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  Subjects -> BUSINESS AND ECONOMICS (Total: 3120 journals)
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BUSINESS AND ECONOMICS (1155 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: 9)
Abacus     Hybrid Journal   (Followers: 12)
Accounting Forum     Hybrid Journal   (Followers: 24)
Acta Amazonica     Open Access   (Followers: 3)
Acta Commercii     Open Access   (Followers: 2)
Acta Oeconomica     Full-text available via subscription   (Followers: 2)
Acta Scientiarum. Human and Social Sciences     Open Access   (Followers: 4)
Acta Universitatis Danubius. Œconomica     Open Access   (Followers: 1)
Acta Universitatis Nicolai Copernici Zarządzanie     Open Access   (Followers: 3)
AD-minister     Open Access   (Followers: 2)
ADR Bulletin     Open Access   (Followers: 5)
Advances in Developing Human Resources     Hybrid Journal   (Followers: 21)
Advances in Economics and Business     Open Access   (Followers: 11)
AfricaGrowth Agenda     Full-text available via subscription   (Followers: 1)
African Affairs     Hybrid Journal   (Followers: 60)
African Development Review     Hybrid Journal   (Followers: 35)
African Journal of Business and Economic Research     Full-text available via subscription   (Followers: 1)
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: 11)
Akademika : Journal of Southeast Asia Social Sciences and Humanities     Open Access   (Followers: 4)
Alphanumeric Journal : The Journal of Operations Research, Statistics, Econometrics and Management Information Systems     Open Access   (Followers: 4)
American Economic Journal : Applied Economics     Full-text available via subscription   (Followers: 144)
American Journal of Business     Hybrid Journal   (Followers: 15)
American Journal of Business and Management     Open Access   (Followers: 53)
American Journal of Business Education     Open Access   (Followers: 10)
American Journal of Economics and Business Administration     Open Access   (Followers: 26)
American Journal of Economics and Sociology     Hybrid Journal   (Followers: 27)
American Journal of Evaluation     Hybrid Journal   (Followers: 13)
American Journal of Finance and Accounting     Hybrid Journal   (Followers: 19)
American Journal of Health Economics     Full-text available via subscription   (Followers: 12)
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: 25)
ANALES de la Universidad Central del Ecuador     Open Access   (Followers: 1)
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: 28)
Annals of Operations Research     Hybrid Journal   (Followers: 8)
Annual Review of Economics     Full-text available via subscription   (Followers: 30)
Applied Developmental Science     Hybrid Journal   (Followers: 3)
Applied Economics     Hybrid Journal   (Followers: 48)
Applied Economics Letters     Hybrid Journal   (Followers: 29)
Applied Economics Quarterly     Full-text available via subscription   (Followers: 10)
Applied Financial Economics     Hybrid Journal   (Followers: 23)
Applied Mathematical Finance     Hybrid Journal   (Followers: 7)
Applied Stochastic Models in Business and Industry     Hybrid Journal   (Followers: 5)
Arab Economic and Business Journal     Open Access   (Followers: 3)
Archives of Business Research     Open Access   (Followers: 5)
Arena Journal     Full-text available via subscription   (Followers: 1)
Argomenti. Rivista di economia, cultura e ricerca sociale     Open Access   (Followers: 2)
ASEAN Economic Bulletin     Full-text available via subscription   (Followers: 5)
Asia Pacific Business Review     Hybrid Journal   (Followers: 5)
Asia Pacific Journal of Human Resources     Hybrid Journal   (Followers: 312)
Asia Pacific Viewpoint     Hybrid Journal   (Followers: 1)
Asia-Pacific Journal of Business Administration     Hybrid Journal   (Followers: 3)
Asia-Pacific Journal of Operational Research     Hybrid Journal   (Followers: 3)
Asia-Pacific Management and Business Application     Open Access  
Asian Business Review     Open Access   (Followers: 2)
Asian Case Research Journal     Hybrid Journal   (Followers: 1)
