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Accurate Methods for Approximate Bayesian Computation Filtering

Laurent E. Calvet and Veronika Czellar.

in Journal of Financial Econometrics

September 2015; p ublished online July 2014 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Financial Forecasting and Simulation; Econometric Modelling. 9894 words.

The Approximate Bayesian Computation (ABC) filter extends the particle filtering methodology to general state-space models in which the density of the observation conditional on the state...

Adaptive local parametric estimation of crop yields: implications for crop insurance rate making

Zhiwei Shen, Martin Odening and Ostap Okhrin.

in European Review of Agricultural Economics

April 2018; p ublished online December 2017 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Agricultural Economics. 10293 words.

Abstract

The estimation model of crop yields is a prerequisite for deriving actuarially sound insurance premiums. A major challenge in estimating crop yield...

Adaptive Realized Kernels

Marine Carrasco and Rachidi Kotchoni.

in Journal of Financial Econometrics

September 2015; p ublished online May 2014 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Economics. 9451 words.

We design adaptive realized kernels to estimate the integrated volatility in a framework that combines a stochastic volatility model with leverage effect for the efficient price and a...

Adding The Time Dimension: Optimal Rebalancing

Mark Kritzman, Simon Myrgren and Sebastien Page.

in The Oxford Handbook of Quantitative Asset Management

December 2011; p ublished online November 2012 .

Article. Subjects: Economics; Financial Markets; Econometric and Statistical Methods and Methodology: General. 5990 words.

A technique called dynamic programming can be used to identify an optimal rebalancing schedule, which significantly reduces rebalancing and sub-optimality costs. Dynamic programming...

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Agent-Based Macroeconomic Modeling and Policy Analysis

Herbert Dawid, Simon Gemkow, Philipp Harting, Sander van der Hoog and Michael Neugart.

in The Oxford Handbook of Computational Economics and Finance

February 2018; p ublished online February 2018 .

Article. Subjects: Econometrics and Mathematical Economics; Econometric and Statistical Methods and Methodology: General. 12823 words.

This chapter introduces the Eurace@Unibi model, one of the agent-based simulation models that are relatively new additions to the toolbox of macroeconomists, and the research that has been...

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Agent-based Modeling for Financial Markets

Giulia Iori and James Porter.

in The Oxford Handbook of Computational Economics and Finance

February 2018; p ublished online February 2018 .

Article. Subjects: Econometrics and Mathematical Economics; Econometric and Statistical Methods and Methodology: General. 15345 words.

This chapter discusses a step in the evolution of agent-based model (ABM) research in finance. Agent-based modeling has concentrated on the development of stylized market models, which have...

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Agent-Based Models for Economic Policy Design

Frank Westerhoff and Reiner Franke.

in The Oxford Handbook of Computational Economics and Finance

February 2018; p ublished online February 2018 .

Article. Subjects: Econometrics and Mathematical Economics; Econometric and Statistical Methods and Methodology: General. 13596 words.

With the help of two examples, this chapter illustrates the usefulness of agent-based models as tools for economic policy design. The first example applies a financial market model in which...

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Agent-Based Models of the Labor Market

Michael Neugart and Matteo Richiardi.

in The Oxford Handbook of Computational Economics and Finance

February 2018; p ublished online February 2018 .

Article. Subjects: Econometrics and Mathematical Economics; Econometric and Statistical Methods and Methodology: General. 10273 words.

The chapter reviews the literature concerning agent-based labor market models by tracing its roots to the microsimulation literature and surveying a selection of con- tributions made since...

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Aggressive Elites and Vulnerable Entrepreneurs: Trust and Cooperation in the Shadow of Conflict

Halvor Mehlum and Karl Moene.

in The Oxford Handbook of the Economics of Peace and Conflict

April 2012; p ublished online November 2012 .

Article. Subjects: Economics; Econometric and Statistical Methods and Methodology: General; Health, Education, and Welfare. 9174 words.

This article explores the tendency for poverty and conflict, as well as for prosperity and peace, to reinforce one another, examining two specific factors. One is the type of rents that...

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Algorithmic Trading based on Biologically Inspired Algorithms

Vassilios Vassiliadis and Georgios Dounias.

in The Oxford Handbook of Computational Economics and Finance

February 2018; p ublished online February 2018 .

Article. Subjects: Econometrics and Mathematical Economics; Econometric and Statistical Methods and Methodology: General. 5865 words.

The chapter discusses algorithmic trading, which refers to any automated process, consisting of a number of interconnected components, whose main aim is to perform financial transactions of...

