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  Subjects -> BUSINESS AND ECONOMICS (Total: 3248 journals)
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BUSINESS AND ECONOMICS (1190 journals)                  1 2 3 4 5 6 | Last

Showing 1 - 200 of 1566 Journals sorted alphabetically
4OR: A Quarterly Journal of Operations Research     Hybrid Journal   (Followers: 10)
Abacus     Hybrid Journal   (Followers: 13)
Accounting Forum     Hybrid Journal   (Followers: 25)
Acta Amazonica     Open Access   (Followers: 5)
Acta Commercii     Open Access   (Followers: 4)
Acta Oeconomica     Full-text available via subscription   (Followers: 2)
Acta Scientiarum. Human and Social Sciences     Open Access   (Followers: 7)
Acta Universitatis Danubius. Œconomica     Open Access   (Followers: 3)
Acta Universitatis Nicolai Copernici Zarządzanie     Open Access   (Followers: 4)
AD-minister     Open Access   (Followers: 3)
Admisi dan Bisnis     Open Access  
ADR Bulletin     Open Access   (Followers: 5)
Advances in Developing Human Resources     Hybrid Journal   (Followers: 23)
Advances in Economics and Business     Open Access   (Followers: 13)
AfricaGrowth Agenda     Full-text available via subscription   (Followers: 1)
African Affairs     Hybrid Journal   (Followers: 65)
African Development Review     Hybrid Journal   (Followers: 36)
African Journal of Business and Economic Research     Full-text available via subscription   (Followers: 3)
African Journal of Business Ethics     Open Access   (Followers: 6)
African Review of Economics and Finance     Open Access   (Followers: 3)
Afro-Asian Journal of Finance and Accounting     Hybrid Journal   (Followers: 7)
Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi     Open Access   (Followers: 3)
Agronomy     Open Access   (Followers: 10)
Akademika : Journal of Southeast Asia Social Sciences and Humanities     Open Access   (Followers: 6)
Alphanumeric Journal : The Journal of Operations Research, Statistics, Econometrics and Management Information Systems     Open Access   (Followers: 5)
American Economic Journal : Applied Economics     Full-text available via subscription   (Followers: 173)
American Enterprise Institute     Free  
American Journal of Business     Hybrid Journal   (Followers: 17)
American Journal of Business and Management     Open Access   (Followers: 53)
American Journal of Business Education     Open Access   (Followers: 12)
American Journal of Economics and Business Administration     Open Access   (Followers: 26)
American Journal of Economics and Sociology     Hybrid Journal   (Followers: 30)
American Journal of Evaluation     Hybrid Journal   (Followers: 14)
American Journal of Finance and Accounting     Hybrid Journal   (Followers: 21)
American Journal of Health Economics     Full-text available via subscription   (Followers: 13)
American Journal of Industrial and Business Management     Open Access   (Followers: 23)
American Journal of Medical Quality     Hybrid Journal   (Followers: 7)
American Law and Economics Review     Hybrid Journal   (Followers: 27)
ANALES de la Universidad Central del Ecuador     Open Access   (Followers: 2)
Annales de l'Institut Henri Poincare (C) Non Linear Analysis     Full-text available via subscription   (Followers: 1)
Annals in Social Responsibility     Full-text available via subscription  
Annals of Finance     Hybrid Journal   (Followers: 29)
Annals of Operations Research     Hybrid Journal   (Followers: 10)
Annual Review of Economics     Full-text available via subscription   (Followers: 32)
Anuario Facultad de Ciencias Económicas y Empresariales     Open Access   (Followers: 2)
Applied Developmental Science     Hybrid Journal   (Followers: 3)
Applied Economics     Hybrid Journal   (Followers: 42)
Applied Economics Letters     Hybrid Journal   (Followers: 29)
Applied Economics Quarterly     Full-text available via subscription   (Followers: 9)
Applied Financial Economics     Hybrid Journal   (Followers: 24)
Applied Mathematical Finance     Hybrid Journal   (Followers: 8)
Applied Stochastic Models in Business and Industry     Hybrid Journal   (Followers: 6)
Arab Economic and Business Journal     Open Access   (Followers: 4)
Archives of Business Research     Open Access   (Followers: 6)
Arena Journal     Full-text available via subscription   (Followers: 1)
Argomenti. Rivista di economia, cultura e ricerca sociale     Open Access   (Followers: 3)