Asian Development Review     Open Access   (Followers: 14)
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: 4)
Asian Journal of Business Ethics     Hybrid Journal   (Followers: 7)
Asian Journal of Social Sciences and Management Studies     Open Access   (Followers: 7)
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)
Atlantic Economic Journal     Hybrid Journal   (Followers: 15)
Australasian Journal of Regional Studies, The     Full-text available via subscription   (Followers: 2)
Australian Cottongrower, The     Full-text available via subscription   (Followers: 1)
Australian Economic Papers     Hybrid Journal   (Followers: 27)
Australian Economic Review     Hybrid Journal   (Followers: 6)
Australian Journal of Maritime and Ocean Affairs     Hybrid Journal   (Followers: 10)
Balkan Region Conference on Engineering and Business Education     Open Access   (Followers: 1)
Baltic Journal of Real Estate Economics and Construction Management     Open Access   (Followers: 1)
Banks in Insurance Report     Hybrid Journal   (Followers: 1)
BBR - Brazilian Business Review     Open Access   (Followers: 4)
Benchmarking : An International Journal     Hybrid Journal   (Followers: 11)
Benefit : Jurnal Manajemen dan Bisnis     Open Access  
BER : Consumer Confidence Survey     Full-text available via subscription   (Followers: 4)
BER : Economic Prospects : An Executive Summary     Full-text available via subscription  
BER : Economic Prospects : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Intermediate Goods Industries Survey     Full-text available via subscription   (Followers: 1)
BER : Manufacturing Survey : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Motor Trade Survey     Full-text available via subscription   (Followers: 1)
BER : Retail Sector Survey     Full-text available via subscription   (Followers: 2)
BER : Retail Survey : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Survey of Business Conditions in Building and Construction : An Executive Summary     Full-text available via subscription   (Followers: 4)
BER : Survey of Business Conditions in Manufacturing : An Executive Summary     Full-text available via subscription   (Followers: 3)
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: 2)
BER : Wholesale Sector Survey     Full-text available via subscription   (Followers: 1)
Berkeley Business Law Journal     Free   (Followers: 10)
Bio-based and Applied Economics     Open Access   (Followers: 1)
Biodegradation     Hybrid Journal   (Followers: 1)
Biology Direct     Open Access   (Followers: 7)
Black Enterprise     Full-text available via subscription  
Board & Administrator for Administrators only     Hybrid Journal  
Border Crossing : Transnational Working Papers     Open Access   (Followers: 2)
Briefings in Real Estate Finance     Hybrid Journal   (Followers: 5)
British Journal of Industrial Relations     Hybrid Journal   (Followers: 34)
Brookings Papers on Economic Activity     Open Access   (Followers: 48)
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: 7)
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: 18)
Business & Information Systems Engineering     Hybrid Journal   (Followers: 5)
Business & Society     Hybrid Journal   (Followers: 9)
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: 17)
Business and Management Studies     Open Access   (Followers: 9)
Business and Politics     Hybrid Journal   (Followers: 6)
Business and Professional Communication Quarterly     Hybrid Journal   (Followers: 7)
Business and Society Review     Hybrid Journal   (Followers: 5)
Business Economics     Hybrid Journal   (Followers: 6)
Business Ethics: A European Review     Hybrid Journal   (Followers: 16)
Business Horizons     Hybrid Journal   (Followers: 9)
Business Information Review     Hybrid Journal   (Followers: 14)
Business Management and Strategy     Open Access   (Followers: 42)
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: 18)
Business, Peace and Sustainable Development     Full-text available via subscription   (Followers: 3)
Bustan     Hybrid Journal   (Followers: 1)