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Algorithmic Trading in Practice

Peter Gomber and Kai Zimmermann.

in The Oxford Handbook of Computational Economics and Finance

February 2018; p ublished online February 2018 .

Article. Subjects: Econometrics and Mathematical Economics; Econometric and Statistical Methods and Methodology: General. 8898 words.

The use of computer algorithms in securities trading, or algorithmic trading, has become a central factor in modern financial markets. The desire for cost and time savings within the...

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Algorithmic Trading, Optimal Execution, and Dyna Mic Port Folios

Petter N. Kolm and Lee Maclin.

in The Oxford Handbook of Quantitative Asset Management

December 2011; p ublished online November 2012 .

Article. Subjects: Economics; Financial Markets; Econometric and Statistical Methods and Methodology: General. 11968 words.

This article discusses the portfolio optimization with market impact costs, combining execution and portfolio risk, and dynamic portfolio analysis. A multi-period portfolio optimization...

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Allocation of human capital and innovation at the frontier: firm-level evidence on Germany and the Netherlands

Eric Bartelsman, Sabien Dobbelaere and Bettina Peters.

in Industrial and Corporate Change

October 2015; p ublished online November 2014 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Education and Research Institutions; Technological Change; Research and Development; Economic Development. 23755 words.

This article examines how productivity effects of human capital and innovation vary at different points of the conditional productivity distribution. Our analysis draws upon two large...

Analysing farmland rental rates using Bayesian geoadditive quantile regression

Alexander März, Nadja Klein, Thomas Kneib and Oliver Musshoff.

in European Review of Agricultural Economics

September 2016; p ublished online August 2016 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Agricultural Economics. 15292 words.

Empirical studies on farmland rental rates so far have predominantly concentrated on modelling conditional means using spatial autoregressive models. While these models only focus on the...

The Analysis of Macroeconomic Panel Data

Joerg Breitung.

in The Oxford Handbook of Panel Data

January 2015; p ublished online May 2015 .

Article. Subjects: Economics; Econometrics and Mathematical Economics; Econometric and Statistical Methods and Methodology: General. 20219 words.

This chapter reviews recent developments in the analysis of macroeconomic panel data which typically involve aggregate variables from various countries. In contrast to the large N, small T ...

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Analyzing Three-Dimensional Panel Data of Forecasts

Antony Davies, Kajal Lahiri and Xuguang Sheng.

in The Oxford Handbook of Economic Forecasting

July 2011; p ublished online September 2012 .

Article. Subjects: Economics; Econometric and Statistical Methods and Methodology: General; Financial Markets. 7241 words.

This article illustrates how frameworks built around multidimensional panel data of forecasts can be used not only to test the rational expectations hypothesis correctly, but also to study...

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… and the Cross-Section of Expected Returns

Campbell R. Harvey, Yan Liu and Heqing Zhu.

in The Review of Financial Studies

January 2016; p ublished online October 2015 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Econometric Modelling; Economics. 28414 words.

Hundreds of papers and factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make sense to use the usual criteria for establishing...

Annual Fees and Recreation Choice

Eric English.

in American Journal of Agricultural Economics

July 2010; p ublished online July 2010 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Environmental Economics; Renewable Resources and Conservation; Single Equation Models; Single Variables. 6956 words.

Models of recreation behavior have typically ignored the role of fixed annual fees, such as the fee for a recreational license, in determining choice and welfare. We demonstrate how...

Applying Experiments to Land Economics

Kent D. Messer, Joshua M. Duke and Lori Lynch.

in The Oxford Handbook of Land Economics

July 2014; p ublished online December 2013 .

Article. Subjects: Economics; Econometric and Statistical Methods and Methodology: General; Agricultural, Environmental, and Natural Resource Economics. 12447 words.

The use of laboratory and field economic experiments to explore issues in land economics is increasingly popular as researchers identify problems that cannot be adequately addressed by...

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Appropriate technology in a Solovian nonlinear growth model

Davide Fiaschi and Andrea Mario Lavezzi.

in Oxford Review of Economic Policy

March 2007; p ublished online January 2007 .

Journal Article. Subjects: Economic Development; Technological Change; Research and Development; Economic Growth and Aggregate Productivity; Econometric and Statistical Methods and Methodology: General; Single Equation Models; Single Variables. 6681 words.

We propose a Solovian growth model with a convex–concave production function and international technological spillovers. We test the empirical implications of the model, analysing the...