ASEAN Economic Bulletin     Full-text available via subscription   (Followers: 5)
Asia Pacific Business Review     Hybrid Journal   (Followers: 7)
Asia Pacific Journal of Human Resources     Hybrid Journal   (Followers: 323)
Asia Pacific Viewpoint     Hybrid Journal   (Followers: 1)
Asia-Pacific Journal of Business Administration     Hybrid Journal   (Followers: 5)
Asia-Pacific Journal of Operational Research     Hybrid Journal   (Followers: 3)
Asia-Pacific Management and Business Application     Open Access   (Followers: 1)
Asian Business Review     Open Access   (Followers: 3)
Asian Case Research Journal     Hybrid Journal   (Followers: 1)
Asian Development Review     Open Access   (Followers: 13)
Asian Economic Journal     Hybrid Journal   (Followers: 8)
Asian Economic Papers     Hybrid Journal   (Followers: 7)
Asian Economic Policy Review     Hybrid Journal   (Followers: 4)
Asian Journal of Accounting and Governance     Open Access   (Followers: 3)
Asian Journal of Business Ethics     Hybrid Journal   (Followers: 9)
Asian Journal of Social Sciences and Management Studies     Open Access   (Followers: 6)
Asian Journal of Sustainability and Social Responsibility     Open Access   (Followers: 1)
Asian Journal of Technology Innovation     Hybrid Journal   (Followers: 8)
Asian-pacific Economic Literature     Hybrid Journal   (Followers: 5)
AStA Wirtschafts- und Sozialstatistisches Archiv     Hybrid Journal   (Followers: 5)
ATA Journal of Legal Tax Research     Full-text available via subscription   (Followers: 4)
Atlantic Economic Journal     Hybrid Journal   (Followers: 11)
Australasian Journal of Regional Studies, The     Full-text available via subscription   (Followers: 1)
Australian Cottongrower, The     Full-text available via subscription   (Followers: 1)
Australian Economic Papers     Hybrid Journal   (Followers: 31)
Australian Economic Review     Hybrid Journal   (Followers: 4)
Australian Journal of Maritime and Ocean Affairs     Hybrid Journal   (Followers: 9)
Balkan Region Conference on Engineering and Business Education     Open Access   (Followers: 1)
Baltic Journal of Real Estate Economics and Construction Management     Open Access   (Followers: 2)
Banks in Insurance Report     Hybrid Journal   (Followers: 1)
BBR - Brazilian Business Review     Open Access   (Followers: 4)
Benchmarking : An International Journal     Hybrid Journal   (Followers: 10)
Benefit : Jurnal Manajemen dan Bisnis     Open Access   (Followers: 1)
BER : Consumer Confidence Survey     Full-text available via subscription   (Followers: 3)
BER : Economic Prospects : An Executive Summary     Full-text available via subscription  
BER : Economic Prospects : Full Survey     Full-text available via subscription   (Followers: 1)
BER : Intermediate Goods Industries Survey     Full-text available via subscription  
BER : Manufacturing Survey : Full Survey     Full-text available via subscription   (Followers: 1)
BER : Motor Trade Survey     Full-text available via subscription  
BER : Retail Sector Survey     Full-text available via subscription   (Followers: 1)
BER : Retail Survey : Full Survey     Full-text available via subscription   (Followers: 1)
BER : Survey of Business Conditions in Building and Construction : An Executive Summary     Full-text available via subscription   (Followers: 3)
BER : Survey of Business Conditions in Manufacturing : An Executive Summary     Full-text available via subscription   (Followers: 2)
BER : Survey of Business Conditions in Retail : An Executive Summary     Full-text available via subscription   (Followers: 3)
BER : Trends : Full Survey     Full-text available via subscription   (Followers: 1)
BER : Wholesale Sector Survey     Full-text available via subscription  
Berkeley Business Law Journal     Free   (Followers: 9)
Bio-based and Applied Economics     Open Access   (Followers: 1)
Biodegradation     Hybrid Journal   (Followers: 1)
Biology Direct     Open Access   (Followers: 7)
BizInfo (Blace) Journal of Economics, Management and Informatics     Open Access  
Black Enterprise     Full-text available via subscription  
Board & Administrator for Administrators only     Hybrid Journal  
Boletim Técnico do Senac     Open Access  
Border Crossing : Transnational Working Papers     Open Access   (Followers: 3)
Briefings in Real Estate Finance     Hybrid Journal   (Followers: 5)
British Journal of Industrial Relations     Hybrid Journal   (Followers: 36)