Cadernos EBAPE.BR     Open Access   (Followers: 1)
Cambridge Journal of Economics     Hybrid Journal   (Followers: 58)
Cambridge Journal of Regions, Economy and Society     Hybrid Journal   (Followers: 11)
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: 28)
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: 12)
Case Studies in Business and Management     Open Access   (Followers: 8)
CBU International Conference Proceedings     Open Access   (Followers: 1)
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: 16)
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: 16)
China Economic Journal: The Official Journal of the China Center for Economic Research (CCER) at Peking University     Hybrid Journal   (Followers: 11)
China Economic Review     Hybrid Journal   (Followers: 9)
China Finance Review International     Hybrid Journal   (Followers: 5)
China Nonprofit Review     Hybrid Journal   (Followers: 3)
China perspectives     Open Access   (Followers: 11)
Chinese Economy     Full-text available via subscription  
Ciência & Saúde Coletiva     Open Access   (Followers: 2)
CLIO América     Open Access   (Followers: 1)
Cliometrica     Hybrid Journal   (Followers: 2)
COEPTUM     Open Access  
Community Development Journal     Hybrid Journal   (Followers: 24)
Compensation & Benefits Review     Hybrid Journal   (Followers: 7)
Competition & Change     Hybrid Journal   (Followers: 10)
Competitive Intelligence Review     Hybrid Journal   (Followers: 2)
Competitiveness Review : An International Business Journal incorporating Journal of Global Competitiveness     Hybrid Journal   (Followers: 6)
Computational Economics     Hybrid Journal   (Followers: 9)
Computational Mathematics and Modeling     Hybrid Journal   (Followers: 8)
Computer Law & Security Review     Hybrid Journal   (Followers: 16)
Computers & Operations Research     Hybrid Journal   (Followers: 10)
Construction Innovation: Information, Process, Management     Hybrid Journal   (Followers: 14)
Contemporary Wales     Full-text available via subscription   (Followers: 3)
Contextus - Revista Contemporânea de Economia e Gestão     Open Access   (Followers: 1)
Contributions to Political Economy     Hybrid Journal   (Followers: 6)
Corporate Communications An International Journal     Hybrid Journal   (Followers: 6)
Corporate Philanthropy Report     Hybrid Journal   (Followers: 2)
Corporate Reputation Review     Hybrid Journal   (Followers: 4)
Creative and Knowledge Society     Open Access   (Followers: 10)
Creative Industries Journal     Hybrid Journal   (Followers: 9)
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: 1)
Cuadernos de Economía     Open Access   (Followers: 1)
Cuadernos de Economia - Latin American Journal of Economics     Open Access   (Followers: 1)
Cuadernos de Estudios Empresariales     Open Access   (Followers: 1)
Current Opinion in Creativity, Innovation and Entrepreneurship     Open Access   (Followers: 8)
De Economist     Hybrid Journal   (Followers: 12)
Decision Analysis     Full-text available via subscription   (Followers: 8)
Decision Sciences     Hybrid Journal   (Followers: 16)
Decision Support Systems     Hybrid Journal   (Followers: 15)
Defence and Peace Economics     Hybrid Journal   (Followers: 16)
der markt     Hybrid Journal   (Followers: 1)
Desenvolvimento em Questão     Open Access  

        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  [2353 journals]
  • Bayesian Analysis of Power-Transformed and Threshold GARCH Models: A
           Griddy-Gibbs Sampler Approach
    • Authors: Qiang Xia; Heung Wong; Jinshan Liu; Rubing Liang
      Pages: 353 - 372
      Abstract: Abstract In this paper, we propose a Griddy-Gibbs sampler approach to estimate parameters and forecast volatilities for the power transformed and threshold GARCH (PTTGARCH; Pan et al. in J Econ 142:352–378, 2008) model, which includes the standard GARCH model and many other commonly used models as special cases. Simulation study indicates that the Bayesian scheme performs effectively in estimation and prediction. A real data example is presented to support our proposed Bayesian method.
