Computational Economics

Article	Citations
Estimation of Rank-Ordered Regret Minimization Models	69
Robust Prediction Intervals for Valuation of Large Portfolios of Variable Annuities: A Comparative Study of Five Models	45
Classifying the Variety of Customers’ Online Engagement for Churn Prediction with a Mixed-Penalty Logistic Regression	43
Auctions: A New Method for Selling Objects with Bimodal Density Functions	42
Technical Note: Maximum Likelihood Optimization via Parallel Estimating Gradient Ascent	36
A Pricing Method in a Constrained Market with Differential Informational Frameworks	30
Disentangling Shareholder Risk Aversion from Leverage-Dependent Borrowing Cost on Corporate Policies	26
Identifying Systemically Important Banks Based on an Improved DebtRank Model	24
Machine Learning Method for Return Direction Forecast of Exchange Traded Funds (ETFs) Using Classification and Regression Models	23
Do Gas Price and Uncertainty Indices Forecast Crude Oil Prices? Fresh Evidence Through XGBoost Modeling	23
Kelly-Based Options Trading Strategies on Settlement Date via Supervised Learning Algorithms	22
A Method to Pre-compile Numerical Integrals When Solving Stochastic Dynamic Problems	20
Editorial to the Special Issue on Game Theory	19
Implementing Machine Learning Methods in Estimating the Size of the Non-observed Economy	18
Housing GANs: Deep Generation of Housing Market Data	17
A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model	15
Finding the Impact of Market Visibility and Monopoly on Wealth Distribution and Poverty Using Computational Economics	15
Prediction of Loan Rate for Mortgage Data: Deep Learning Versus Robust Regression	15
Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis	14
An Ensemble Resampling Based Transfer AdaBoost Algorithm for Small Sample Credit Classification with Class Imbalance	14
The Impact of Foreign Stock Market Indices on Predictions Volatility of the WIG20 Index Rates of Return Using Neural Networks	14
Zero-Adjusted Log-Symmetric Quantile Regression Models	13
Feature Selection and Hyperparameters Optimization Employing a Hybrid Model Based on Genetic Algorithm and Artificial Neural Network: Forecasting Dividend Payout Ratio	12
Risk Spillover Effects Between the U.S. and Chinese Green Bond Markets: A Threshold Time-Varying Copula-GARCHSK Approach	12
Portfolio Optimization with Prediction-Based Return Using Long Short-Term Memory Neural Networks: Testing on Upward and Downward European Markets	11

The Dynamic Volatility Connectedness Structure of Energy Futures and Global Financial Markets: Evidence From a Novel Time–Frequency Domain Approach	11
Research on the Operation, Market and ESG Efficiency of China's Local Commercial Banks in the Context of COVID-19	11
A Multi-market Comparison of the Intraday Lead–Lag Relations Among Stock Index-Based Spot, Futures and Options	11
Improving Price Generation: A Novel Agent-Based Model for Capturing Persistent Jumps in Asset Prices	11
Adaptive Trading System of Assets for International Cooperation in Agricultural Finance Based on Neural Network	11
Numerically Pricing Nonlinear Time-Fractional Black–Scholes Equation with Time-Dependent Parameters Under Transaction Costs	11
Optimal Technical Indicator Based Trading Strategies Using Evolutionary Multi Objective Optimization Algorithms	11
Deep Kusuoka Approximation: High-Order Spatial Approximation for Solving High-Dimensional Kolmogorov Equations and Its Application to Finance	10
Performance Assessment of Logistic Regression (LR), Artificial Neural Network (ANN), Fuzzy Inference System (FIS) and Adaptive Neuro-Fuzzy System (ANFIS) in Predicting Default Probability: The Case of	10
Dynamic Investigations of an Endogenous Business Cycle Model with Heterogeneous Agents	10
Detection of Uncertainty Events in the Brazilian Economic and Financial Time Series	10
The multiColl Package Versus Other Existing Packages in R to Detect Multicollinearity	10
Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning	9
Approximate Bayesian Estimation of Stochastic Volatility in Mean Models Using Hidden Markov Models: Empirical Evidence from Emerging and Developed Markets	9
