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Now showing items 1-20 of 51

An adaptive model of asset price and wealth dynamics in a market with heterogeneous trading strategies

Chiarella Carl; He Xuezhong (Springer, 2008)

The traditional asset-pricing models ¿ such as the capital asset pricing model (CAPM) of [42] and [34], the arbitrage pricing theory (APT) of [40], or the intertemporal capital asset pricing model (ICAPM) of [38] ¿ have ...
AD-AS and the Phillips curve: a baseline disequilibrium model

Asada Toichiro; Chen Pu; Chiarella Carl; Flaschel Peter (Elsevier, 2006)
Advanced choice models

Swait Joffre (Springer, 2006)

In Alberini et al. (this volume), an overview of the workhorse model (the Multinomial Logit, or MNL) for discrete choice analysis was presented from its conception to its practical use in predicting behavior and evaluating ...
Asset price dynamics and diversification with heterogeneous agents

Chiarella Carl; Dieci Roberto; Gardini Laura (Springer-Verlag, 2005)

A discrete-time dynamic model of a financial market is developed, where two types of agents, fundamentalists and chartists, allocate their wealth between two risky assets and a safe asset, according to one-period mean-variance ...
An asset pricing model with adaptive heterogeneous agents and wealth effects

Chiarella Carl; He Xuezhong (Springer-Verlag, 2005)

The characterisation of agents' preferences by decreasing absolute risk aversion (DARA) and constant relative risk aversion (CRRA) are well documented in the literature and also supported in both empirical and experimental ...
Bayesian Cross-Sectional Analysis of the Conditional Distrubution of Earnings of Men in the USA (1967-1996)

Keane Michael; Geweke John (Anshan Ltd, 2006)
Bayesian forecasting

Geweke John; Whiteman C. (Elsevier, 2006)

Bayesian forecasting is a natural product of a Bayesian approach to inference. The Bayesian approach in general requires explicit formulation of a model, and conditioning on known quantities, in order to draw inferences ...
Bayesian inference on time-varying proportions

Mccausland William; Lgui Brahim (Emerald, 2009)

Time-varying proportions arise frequently in economics. Market shares show the relative importance of firms in a market. Labor economists divide populations into different labor market segments. Expenditure shares describe ...
A benchmark approach to investing and pricing

Platen Eckhard (World Scientific Publishing, 2011)

This paper introduces a general market modeling framework, the benchmark appma.chl which assumes the existence of the nume!'raire portfolio. This is the strictly positive portfolio that when used as benchmMk makes all ...
Comments on "Phillips Curve Inflation Forecasts" by James H. Stock and Mark W. Watson

Pagan Adrian (MIT Press, 2009)

Stock and Watson provide a thorough (one might say exhaustive) review of the forecasting performance of many inflation models. These include models with some economics in them and others that are purely statistical. Overall, ...
Designing Discrete Choice Experiments for Health Care

Street Deborah; Burgess Leonie; Viney Rosalie; Louviere Jordan (Springer, 2008)

As noted in Chapter 1, the application of discrete choice experiments (DCEs) in health economics has seen an increase over the last few years.While the number of studies using DCEs is growing, there has been relatively ...
Design of choice experiments in health economics

Burgess Leonie; Street Deborah; Viney Rosalie; Louviere Jordan (Edward Elgar Publishing Ltd, 2006)
Disease prevention, health care, and economics

Hall Jane (Oxford University Press, 2011)

THE prevention of disease covers a wide range of ac tivities that can occur both within and outside the health system. In the developed countries, the increased life expectancy associated with the control of infectious and ...
Diversification effect of heterogeneous beliefs

He Xuezhong; Shi Lei (Springer, 2011)

Within the framework of Chiarella et al (2009b) on MV analysis, this paper examines the impact of the heterogeneity and bounded rationality on the market equilibrium and MV efficiency of the optimal portfolios. The ...
A dynamical analysis of speculation across two markets.

Chiarella Carl; Dieci Roberto; Gardini Laura (Springer, 2004)
Dynamics of beliefs and learning under AL processes - the homogeneous case.

Chiarella Carl; He Xuezhong (Elsevier, 2004)
Economic pluralism and skill formation: Adding value to students, economies, and societies

O'Donnell Rod (Routledge, 2010)
Economics as identity

Menzies Gordon (Edward Elgar, 2008)

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Financial Engineering for Australian Annuitants

Thorp Susan; Kingston Geoffrey; Bateman Hazel (Edward Elgar, 2007)
Financial fragility, mean-field interaction and macroeconomic dynamics: A stochastic model

Di Guilmi Corrado; Gallegati Mauro; Landini S (Edward Elgar, 2010)

In recent decades, a considerable stream of research, following the complexity approach (Rosser, 2004), has developed a series of models that import concepts and tools from hard sciences to economics. They represent an ...

Now showing items 1-20 of 51

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