      PubDate: 2017-10-01
      DOI: 10.1007/s10614-016-9588-x
      Issue No: Vol. 50, No. 3 (2017)
  • A New Method For Dynamic Stock Clustering Based On Spectral Analysis
    • Authors: Zhaoyuan Li; Maozai Tian
      Pages: 373 - 392
      Abstract: Abstract In this paper, we propose a new method to classify the stock cluster based on the motions of stock returns. Specifically, there are three criteria: (1) The positive or negative signs of elements in the eigenvector of correlation matrix indicate the response direction of individual stocks. (2) The components are included based on the sequence of corresponding eigenvalue magnitudes from large to small. (3) All the elements in the cluster representing individual stocks should have same signs across the components included in the classification process. With the number of vectors included in the process increasing, a speed-up process for cluster number is identified. We interpret this phenomenon as a phase transition from a state dominated by meaningful information to one dominated by trivial information. And a critical point exists in this process. The sizes of clusters near this critical point can be regarded as a power law distribution. The critical exponent evolvement indicates structure of the market. The vector number at this point can be adopted to classify the stock clusters. We analyze the cross-correlation matrices of stock logarithm returns of both China and US stock market for the period from January 4, 2005 to December 31, 2010. The period includes the anomalies time of financial crisis. The number of clusters in financial and technology sectors is further examined to reveal the varying feather of traditional industries. Distinct patterns of industrial differentiation between China and US have been found according to our study.
      PubDate: 2017-10-01
      DOI: 10.1007/s10614-016-9589-9
      Issue No: Vol. 50, No. 3 (2017)
  • Cowboying Stock Market Herds with Robot Traders
    • Authors: Jaqueson K. Galimberti; Nicolas Suhadolnik; Sergio Da Silva
      Pages: 393 - 423
      Abstract: Abstract One explanation for large stock market fluctuations is its tendency to herd behavior. We put forward an agent-based model where instabilities are the result of liquidity imbalances amplified by local interactions through imitation, and calibrate the model to match some key statistics of actual daily returns. We show that an “aggregate market-maker” type of liquidity injection is not successful in stabilizing prices due to the complex nature of the stock market. To offset liquidity shortages, we propose the use of locally triggered contrarian rules, and show that these mechanisms are effective in preventing extreme returns in our artificial stock market.
      PubDate: 2017-10-01
      DOI: 10.1007/s10614-016-9591-2
      Issue No: Vol. 50, No. 3 (2017)
  • Can Minorities Escape Wage Discrimination by Forming Firms'
    • Authors: James Fain
      Pages: 425 - 445
      Abstract: Abstract The persistence of wage discrimination raises a number of questions, including the following: if majority-owned firms continue to discriminate against minority workers, is it possible for the minority workers to escape that discrimination by forming a firm' Non-discriminating minority firms could then provide a refuge for other minority workers. In Becker’s classic treatment of discrimination by firms he posits a variation of this idea. He suggests that if the number of jobs at non-discriminating firms is greater than the number of minority workers, then these minority workers will all find their way to and be employed by the non-discriminating firms. In this paper I employ simulations to examine the extent to which minority workers can successfully find employment at non-discriminating minority firms in the presence of labor market frictions. These simulations also demonstrate the importance of access to capital for minority entrepreneurs.
      PubDate: 2017-10-01
      DOI: 10.1007/s10614-016-9592-1
      Issue No: Vol. 50, No. 3 (2017)
  • Performance of Tail Hedged Portfolio with Third Moment Variation Swap
    • Authors: Kyungsub Lee; Byoung Ki Seo
      Pages: 447 - 471
      Abstract: Abstract The third moment variation of a financial asset return process is defined by the quadratic covariation between the return and square return processes. The skew and fat tail risk of an underlying asset can be hedged using a third moment variation swap under which a predetermined fixed leg and the floating leg of the realized third moment variation are exchanged. The probability density function of the hedged portfolio with the third moment variation swap was examined using a partial differential equation approach. An alternating direction implicit method was used for numerical analysis of the partial differential equation. Under the stochastic volatility and jump diffusion stochastic volatility models, the distributions of the hedged portfolio return are symmetric and have more Gaussian-like thin-tails.
      PubDate: 2017-10-01
      DOI: 10.1007/s10614-016-9593-0
      Issue No: Vol. 50, No. 3 (2017)
  • An Econometric Analysis of Insurance Markets with Separate Identification
           for Moral Hazard and Selection Problems
    • Authors: Shinya Sugawara; Yasuhiro Omori
      Pages: 473 - 502
      Abstract: Abstract This paper proposes a simple microeconometric framework that can separately identify moral hazard and selection problems in insurance markets. Our econometric model is equivalent to the approach that is utilized for entry game analyses. We employ a Bayesian estimation approach to handle a partial identification problem. We also propose a statistical model selection method to detect an information structure that consumers face. Our method is applied to the dental insurance market in the United States. In this market, we find not only standard moral hazard but also advantageous selection, which has an intuitive interpretation in the context of dental insurance.