The Slicing Method: Determining Insensitivity Regions of Probability Weighting Functions	9
Investor Structure and Corn Futures Price Volatility in China: Evidence Based on the Agent-Based Model	9
DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors	9
Dynamic Interlinkages between the Twitter Uncertainty Index and the Green Bond Market: Evidence from the Covid-19 Pandemic and the Russian-Ukrainian Conflict	9
Hedge Effectiveness of the Credit Default Swap Indices: a Spectral Decomposition and Network Topology Analysis	9
A Dynamic Baseline Calibration Procedure for CGE models	9
Can Text-Based Statistical Models Reveal Impending Banking Crises?	8
Connectedness between Currency Risk Hedging and Firm Value: A Deep Neural Network-based Evaluation	8
Accuracy in Recursive Minimal State Space Methods	8
Truncated Dantzig–Wolfe Decomposition for a Class of Constrained Variational Inequality Problems	8
Swarm Intelligence Based Hybrid Neural Network Approach for Stock Price Forecasting	8
Complementarity Modeling of a Ramsey-Type Equilibrium Problem with Heterogeneous Agents	8
Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data	8
Personal Finance Decisions with Untruthful Advisors: An Agent-Based Model	8
Ensuring Mutual Benefit in a Trans-boundary Industrial Pollution Control Problem	8
Post-COVID Recovery and Long-Run Forecasting of Indian GDP with Factor-Augmented Error Correction Model (FECM)	8
Performance of Different Machine Learning Algorithms in Detecting Financial Fraud	8
Autoregressive Random Forests: Machine Learning and Lag Selection for Financial Research	8
Volatility Dynamics and Mixed Jump-GARCH Model Based Jump Detection in Financial Markets	7
Evaluating Bank Efficiency with Risk Management by Optimal Common Resource and Three-Parallel Two-Stage Dynamic DEA Model	7
Evaluation of International Monetary Policy Coordination: Evidence from Machine Learning Algorithms	7
Risk Estimation in the Bitcoin Market Using a Three-Stage Ensemble Method	7
Exploring Statistical Arbitrage Opportunities Using Machine Learning Strategy	7
Transactions Market in Bitcoin: Empirical Analysis of the Demand and Supply Block Space Curves	7
What is the Effect of Restrictions Imposed by Principal Components Analysis on the Empirical Performance of Dynamic Term Structure Models?	7
Exploring Three-style Return Comovements and Contagion Using a Correlation Decomposition GARCH Model	7
Deep Learning for Solving and Estimating Dynamic Macro-finance Models	7
Numerical Simulation of Non-cooperative and Cooperative Equilibrium Solutions for a Stochastic Government Debt Stabilization Game	6
A Critical Introduction to the Usual Robust Control Framework in Macroeconomics	6
Machine Learning-Based Time Series Prediction at Brazilian Stocks Exchange	6
Household Financial Fragility, Debt and Income in a Dynamic Model	6
Optimization of Asset Allocation and Liquidation Time in Investment Decisions with VaR as a Risk Measure	6
Forecasting Brazilian Stock Market Using Sentiment Indices from Textual Data, Chat-GPT-Based and Technical Indicators	6
Dynamic Interlinkages Between Precious Metal, Exchange Rate and Crude Oil: Evidence from an Extended TVP‑VAR Analysis	6
Computing Synthetic Controls Using Bilevel Optimization	6
Dynamics in Realized Volatility Forecasting: Evaluating GARCH Models and Deep Learning Algorithms Across Parameter Variations	6

Portfolio Allocation with Dynamic Risk Preferences via Reinforcement Learning	6
On the Optimal Size and Composition of Customs Unions: An Evolutionary Approach	6
Multi–Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time–Frequency Domains	6
The Risk Early-Warning Model of Financial Operation in Family Farms Based on Back Propagation Neural Network Methods	6
Reconstructing Cryptocurrency Processes via Markov Chains	6
Systematic Research on Multi-dimensional and Multiple Correlation Contagion Networks of Extreme Risk in China’s Banking Industry	6
Dynamic Time Warping: Intertemporal Clustering Alignments for Hotel Tourism Demand	6
A Discourse Analysis of Tweets and Its Implications for Cryptocurrency Prices and Trade Volumes	6
