrino
- 13 An Economics-based Energy Account for Classical Mechanics
by Professor John M. Hartwick
- 12 Distributional Effects of Monetary Policies in a New Neoclassical Model with Progressive Income Taxation
by Burkhard Heer; Alfred Maussner
- 6 Tycoon: an Implementation of a Distributed, Market-based Resource Allocation System
by Kevin Lai & Lars Rasmusson
- 5 The Use of Downside Risk Measures in Portfolio Construction and Evaluation
by Dr. Brian J. Jacobsen
- 4 Finding an Example of an Optimising Agent with Cyclical Behaviour
by Peter J. Stemp
- 3 The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective
by Tao Wu & Glenn Rudebusch
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