Brookings Papers on Economic Activity     Open Access   (Followers: 46)
Brookings Trade Forum     Full-text available via subscription   (Followers: 3)
BRQ Business Research Quarterly     Open Access   (Followers: 2)
Building Sustainable Legacies : The New Frontier Of Societal Value Co-Creation     Full-text available via subscription   (Followers: 1)
Bulletin of Economic Research     Hybrid Journal   (Followers: 17)
Bulletin of Geography. Socio-economic Series     Open Access   (Followers: 5)
Bulletin of Indonesian Economic Studies     Hybrid Journal   (Followers: 3)
Bulletin of the Dnipropetrovsk University. Series : Management of Innovations     Open Access   (Followers: 1)
Business & Entrepreneurship Journal     Open Access   (Followers: 19)
Business & Information Systems Engineering     Hybrid Journal   (Followers: 4)
Business & Society     Hybrid Journal   (Followers: 10)
Business : Theory and Practice / Verslas : Teorija ir Praktika     Open Access   (Followers: 1)
Business and Economic Research     Open Access   (Followers: 6)
Business and Management Horizons     Open Access   (Followers: 12)
Business and Management Research     Open Access   (Followers: 18)
Business and Management Studies     Open Access   (Followers: 11)
Business and Politics     Hybrid Journal   (Followers: 8)
Business and Professional Communication Quarterly     Hybrid Journal   (Followers: 7)
Business and Society Review     Hybrid Journal   (Followers: 5)
Business Economics     Hybrid Journal   (Followers: 9)
Business Ethics Quarterly     Full-text available via subscription   (Followers: 12)
Business Ethics: A European Review     Hybrid Journal   (Followers: 18)
Business Horizons     Hybrid Journal   (Followers: 7)
Business Information Review     Hybrid Journal   (Followers: 14)
Business Management and Strategy     Open Access   (Followers: 41)
Business Research     Hybrid Journal   (Followers: 2)
Business Strategy and the Environment     Hybrid Journal   (Followers: 13)
Business Strategy Review     Hybrid Journal   (Followers: 7)
Business Strategy Series     Hybrid Journal   (Followers: 6)
Business Systems & Economics     Open Access   (Followers: 2)
Business Systems Research Journal     Open Access   (Followers: 5)
Business, Management and Education     Open Access   (Followers: 17)
Business, Peace and Sustainable Development     Full-text available via subscription   (Followers: 3)
Bustan     Hybrid Journal  
Cadernos EBAPE.BR     Open Access   (Followers: 1)
Cambridge Journal of Economics     Hybrid Journal   (Followers: 61)
Cambridge Journal of Regions, Economy and Society     Hybrid Journal   (Followers: 9)
Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l Administration     Hybrid Journal   (Followers: 1)
Canadian Journal of Economics/Revue Canadienne d`Economique     Hybrid Journal   (Followers: 29)
Canadian journal of nonprofit and social economy research     Open Access   (Followers: 2)
Capitalism and Society     Hybrid Journal   (Followers: 2)
Capitalism Nature Socialism     Hybrid Journal   (Followers: 17)
Case Studies in Business and Management     Open Access   (Followers: 10)
CBU International Conference Proceedings     Open Access   (Followers: 2)
Central European Business Review     Open Access   (Followers: 1)
Central European Journal of Operations Research     Hybrid Journal   (Followers: 5)
Central European Journal of Public Policy     Open Access   (Followers: 2)
CESifo Economic Studies     Hybrid Journal   (Followers: 17)
Chain Reaction     Full-text available via subscription  
Challenge     Full-text available via subscription   (Followers: 4)
China & World Economy     Hybrid Journal   (Followers: 15)
China : An International Journal     Full-text available via subscription   (Followers: 19)
China Economic Journal: The Official Journal of the China Center for Economic Research (CCER) at Peking University     Hybrid Journal   (Followers: 13)
China Economic Review     Hybrid Journal   (Followers: 10)
China Finance Review International     Hybrid Journal   (Followers: 5)
China Nonprofit Review     Hybrid Journal   (Followers: 3)
China perspectives     Open Access   (Followers: 12)
Chinese Economy     Full-text available via subscription  
Ciência & Saúde Coletiva     Open Access   (Followers: 2)
CLIO América     Open Access   (Followers: 1)
Cliometrica     Hybrid Journal   (Followers: 4)
COEPTUM     Open Access  
Community Development Journal     Hybrid Journal   (Followers: 27)