      PubDate: 2017-10-01
      DOI: 10.1007/s10614-016-9594-z
      Issue No: Vol. 50, No. 3 (2017)
  • A Generalized Singular Value Decomposition Strategy for Estimating the
           Block Recursive Simultaneous Equations Model
    • Authors: Mircea I. Cosbuc; Cristian Gatu; Ana Colubi; Erricos John Kontoghiorghes
      Pages: 503 - 515
      Abstract: Abstract A new strategy for deriving the three-stage least squares (3SLS) estimator of the simultaneous equations model (SEM) is proposed. The main numerical tool employed is the generalized singular value decomposition. This provides a numerical estimation procedure which can tackle efficiently the particular case when the variance-covariance matrix is singular. The proposed algorithm is further adapted to deal with the special case of the block-recursive SEM. The block diagonal structure of the variance-covariance matrix is exploited in order to reduce significantly the computational burden. Experimental results are presented to illustrate the computational efficiency of the new estimation strategy when compared with the equivalent method that ignores the block-recursive structure of the SEM.
      PubDate: 2017-10-01
      DOI: 10.1007/s10614-016-9595-y
      Issue No: Vol. 50, No. 3 (2017)
  • Uncertain Potential Output and Simple Rules in Small Open Economy
    • Authors: Guido Traficante
      Pages: 517 - 531
      Abstract: Abstract This paper analyzes the implications of incomplete information for the conduct of monetary policy in small-open economy. I use a standard theoretical DSGE model to evaluate the performance of simple rules, including the exchange rate peg. Incomplete information is modeled assuming that the central bank and the private sector observe domestic inflation and output with a measurement error, while they do not observe potential output. I show that not reacting to the exchange rate yields better outcomes in terms of a standard loss function. For the case of complete information and incomplete information, I quantify for which parameter configuration a Taylor rule reacting to both the exchange rate and the domestic inflation rate yields a higher loss than the fixed exchange rate regime.
      PubDate: 2017-10-01
      DOI: 10.1007/s10614-016-9601-4
      Issue No: Vol. 50, No. 3 (2017)
  • On Optimal Pricing Model for Multiple Dealers in a Competitive Market
    • Authors: Qing-Qing Yang; Jia-Wen Gu; Wai-Ki Ching; Tak-Kuen Siu
      Abstract: Abstract In this paper, the optimal pricing strategy in Avellande and Stoikov (Quant. Finance 8:217–224, 2008) for a monopolistic dealer is extended to a general situation where multiple dealers are present in a competitive market. The dealers’ trading intensities, their optimal bid and ask prices and therefore their spreads are derived when the dealers are informed the severity of the competition. The effects of various parameters on the bid-ask quotes and profits of the dealers in the competitive market are also discussed. This study gives some insights on the average spread, profits of the dealers in the competitive trading environment.
      PubDate: 2017-09-20
      DOI: 10.1007/s10614-017-9749-6
  • Opinion Formation with Imperfect Agents as an Evolutionary Process
    • Authors: Matjaž Steinbacher; Mitja Steinbacher
      Abstract: Abstract We develop and simulate an interaction-based model of continuous opinion formation under bounded confidence to identify conditions and understand circumstances that lead a society into either a consensus, multiple opinion classes or perpetual opinion dynamics. The society is modeled as a social network and random meetings are presumed. When only regular agents are present, we have shown that the small world networks may bring the society very close to consensus for even small threshold levels, but require higher tolerance than the complete network to reach consensus. We have identified the conditions under which the process with stubborn agents generates long-run consensus, permanent disagreement or permanent fluctuation in opinions. There cannot be a persistent fluctuation in opinions in the environment of regular agents nor in the presence of a single group of stubborn agents. In the runs with a single group of stubborn extremists, we have identified the Popper paradox despite the existence of a tolerance span in which the proportion of extremism decreases as the tolerance level increases. Further, in a highly tolerant society with two competing extremist groups, they have no supporters among the regular agents whose opinions are oscillating around the center of the opinion space. The influence of inconsistent agents is persistent and induces a perpetual opinion dynamics. The model is non-equilibrium and emerging, while consensus, if attainable, can be reached in a finite time.