Bidirectional Risk Spillovers between Exchange Rate of Emerging Market Countries and International Crude Oil Price–Based on Time-varing Copula-CoVaR	6
Intelligent Decision Making for Commodities Price Prediction: Opportunities, Challenges and Future Avenues	6
Portfolio Selection Based on EMD Denoising with Correlation Coefficient Test Criterion	6
Operator Splitting Method to Solve the Linear Complementarity Problem for Pricing American Option: An Approximation of Error	5
On Forecasting Realized Volatility for Bitcoin Based on Deep Learning PSO–GRU Model	5
Comparative Analysis of Turkish and German Stock-Markets as a Hedge Product Against Inflation by Using Machine Learning Algorithms	5
Correction to: Option Pricing Based on the Residual Neural Network	5
System Dynamics Modeling and Analysis of New Mexico Oil Production and Taxation	5
Risk Connectedness Between Green and Conventional Assets with Portfolio Implications	5
A Fusion Method Integrated Econometrics and Deep Learning to Improve the Interpretability of Prediction: Evidence From Chinese Carbon Emissions Forecast Based on OLS-CNN Model	5
A Finite Difference Scheme for Pairs Trading with Transaction Costs	5
Correction: Non‑linear Cointegration Test, Based on Record Counting Statistic	5
Estimation of Models for Stock Returns	5
Application of Robust Control for CSR Formalization and Stakeholders Interest	4
Inaccurate Value at Risk Estimations: Bad Modeling or Inappropriate Data?	4
Testing the Closed-Form Spread Option Pricing Formula Based on Gauss-Hermite Quadrature for a Jump-Diffusion Model	4
Stock Price Prediction with Heavy-Tailed Distribution Time-Series Generation Based on WGAN-BiLSTM	4
The Analysis of Credit Risks in Agricultural Supply Chain Finance Assessment Model Based on Genetic Algorithm and Backpropagation Neural Network	4
Size-Dependent Enforcement, Tax Evasion and Dimensional Trap	4
Balancing Returns and Responsibility: Markowitz Optimization for ESG-Integrated Portfolios in Morocco	4
Quantifying the Predictive Capacity of Dynamic Graph Measures on Systemic and Tail Risk	4
Analytic Method for Pricing Vulnerable External Barrier Options	4
Market Structure and Instability Artifacts in Heterogeneous Agent Models: Lessons from Implicit Discretizations of Stiff Equations	4
An Efficient Numerical Scheme to Approach the Time Fractional Black–Scholes Model Using Orthogonal Gegenbauer Polynomials	4
Correction to: Computational Performance of Deep Reinforcement Learning to Find Nash Equilibria	4
The Symmetric and Asymmetric Algorithmic Trading Strategies for the Stablecoins	4
Use of Econometric Predictors and Artificial Neural Networks for the Construction of Stock Market Investment Bots	4
Engineering Optimal Cooperation Levels with Prosocial Autonomous Agents in Hybrid Human-Agent Populations: An Agent-Based Modeling Approach	4
Time-Varying and Frequency-Based Spillover Connectedness Between Cryptocurrencies and Non-ferrous Industrial Metals in Light of Market Plummets	4
Numerical Solution of Passport Option Pricing Problem with Polynomial Neural Networks	4
Impact of Global Risk Factors on the Islamic Stock Market: New Evidence from Wavelet Analysis	4
An Incentive-Compatible and Computationally Efficient Fog Bargaining Mechanism	4
Market Clearing and Krusell-Smith Algorithm in an Economy with Multiple Assets	4
A Computational Study for Pricing European- and American-Type Options Under Heston’s Stochastic Volatility Model: Application of the SUPG-YZ$$\beta$$ Formulation	4
A General Inferential Framework for Singly-Truncated Bivariate Normal Models with Applications in Economics	4
Cryptocurrency Exchange Simulation	4
Simultaneous Confidence Intervals for Multi-way Clustered Stock Return Data	4
Monetary Policy and the Evolution of Wealth Disparity: An Assessment Using US Survey of Consumer Finance Data	4
A Smooth Transition Autoregressive Model for Matrix-Variate Time Series	4
A Novel Pythagorean Approach Based Sine-Shaped Fuzzy Data Envelopment Analysis Model: An Assessment of Indian Public Sector Banks	4
Valuation of Spark-Spread Option Written on Electricity and Gas Forward Contracts Under Two-Factor Models with Non-Gaussian Lévy Processes	4