Compensation & Benefits Review     Hybrid Journal   (Followers: 7)
Competition & Change     Hybrid Journal   (Followers: 11)
Competitive Intelligence Review     Hybrid Journal   (Followers: 2)
Competitiveness Review : An International Business Journal incorporating Journal of Global Competitiveness     Hybrid Journal   (Followers: 5)
Computational Economics     Hybrid Journal   (Followers: 9)
Computational Mathematics and Modeling     Hybrid Journal   (Followers: 8)
Computer Law & Security Review     Hybrid Journal   (Followers: 17)
Computers & Operations Research     Hybrid Journal   (Followers: 12)
Construction Innovation: Information, Process, Management     Hybrid Journal   (Followers: 14)
Contemporary Wales     Full-text available via subscription   (Followers: 1)
Contextus - Revista Contemporânea de Economia e Gestão     Open Access   (Followers: 1)
Contributions to Political Economy     Hybrid Journal   (Followers: 5)
Corporate Communications An International Journal     Hybrid Journal   (Followers: 7)
Corporate Philanthropy Report     Hybrid Journal   (Followers: 2)
Corporate Reputation Review     Hybrid Journal   (Followers: 5)
Creative and Knowledge Society     Open Access   (Followers: 8)
Creative Industries Journal     Hybrid Journal   (Followers: 8)
CRIS - Bulletin of the Centre for Research and Interdisciplinary Study     Open Access   (Followers: 1)
Crossing the Border : International Journal of Interdisciplinary Studies     Open Access   (Followers: 4)
Cuadernos de Administración (Universidad del Valle)     Open Access   (Followers: 2)
Cuadernos de Economía     Open Access   (Followers: 2)
Cuadernos de Economia - Latin American Journal of Economics     Open Access   (Followers: 2)
Cuadernos de Estudios Empresariales     Open Access   (Followers: 2)
Current Opinion in Creativity, Innovation and Entrepreneurship     Open Access   (Followers: 12)

        1 2 3 4 5 6 | Last

Journal Cover Computational Economics
  [SJR: 0.24]   [H-I: 30]   [9 followers]  Follow
   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 1572-9974 - ISSN (Online) 0927-7099
   Published by Springer-Verlag Homepage  [2349 journals]
  • Calibrating the Italian Smile with Time-Varying Volatility and
           Heavy-Tailed Models
    • Authors: Michele Leonardo Bianchi; Svetlozar T. Rachev; Frank J. Fabozzi
      Pages: 339 - 378
      Abstract: In this paper, we consider several time-varying volatility and/or heavy-tailed models to explain the dynamics of return time series and to fit the volatility smile for exchange-traded options where the underlying is the main Italian stock index. Given observed prices for the time period we investigate, we calibrate both continuous-time and discrete-time models. First, we estimate the models from a time-series perspective (i.e. under the historical probability measure) by investigating more than 10 years of daily index price log-returns. Then, we explore the risk-neutral measure by fitting the values of the implied volatility for numerous strikes and maturities during the highly volatile period from April 1, 2007 (prior to the subprime mortgage crisis in the US) to March 30, 2012. We assess the extent to which time-varying volatility and heavy-tailed distributions are needed to explain the behavior of the most important stock index of the Italian market.
      PubDate: 2018-03-01
      DOI: 10.1007/s10614-016-9599-7
      Issue No: Vol. 51, No. 3 (2018)
  • Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A
           Differential Quadrature Approach
    • Authors: Alessandro Andreoli; Luca Vincenzo Ballestra; Graziella Pacelli
      Pages: 379 - 406
      Abstract: We present a new numerical method for pricing credit default swaps under fully correlated multifactor reduced-form models. In particular, the proposed approach combines an implicit/explicit operator splitting procedure with the harmonic differential quadrature scheme, and is so efficient that it can be applied to models with up to six stochastic factors. This is a remarkable advantage, as we can use two factors to describe the interest rate, other two factors to describe the default probability, and other two factors to take into account, for example, the so-called counterparty risk. The performances of the novel method are demonstrated by extensive simulation, in which various kinds of models with four and six fully correlated factors are considered.