      PubDate: 2017-09-20
      DOI: 10.1007/s10614-017-9751-z
  • A New Characterization of Equilibrium in a Multi-period Finance Economy: A
           Computational Viewpoint
    • Authors: Dong Chul Won
      Abstract: Abstract Computing equilibrium in incomplete-markets with long-lived assets is a challenging task especially because equilibrium may not exist due to the ‘bad-price’ problem. When algorithms fail to produce equilibrium outcomes, it is hard to differentiate between the existential failure and the algorithmic failure. Moreover, algorithmic success can be misleading when algorithms work out a quasi-solution for the system of equations which may fail to have equilibrium. To address the computational dilemma, the paper provides a new approach to computing equilibrium in a multi-period, single-good general equilibrium model with incomplete asset markets (single-good GEI model or stochastic finance model). The new approach is built on a notion of ‘pre-GEI equilibrium’ which always exists in the economy. When the payoff matrix has full rank, equilibrium of the stochastic finance economy (GEI equilibrium) coincides with pre-GEI equilibrium in real terms. This implies full-rank GEI equilibrium can be computed as pre-GEI equilibrium. It is shown that pre-GEI equilibrium is determined in a system of equations which can be encoded into diverse algorithms such as homotopy path-following methods. Since pre-GEI equilibrium always exists, the existential failure cannot occur and thus, computational failures imply algorithmic failures in the current computational framework.
      PubDate: 2017-09-19
      DOI: 10.1007/s10614-017-9750-0
  • Spatial Pattern of Regional Urbanization Efficiency: An Empirical Study of
    • Authors: Jinyan Zhan; Fan Zhang; Siqi Jia; Xi Chu; Yifan Li
      Abstract: Abstract China is the fastest urbanizing area in the world. The complex urban systems not only create more socioeconomic output (such as GDP), but also bring more infrastructural costs and environmental losses. Thus, urban research has concentrated on urbanization efficiency toward efficient and spatially coordinated instead of urban size. In this paper, we use data envelopment analysis (DEA) to estimate how well districts in Shanghai utilize their resources. Based on data for five inputs and three outputs, we applied an input-oriented BBC Model and an output-oriented CCR Model for Decision Making Units (DMUs) assessment and urbanization efficiency analysis. In addition, the spatial pattern of relative urbanization efficiency is examined by spatial autocorrelation model. The research result indicates that it is in downward trend mainly affected by technical constraints, 11 out of 17 districts in Shanghai are efficient, and the urbanization efficiency gap between Pudong New district and Huangpu district is significant. The districts’urbanization efficiency in south areas are higher than that in middle and northeast area.
      PubDate: 2017-09-19
      DOI: 10.1007/s10614-017-9744-y
  • Insights into the Effects of Cognitive Factors and Risk Attitudes on Fire
           Risk Mitigation Behavior
    • Authors: Tianzhuo Liu; Huifang Jiao
      Abstract: Abstract Insights into fire risk mitigation behavior are crucial for developing a public-private integrated fire-resistant management strategy that motivates contribution from households to fire risk reduction. This research focus on the effects of both cognitive factors and risk attitudes on fire mitigation behavior. Two cognitive factors are considered: threat appraisal and coping appraisal in the Protection Motivation Theory framework. In particular, the independent influence of the six components of threat appraisal (perceived probability, perceived severity, and fear emotions) and coping appraisal (response efficacy, self-efficacy, and response cost) on fire risk mitigation behavior are examined. Three different types of fire risk mitigation behavior: maintenance and cautions, structural building measures, and fire insurance policy are considered. This study presents the data of a field survey among three ancient Chinese complexes. Results indicate that coping appraisal and risk attitudes are important variables in terms of risk mitigation behavior. In particular, response efficacy and risk attitudes significantly contribute to the models that explain fire risk mitigation behavior. These findings suggest that the effectiveness of risk mitigation measures should be focused on risk communication, and risk attitudes should be emphasized in estimating fire insurance demand.