Estimation of Expected Shortfall Using Quantile Regression: A Comparison Study	4
Developing a New Multidimensional Index of Bank Stability and Its Usage in the Design of Optimal Policy Interventions	4
Implementing a Hierarchical Deep Learning Approach for Simulating Multilevel Auction Data	3
A Bayesian Time-Varying Coefficient Model for Cobb–Douglas Production Function	3
GA-LSTM: Performance Optimization of LSTM driven Time Series Forecasting	3
Inflation Targeting Regimes in Emerging Market Economies: To Invest or Not to Invest?	3
An Efficient Numerical Method Based on Exponential B-splines for a Time-Fractional Black–Scholes Equation Governing European Options	3
Economic Policy Uncertainty Index Meets Ensemble Learning	3
Stock Returns Prediction Based on Implied Volatility Spread Under Network Perspective	3
The Model Dimensionality and Its Impacts on the Strategic and Policy Outcomes in IAMs the Findings from the RICE2020 Model	3
An Adaptive Differential Evolution Algorithm Based on Data Preprocessing Method and a New Mutation Strategy to Solve Dynamic Economic Dispatch Considering Generator Constraints	3
Catalyzing Sustainable Investment: Revealing ESG Power in Predicting Fund Performance with Machine Learning	3
Can Machine Learning Explain Alpha Generated by ESG Factors?	3
Improving Sliding Window Effect of LSTM in Stock Prediction Based on Econometrics Theory	3
Analyzing Stationarity in World Coffee Prices	3
The Geometry of the World of Currency Volatilities	3
OG-CAT: A Novel Algorithmic Trading Alternative to Investment in Crypto Market	3
Analysis of Gold, Bitcoin, and Gold-Backed Cryptocurrencies as Safe Havens during Global Crises: A Focus on Artificial Intelligence Companies	3
Enhancement of Neural Networks Model’s Predictions of Currencies Exchange Rates by Phase Space Reconstruction and Harris Hawks’ Optimization	3
A Time-Dependent Markovian Model of a Limit Order Book	3
How Successful are Energy Efficiency Investments? A Comparative Analysis for Classification & Performance Prediction	3
An Algorithm for the Pricing and Timing of the Option to make a Two-Stage Investment with Credit Guarantees	3
A Novel Hybrid Model by Integrating Gated Recurrent Unit Network with Weighted Error-Based Fuzzy Candlestick Model for Stock Market Forecasting	3
Causal Linkage Effect on Chinese Industries via Partial Cross Mapping Under the Background of COVID-19	3
A Novel Modified Binning and Logistics Regression to Handle Shifting in Credit Scoring	3
Early Warning of Chinese Yuan’s Exchange Rate Fluctuation and Value at Risk Measure Using Neural Network Joint Optimization Algorithm	3
Extended Slash Modified Lindley Distribution to Model Economic Variables Showing Asymmetry	3
Computational Aspects of Sustainability	3
Co-moment Insights from Environmental Sustainability with Financial Markets Dynamics	3
Option Valuation with Conditional Heteroskedastic Hidden Truncation Models	3
How does Digital Technology Influence Natural Resource Use: A Global Perspective	3

Realized Volatility Forecasting for Stocks and Futures Indices with Rolling CEEMDAN and Machine Learning Models	3
Finite-State Markov Chains with Flexible Distributions	3
Modeling Bitcoin Price Dynamics: Overcoming Kurtosis and Skewness Challenges for Enhanced Predictive Accuracy	3
The Influence of Economic Policy Uncertainty and Business Cycles on Fine Wine Prices	3
Pattern Recognition in Microtrading Behaviors Preceding Stock Price Jumps: A Study Based on Mutual Information for Multivariate Time Series	3
Comparison of Value at Risk (VaR) Multivariate Forecast Models	3
Tobin Tax, Carry Trade, and the Exchange Rate Dynamics	3
The Rise and Fall of Financial Flows in EU 15: New Evidence Using Dynamic Panels with Common Correlated Effects	3
Correction to: A Smooth Transition Autoregressive Model for Matrix-Variate Time Series	2
Trade Friction in Two-Country HANK with Financial Friction	2
Quantum Computing and Deep Learning Methods for GDP Growth Forecasting	2
Unleashing the Potential of Mixed Frequency Data: Measuring Risk with Dynamic Tail Index Regression Model	2
Intelligent FinTech Data Mining by Advanced Deep Learning Approaches	2