      PubDate: 2018-03-01
      DOI: 10.1007/s10614-016-9608-x
      Issue No: Vol. 51, No. 3 (2018)
  • A Discontinuity Model of Technological Change: Catastrophe Theory and
           Network Structure
    • Authors: Torsten Heinrich
      Pages: 407 - 425
      Abstract: Discontinuities as a crucial aspect of economic systems have been discussed both verbally—particularly in institutionality theory—and formally, chiefly using catastrophe theory. Catastrophe theory has, however, been criticized heavily for lacking micro-foundations and has mainly fallen out of use in economics and social sciences. The present paper proposes a simple catastrophe theory model of technological change with network externalities and reevaluates the value of such a model by adding an agent-based micro layer. To this end an agent-based variant of the model is proposed and investigated specifically with regard to the network structure among the agents. While the macro level of the model produces a classical cusp catastrophe—a result that is preserved in the agent-based form—it is found that the behavior of the model changes locally depending on the network structure, especially if networks with features that resemble social networks (low diameter, high clustering, power law distributed node degree) are considered. While the present work investigates merely an aspect out of a large possibility space, it encourages further research using agent-based catastrophe theory models especially of economic aspects to which catastrophe theory has previously successfully been applied; aspects such as technological and institutional change, economic crises, or industry structure.
      PubDate: 2018-03-01
      DOI: 10.1007/s10614-016-9609-9
      Issue No: Vol. 51, No. 3 (2018)
  • A Dynamic Model of Unemployment with Migration and Delayed Policy
    • Authors: Liliana Harding; Mihaela Neamţu
      Pages: 427 - 462
      Abstract: The purpose of this paper is to build and analyse a model of unemployment, where jobs search is open to both natives and migrant workers. Markets and government intervention respond jointly to unemployment when creating new jobs. Full employment of resources is the focal point of policy action, stimulating vacancy creation. We acknowledge that policy is implemented with delays, and capture labour market outcomes by building a non-linear dynamic system. We observe jobs separation and matching, and extend our model to an open economy with migration and delayed policy intervention meant to reduce unemployment. We analyse the stability behaviour of the resulting equilibrium for our dynamic system, including models with Dirac and weak kernels. We simulate our model with alternative scenarios, where policy action towards jobs creation considers both migration and unemployment, or just unemployment.
      PubDate: 2018-03-01
      DOI: 10.1007/s10614-016-9610-3
      Issue No: Vol. 51, No. 3 (2018)
  • Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid
    • Authors: Alexander Ludwig; Matthias Schön
      Pages: 463 - 492
      Abstract: This paper investigates extensions of the method of endogenous gridpoints (ENDGM) introduced by Carroll (Econ Lett 91(3):312–320, 2006) to higher dimensions with more than one continuous endogenous state variable. We compare three different categories of algorithms: (i) the conventional method with exogenous grids (EXOGM), (ii) the pure method of endogenous gridpoints (ENDGM) and (iii) a hybrid method (HYBGM). ENDGM comes along with Delaunay interpolation on irregular grids. Comparison of methods is done by evaluating speed and accuracy by using a specific model with two endogenous state variables. We find that HYBGM and ENDGM both dominate EXOGM. In an infinite horizon model, ENDGM also always dominates HYBGM. In a finite horizon model, the choice between HYBGM and ENDGM depends on the number of gridpoints in each dimension. With less than 150 gridpoints in each dimension ENDGM is faster than HYBGM, and vice versa. For a standard choice of 25–50 gridpoints in each dimension, ENDGM is 1.4–1.7 times faster than HYBGM in the finite horizon version and 2.4–2.5 times faster in the infinite horizon version of the model.
      PubDate: 2018-03-01
      DOI: 10.1007/s10614-016-9611-2
      Issue No: Vol. 51, No. 3 (2018)
  • Agent-Based Simulation and Microstructure Modeling of Immature Stock
    • Authors: Hazem Krichene; Mhamed-Ali El-Aroui
      Pages: 493 - 511
      Abstract: This work presents an artificial order-driven market able to reproduce mature and immature stock markets properties in the case of a single traded asset. This agent-based artificial market is designed to simulate characteristics of immature stock markets (high risk and low efficiency) by reproducing their stylized facts related mainly to information asymmetry and herd behavior. These two properties are modeled by combining social network and multi-agent simulations. The constructed scale-free social network, linking the modeled investors, gives rise to both informed and uninformed agents communities. Different assortative topologies are proposed and linked to different degrees of information asymmetry and market maturities. Several simulation experiments show that the modeled information asymmetry and herd behavior succeed in reproducing artificially some important stylized facts characterizing differences between immature and mature stock markets.