      PubDate: 2017-09-18
      DOI: 10.1007/s10614-017-9727-z
  • Estimation of Dynamic Mixed Hitting Time Model Using Characteristic
           Function Based Moments
    • Authors: Yogo Purwono; Irwan Adi Ekaputra; Zaäfri Ananto Husodo
      Abstract: Abstract We present a characteristic function-based method for the estimation of dynamic mixed hitting time model for duration between events and price changes. The model specifies duration between events as the first time a latent component of multivariate Brownian motion crosses a random boundary. Meanwhile, another (correlated) Brownian component generates the prices. The proposed estimation method facilitates computation and overcomes problems related to the discretization error in the moment conditions and the non-tractability in the joint probability density function. An empirical application using transaction level data on stocks of a large capitalization company traded on the Indonesia Stock Exchange is illustrated. Estimation results suggest that durations and return volatility have strong persistence and, further, there is a negative instantaneous relation between volatility and contemporaneous duration. The impact of considering the causality relation between volatilities and durations on instantaneous volatility estimate are also investigated.
      PubDate: 2017-09-16
      DOI: 10.1007/s10614-017-9692-6
  • Good Policies or Good Luck' New Insights on Globalization and the
           International Monetary Policy Transmission Mechanism
    • Authors: Enrique Martínez-García
      Abstract: Abstract The open-economy dimension is central to the discussion of the trade-offs that monetary policy faces in an increasingly integrated world. I investigate the monetary policy transmission mechanism in a two-country workhorse New Keynesian model where policy is set according to Taylor (in: Carnegie-Rochester conference series on public policy, vol 39, pp. 195–214, 1993) rules. I find that a common monetary policy isolates the effects of trade linkages on the cross-country dispersion alone, and that the establishment of a currency union as a means of deepening policy integration may lead to indeterminacy. I argue that the common (coordinated) monetary policy equilibrium is the relevant benchmark for policy analysis showing that open economies tend to experience lower macro volatility, a flatter Phillips curve, and more accentuated trade-offs between inflation and slack. Moreover, the trade elasticity often magnifies the effects of trade integration (globalization) beyond what conventional measures of trade openness would imply. I also discuss how other features such as the strength of a common anti-inflation bias in policymaking, technological diffusion across countries, and the sensitivity of labor supply to real wages influence the quantitative effects of policy and openness in this context. Finally, I conclude that these theoretical predictions are largely consistent with the stylized facts of the Great Moderation.
      PubDate: 2017-09-15
      DOI: 10.1007/s10614-017-9746-9
  • A Diffusion Model for Long-Term Optimization in the Presence of Stochastic
           Interest and Inflation Rates
    • Authors: Farid Mkaouar; Jean-Luc Prigent; Ilyes Abid
      Abstract: Abstract We consider the long term portfolio management problem, under stochastic rates and inflation risk. Five basic financial assets are considered: a money market account (the cash), an inflation-protected cash, a financial stock index and two different bonds with constant maturity. The first one corresponds to a nominal bond while the second one is an inflation-indexed bond. We consider constant maturation bonds, which allows to obtain a bond/stock ratio increasing with time (when there exists no inflation). This nice property is in accordance with popular advice. In this framework, we provide the general solution of the expected utility maximization. This intertemporal optimization problem is solved by using the martingale approach. We detail in particular the CRRA case. We determine also the optimal portfolio weights and analyze the solutions. We show in particular that the weight invested on the inflation-indexed bond increases with the relative risk aversion and also when the time horizon increases, which corresponds to a stronger demand for inflation hedging for longer maturities. Such feature illustrates the importance of introducing inflation-indexed bonds on financial markets.
