Cross-diffusion Modeling in Macroeconomics

Stock Price Momentum Modeling: A Grounded Theory Approach

Recently, understanding the anomalies in financial markets have severely chal-lenged the efficient market hypothesis (EMH). The price momentum is one of the anomalies described as the unexplained short-term return by Fama and French (1996). The present research strives for modeling the price momentum of winner stock in the Iranian capital market. The grounded theory method was used to explain t...

Agent-Based Computational Macroecono- mics: A Survey

While by all standards the macroeconomic system is qualified to be a complex adaptive system, mainstream macroeconomics is not capable of demonstrating this feature. Recent applications of agent-based modeling to macroeconomics define a new research direction, which demonstrates how the macroeconomic system can be modeled and studied as a complex adaptive system. This paper shall review the dev...

Economics 314 Coursebook , 2010 Jeffrey Parker 1 MACROECONOMICS : MODELING THE BEHAVIOR OF AGGREGATE VARIABLES

State Space Modeling in Macroeconomics and Finance Using S+FinMetrics∗

This paper surveys some common state space models used in macroeconomics and finance and shows how to specify and estimate these models using the SsfPack algorithms implemented in the S-PLUS module S+FinMetrics. Examples include recursive regression models, time varying parameter models, exact ARMA models and calculation of the Beveridge-Nelson decomposition, unobserved components models, stoch...

State Space Modeling in Macroeconomics and Finance Using SsfPack for S+FinMetrics

This paper surveys some common state space models used in macroeconomics and finance and shows how to specify and estimate these models using the SsfPack algorithms implemented in the S-PLUS module S+FinMetrics. Examples include recursive regression models, time varying parameter models, exact autoregressive moving average models and calculation of the Beveridge-Nelson decomposition, unobserved...