      PubDate: 2018-03-01
      DOI: 10.1007/s10614-016-9615-y
      Issue No: Vol. 51, No. 3 (2018)
  • Advantages of an Ellipse when Modeling Leisure Utility
    • Authors: Richard W. Evans; Kerk L. Phillips
      Pages: 513 - 533
      Abstract: This paper characterizes a specification for the utility of leisure that is based on the general equation for an ellipse. We show that this functional form has multiple benefits. The elliptical utility function provides Inada conditions at both the upper-bound and lower-bound constraints on labor supply, which is not the case for the two most common alternative functions. The presence of these two Inada conditions in the elliptical utility of leisure specification speeds up the computation by a factor between three and six times. We further show that the elliptical utility of leisure function is a close approximation to the constant relative risk aversion and constant Frisch elasticity functions in terms of marginal utilities, microeconomic outcomes in a life cycle model, and macroeconomic outcomes in a simple real business cycle model.
      PubDate: 2018-03-01
      DOI: 10.1007/s10614-016-9619-7
      Issue No: Vol. 51, No. 3 (2018)
  • Estimating Dynamic Binary Panel Data Model with Random Effects: A
           Computational Note
    • Authors: Gang Yu; Wei Gao; Weiguo Wang; Shaoping Wang
      Pages: 535 - 539
      Abstract: Recently, Gao et al. (J Time Ser Anal, 2016 doi: 10.1111/jtsa.12178) propose a new estimation method for dynamic panel probit model with random effects, where the theoretical properties of estimator are derived. In this paper, we extend their estimation method to the \(T\ge 3\) case, and some Monte Carlo simulations are presented to illustrate the extended estimator.
      PubDate: 2018-03-01
      DOI: 10.1007/s10614-016-9620-1
      Issue No: Vol. 51, No. 3 (2018)
  • Pollution Control with Time-Varying Model Mistrust of the Stock Dynamics
    • Authors: Fidel Gonzalez
      Pages: 541 - 569
      Abstract: I develop a framework to analyze the robust emissions tax policy for a stock pollutant when the environmental authority is not fully confident about its estimated model of pollution dynamics and, in contrast to previous research, the degree of model mistrust may change over time. I characterize the effect of time-varying model mistrust on emission taxes, pollution stocks and welfare. The general results of this paper show that introducing the possibility of a time-varying degree of model mistrust produces different emission taxes, abatement and welfare compared to the traditional assumption of a time-fixed model mistrust. This result holds even if the probability that the model mistrust may change in the future is small. If the environmental authority expects that the model uncertainty may decrease in the future then current emissions taxes should also decrease. Conversely, if the model mistrust may increase in the future then an active approach compatible with the Precautionary Principle is optimal and current emissions taxes should also increase.
      PubDate: 2018-03-01
      DOI: 10.1007/s10614-016-9622-z
      Issue No: Vol. 51, No. 3 (2018)
  • A New Vision of Classical Multi-regional Input–Output Models
    • Authors: George E. Halkos; Kyriaki D. Tsilika
      Pages: 571 - 594
      Abstract: We present classical multi-regional multi-sectoral input–output trade structures from the perspective of networks. Unlike existing approaches by which dynamic changes in structures are studied, here, emphasis is given on recovering the stable structure architecture of interrelations in the input–output model. By self-explanatory visual outputs we display the connectivity patterns, interactions of the trading partners, the number of trade linkages per trader and the density of interrelations of the network. Our network analysis traces causal relationships, feedback loops and examines certain global structural properties. The whole computational approach is implemented in Mathematica. Our programming style allows for the creation of iterative schemes explaining the the linkage development among sectors, the influence of regions and sectors system-wise, aspects of the nature of trade and, the evolution of spatial trading/production cycles in growing trading networks.
      PubDate: 2018-03-01
      DOI: 10.1007/s10614-016-9624-x
      Issue No: Vol. 51, No. 3 (2018)
  • An Integrated Matching-Immunization Model for Bond Portfolio Optimization
    • Authors: P. Xidonas; C. Hassapis; G. Bouzianis; C. Staikouras
      Pages: 595 - 605
      Abstract: We propose an integrated bond portfolio optimization model based on the popular cash-flow matching and immunization strategies. The underlying mathematical program, not only minimizes the initial required capital for the creation of the least cost bond portfolio, satisfying the connected series of liabilities, but also handles the uncertainty of parallel and symmetric shifts on the term structure of short rates. Moreover, a complete investment policy statement regarding the bond portfolio’s structure, the level of diversification, the amount of transaction costs and the lot sizes, is precisely formulated. We verify the validity of the proposed approach through an illustrative empirical testing application, using a well-diversified investment universe of US and European corporate bonds, as well as international sovereign bonds. The qualitative and technical conclusions we report, document the model’s effectiveness and usability.