      PubDate: 2017-09-14
      DOI: 10.1007/s10614-017-9742-0
  • How Strong is the Relationship Among Gold and USD Exchange Rates'
           Analytics Based on Structural Change Models
    • Authors: Manh Cuong Dong; Cathy W. S. Chen; Sangyoel Lee; Songsak Sriboonchitta
      Abstract: Abstract This study examines the dynamic relationship among gold and USD exchange rates. Since one single time series model can suffer from structural (or parameter) changes in underlying models, we consider those models with structural breaks. We first employ the cumulative sum of squared residual test to determine the number and locations of change points in the volatility of time series and then divide the whole period by the change points to investigate the relationship between gold and USD exchange rates in each sub-period, based on the time-varying correlations obtained from dynamic conditional correlation models. We show that a negative correlation exists in almost all periods and that the correlation coefficients have higher absolute values during the global financial crisis period than in other periods. Furthermore, the correlation becomes much greater along with downside moves of USD versus upside moves, indicating that a depreciating trend of USD typically has more influence on gold than an appreciating trend. This phenomenon is in line with the leverage effect in financial markets. After comparing the two methods of with/without structural changes, our findings from an empirical study provide evidence that ignoring structural changes can lead to a false conclusion and confirm that our method offers a functional tool to analyze gold prices and USD exchange rates.
      PubDate: 2017-09-13
      DOI: 10.1007/s10614-017-9743-z
  • Evolutionary Climate-Change Modelling: A Multi-Agent Climate-Economic
    • Authors: Sylvie Geisendorf
      Abstract: Abstract In climate-economic modelling, agent-based models are still an exception. Although numerous authors have discussed the usefulness of the approach, only a few models exist. The paper proposes an update to a multi-agent climate-economic model, namely the “battle of perspectives” (Janssen, 1996; Janssen and de Vries 1998). The approach of the paper is twofold. First, the reimplementation of the model follows the “model to model” concept. Supporters of the approach argue that replication is a useful way to check a model’s accuracy and robustness. Second, updating a model with current data and new scientific evidence is a robustness check in itself. The long-term validity and usefulness of a model depends on the variability of the data on which it is based, as well as on the model’s sensitivity to data changes. By offering this update, the paper contributes to the development of agent-based models in climate-economics. Acknowledging evolutionary processes in climate-policy represents a useful complement to intertemporal cost-benefit analyses, the latter of which derive optimal protection paths but are not able to explain why people do not follow them. Since the replication and update succeeded, the paper recommends using the model as a basis for further analysis.
      PubDate: 2017-09-12
      DOI: 10.1007/s10614-017-9740-2
  • Solving Deterministic and Stochastic Equilibrium Problems via Augmented
    • Authors: Julio Deride; Alejandro Jofré; Roger J-B Wets
      Abstract: Abstract We described a method to solve deterministic and stochastic Walras equilibrium models based on associating with the given problem a bifunction whose maxinf-points turn out to be equilibrium points. The numerical procedure relies on an augmentation of this bifunction. Convergence of the proposed procedure is proved by relying on the relevant lopsided convergence. In the two-stage versions of our models, deterministic and stochastic, we are mostly concerned with models that equip the agents with a mechanism to transfer goods from one time period to the next, possibly simply savings, but also allows for the transformation of goods via production.
      PubDate: 2017-09-09
      DOI: 10.1007/s10614-017-9733-1
  • Radial Basis Functions with Partition of Unity Method for American Options
           with Stochastic Volatility
    • Authors: Reza Mollapourasl; Ali Fereshtian; Michèle Vanmaele
      Abstract: Abstract In this article, we price American options under Heston’s stochastic volatility model using a radial basis function (RBF) with partition of unity method (PUM) applied to a linear complementary formulation of the free boundary partial differential equation problem. RBF-PUMs are local meshfree methods that are accurate and flexible with respect to the problem geometry and that produce algebraic problems with sparse matrices which have a moderate condition number. Next, a Crank–Nicolson time discretisation is combined with the operator splitting method to get a fully discrete problem. To better control the computational cost and the accuracy, adaptivity is used in the spatial discretisation. Numerical experiments illustrate the accuracy and efficiency of the proposed algorithm.
      PubDate: 2017-09-07
      DOI: 10.1007/s10614-017-9739-8
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