Numerical Solution for a Time-Fractional Black-Scholes Model Describing European Option	2
Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset	2
Construction and Analysis of Chinese Macro-Financial Stability Index	2
Dependence and Systemic Risk Analysis Between S&P 500 Index and Sector Indexes: A Conditional Value-at-Risk Approach	2
A Hybrid Spectral-Finite Difference Method for Numerical Pricing of Time-Fractional Black–Scholes Equation	2
Bias Correction in the Least-Squares Monte Carlo Algorithm	2
Forecasting the Dynamic Correlation of Stock Indices Based on Deep Learning Method	2
The Benefits of Fractionation in Competitive Resource Allocation	2
Threshold Moving Approach with Logit Models for Bankruptcy Prediction	2
Is Default Risk Contagious? Evidence from Global Energy Leaders and Environmentally Conscious Energy Firms	2
Policy Learning for Many Outcomes of Interest: Combining Optimal Policy Trees with Multi-objective Bayesian Optimisation	2
Time–Frequency Connectedness Between Oil Price Shocks and Stock Returns Under Bullish and Bearish Market States: Evidence from African Oil Importers and Exporters	2
A New Look at Cross-Country Aggregation in the Global VAR Approach: Theory and Monte Carlo Simulation	2
Should We Trust the Credit Decisions Provided by Machine Learning Models?	2
Analysis of Frequent Trading Effects of Various Machine Learning Models	2
The Tourism Industry’s Performance During the Years of the COVID-19 Pandemic	2
Deep Learning and American Options via Free Boundary Framework	2
Performance Evaluation of a Family of GARCH Processes Based on Value at Risk Forecasts: Data Envelopment Analysis Approach	2
On the Efficiency of the Informal Currency Markets: The Case of the Cuban Peso	2
Stock Market Trend Prediction Using Deep Learning Approach	2
Portfolio with Copula-GARCH and Black-Litterman Model Using a Novel View Error Matrix	2
Perturbating and Estimating DSGE Models in Julia	2
Reinforcement Learning in Economics and Finance	2
A Nash Equilibrium for Differential Games with Moving-Horizon Strategies	2
Gauging Demand for Cryptocurrency over the Economic Policy Uncertainty and Stock Market Volatility	2
Advances in Forecasting Home Prices	2
A Review of Generalized Hyperbolic Distributions	2
COVID-19 and REITs Crash: Predictability and Market Conditions	2
New DTW Windows Type for Forward- and Backward-Lookingness Examination. Application for Inflation Expectation	2
Multi-Scale Event Detection in Financial Time Series	2
Integrated decision recommendation system using iteration-enhanced collaborative filtering, golden cut bipolar for analyzing the risk-based oil market spillovers	2
Systematic and Unsystematic Determinants of Sectoral Risk Default Interconnectedness	2
Is Time an Illusion? A Bootstrap Likelihood Ratio Test for Shock Transmission Delays in DSGE Models	2
Optimized Machine Learning Algorithms for Investigating the Relationship Between Economic Development and Human Capital	2
Research on ESG Investment Efficiency Regulation from the Perspective of Reciprocity and Evolutionary Game	2
Undirected and Directed Network Analysis of the Chinese Stock Market	2
Dynamics of Firm’s Investment in Education and Training: An Agent-based Approach	2
On the Replication of the Pre-kernel and Related Solutions	2
Impact of Macroeconomics Factors on Cryptocurrency Pricing: Evidence from Bitcoin and Ethereum Markets	2
Prediction and Allocation of Stocks, Bonds, and REITs in the US Market	2
Modeling Bitcoin Prices using Signal Processing Methods, Bayesian Optimization, and Deep Neural Networks	2
Quantum Optimized Cost Based Feature Selection and Credit Scoring for Mobile Micro-financing	2
Inferring Causal Interactions in Financial Markets Using Conditional Granger Causality Based on Quantile Regression	2
A Team-Innovative Optimization Search Algorithm and its Application to Cash Flow Forecasting	2
Tail Risk Early Warning System for Capital Markets Based on Machine Learning Algorithms	2
Examination of Bitcoin Hedging, Diversification and Safe-Haven Ability During Financial Crisis: Evidence from Equity, Bonds, Precious Metals and Exchange Rate Markets	2