      PubDate: 2018-03-01
      DOI: 10.1007/s10614-016-9626-8
      Issue No: Vol. 51, No. 3 (2018)
  • Correlation Structure and Evolution of World Stock Markets: Evidence from
           Pearson and Partial Correlation-Based Networks
    • Authors: Gang-Jin Wang; Chi Xie; H. Eugene Stanley
      Pages: 607 - 635
      Abstract: We construct a Pearson correlation-based network and a partial correlation-based network, i.e., two minimum spanning trees (MST-Pearson and MST-Partial), to analyze the correlation structure and evolution of world stock markets. We propose a new method for constructing the MST-Partial. We use daily price indices of 57 stock markets from 2005 to 2014 and find (i) that the distributions of the Pearson correlation coefficient and the partial correlation coefficient differ completely, which implies that the correlation between pairs of stock markets is greatly affected by other markets, and (ii) that both MSTs are scale-free networks and that the MST-Pearson network is more compact than the MST-Partial. Depending on the geographical locations of the stock markets, two large clusters (i.e., European and Asia-Pacific) are formed in the MST-Pearson, but in the MST-Partial the European cluster splits into two subgroups bridged by the American cluster with the USA at its center. We also find (iii) that the centrality structure indicates that outcomes obtained from the MST-Partial are more reasonable and useful than those from the MST-Pearson, e.g., in the MST-Partial, markets of the USA, Germany, and Japan clearly serve as hubs or connectors in world stock markets, (iv) that during the 2008 financial crisis the time-varying topological measures of the two MSTs formed a valley, implying that during a crisis stock markets are tightly correlated and information (e.g., about price fluctuations) is transmitted quickly, and (v) that the presence of multi-step survival ratios indicates that network stability decreases as step length increases. From these findings we conclude that the MST-Partial is an effective new tool for use by international investors and hedge-fund operators.
      PubDate: 2018-03-01
      DOI: 10.1007/s10614-016-9627-7
      Issue No: Vol. 51, No. 3 (2018)
  • A Semi-Parametric Non-linear Neural Network Filter: Theory and Empirical
    • Authors: Panayotis G. Michaelides; Efthymios G. Tsionas; Angelos T. Vouldis; Konstantinos N. Konstantakis; Panagiotis Patrinos
      Pages: 637 - 675
      Abstract: In this work, we decompose a time series into trend and cycle by introducing a novel de-trending approach based on a family of semi-parametric artificial neural networks. Based on this powerful approach, we propose a relevant filter and show that the proposed trend specification is a global approximation to any arbitrary trend. Furthermore, we prove formally a famous claim by Kydland and Prescott (1981, 1997) that over long time periods, the average value of the cycles is zero. A simple procedure for the econometric estimation of the model is developed as a seven-step algorithm, which relies on standard techniques, where all relevant measures may be computed routinely. Next, using relevant DGPs, we compare and show by means of Monte Carlo simulations that our approach is superior to Hodrick–Prescott (HP) and Baxter and King (BK) regarding the generated distortionary effects and the ability to operate in various frequencies, including changes in volatility, amplitudes and phase. In fact, while keeping the structure of the model relatively simple, our approach is perfectly capable of addressing the case of stochastic trend, in the sense that the generated distortionary effects in the near unit root case are minimal and, by all means, considerably fewer than those generated by HP and BK. Application to EU15 business cycles clustering is presented and the empirical results are consistent with the rigorous theoretical framework developed in this work.
      PubDate: 2018-03-01
      DOI: 10.1007/s10614-016-9628-6
      Issue No: Vol. 51, No. 3 (2018)
  • Computing Transitional Cycles for a Deterministic Time-to-Build Growth
    • Authors: Hwan C. Lin
      Pages: 677 - 696
      Abstract: Capital investment requires a gestation lag for being productive. This time-to-build feature can lead to an autonomous system of mixed-type functional differential equations (FDEs), causing aggregate fluctuations for a deterministic economy. We present a continuation method to solve a system of mixed FDEs by solving a sequence of boundary value problems for systems of ordinary differential equations (ODEs). Unlike other iteration techniques, this method can avoid the need to predetermine both forward-looking and backward-looking difference terms. The strategy is to form a homotopy that can deform a simpler ODE system into a target FDE system, while treating the deformation process as a sequence of ODEs. We can thereby compute oscillatory cycles for a time-to-build economy while it is in transition to the steady state.
      PubDate: 2018-03-01
      DOI: 10.1007/s10614-016-9633-9
      Issue No: Vol. 51, No. 3 (2018)
  • Erratum to: Computing Transitional Cycles for a Deterministic
           Time-to-Build Growth Model
    • Authors: Hwan C. Lin
      Pages: 697 - 697
      PubDate: 2018-03-01
      DOI: 10.1007/s10614-017-9710-8
      Issue No: Vol. 51, No. 3 (2018)
  • On the Stochastic Sensitivity and Noise-Induced Transitions of a
           Kaldor-Type Business Cycle Model
    • Authors: Irina Bashkirtseva; Davide Radi; Lev Ryashko; Tatyana Ryazanova
      Pages: 699 - 718
      Abstract: In the paper, we consider a Kaldor-type model of the business cycle with external additive and internal parametric disturbances. We study analytically and numerically the probability properties of stochastically forced equilibria and limit cycles via stochastic sensitivity function technique. In particular, we discuss the effects of additive and parametric noises on the economic variables and we detect some stochastic bifurcations such as a P-bifurcation, i.e a phenomenon of noise-induced transition from monostability to bistability. This stochastic bistability causes a new trigger regime in economic dynamics.
      PubDate: 2018-03-01
      DOI: 10.1007/s10614-016-9634-8
      Issue No: Vol. 51, No. 3 (2018)
  • Conditional Versus Unconditional Utility as Welfare Criterion: Two
    • Authors: Jinill Kim; Sunghyun Kim
      Pages: 719 - 730
      Abstract: This paper provides two illustrative examples on how a choice of social welfare criterion (conditional vs. unconditional utility) can generate different welfare implications. The first example is based on the standard linear-quadratic permanent income model, and the other example uses a simple two-country DSGE model under autarky and under complete markets. When the conditional welfare criterion is used—with the social discount factor set at the private discount factor—we obtain the well-known results that the government should not intervene when there are no market imperfections and that complete markets generate risk sharing gains over autarky. In contrast, using an unconditional welfare criterion—which effectively implies that the social discount factor is set to unity—can generate unconventional welfare results.
      PubDate: 2018-03-01
      DOI: 10.1007/s10614-016-9635-7
      Issue No: Vol. 51, No. 3 (2018)
  • Mean-Extended Gini Portfolios: A 3D Efficient Frontier
    • Authors: Frank Hespeler; Haim Shalit
      Pages: 731 - 740
      Abstract: Using a numerical optimization technique we construct the mean-extended Gini (MEG) efficient frontier as a workable alternative to the mean-variance efficient frontier. MEG enables the introduction of specific risk aversion into portfolio selection. The resulting portfolios are stochastically dominant for all risk-averse investors. Solving for MEG portfolios allows investors to tailor portfolios for specific risk aversion. The extended Gini is calculated by the covariance of asset returns with a weighing function of the cumulative distribution function (CDF) of these returns. In a sample of asset returns, the CDF is estimated by ranking returns. In this case, analytical optimization techniques using continuous gradient approaches are unavailable, thus the need to develop numerical optimization techniques. In this paper we develop a numerical optimization algorithm that finds the portfolio optimal frontier for arbitrarily large sets of shares. The result is a 3-dimension MEG efficient frontier in the space formed by mean, the extended Gini, and the risk aversion coefficient.
      PubDate: 2018-03-01
      DOI: 10.1007/s10614-016-9636-6
      Issue No: Vol. 51, No. 3 (2018)
  • Erratum to: ABATE: A New Tool to Produce Marginal Abatement Cost Curves
    • Authors: Oswald Marinoni; Martijn van Grieken
      Pages: 741 - 741
      PubDate: 2018-03-01
      DOI: 10.1007/s10614-016-9602-3
      Issue No: Vol. 51, No. 3 (2018)
  • Human and Machine Learning
    • Authors: Ying-Fang Kao; Ragupathy Venkatachalam
      Abstract: In this paper, we consider learning by human beings and machines in the light of Herbert Simon’s pioneering contributions to the theory of Human Problem Solving. Using board games of perfect information as a paradigm, we explore differences in human and machine learning in complex strategic environments. In doing so, we contrast theories of learning in classical game theory with computational game theory proposed by Simon. Among theories that invoke computation, we make a further distinction between computable and computational or machine learning theories. We argue that the modern machine learning algorithms, although impressive in terms of their performance, do not necessarily shed enough light on human learning. Instead, they seem to take us further away from Simon’s lifelong quest to understand the mechanics of actual human behaviour.
      PubDate: 2018-02-21
      DOI: 10.1007/s10614-018-9803-z
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Heriot-Watt University
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