Carl Chiarella : Citation Profile


Deceased: 2016-06-21

27

H index

67

i10 index

3122

Citations

RESEARCH PRODUCTION:

113

Articles

199

Papers

10

Books

10

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   38 years (1978 - 2016). See details.
   Cites by year: 82
   Journals where Carl Chiarella has often published
   Relations with other researchers
   Recent citing documents: 114.    Total self citations: 171 (5.19 %)

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   Permalink: http://citec.repec.org/pch240
   Updated: 2021-03-01    RAS profile:    
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Relations with other researchers


Works with:

Nikitopoulos-Sklibosios, Christina (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Carl Chiarella.

Is cited by:

He, Xuezhong (228)

Westerhoff, Frank (178)

Hommes, Cars (107)

Li, Youwei (101)

Anufriev, Mikhail (95)

Li, Kai (47)

Flaschel, Peter (47)

Bottazzi, Giulio (41)

Gardini, Laura (40)

Proaño, Christian (39)

Charpe, Matthieu (39)

Cites to:

He, Xuezhong (189)

Hommes, Cars (128)

Flaschel, Peter (119)

Brock, William (78)

Semmler, Willi (63)

Jarrow, Robert (51)

Lux, Thomas (50)

merton, robert (34)

Gardini, Laura (29)

Huang, Weihong (25)

El-Hassan, Nadima (22)

Main data


Where Carl Chiarella has published?


Journals with more than one article published# docs
Journal of Economic Dynamics and Control12
Journal of Economic Behavior & Organization11
Computational Economics8
Applied Mathematical Finance6
Quantitative Finance6
Studies in Nonlinear Dynamics & Econometrics5
International Journal of Theoretical and Applied Finance (IJTAF)5
Macroeconomic Dynamics5
European Journal of Political Economy4
Journal of Futures Markets4
The European Journal of Finance4
Physica A: Statistical Mechanics and its Applications3
Economic Modelling3
Journal of Economics3
International Game Theory Review (IGTR)2
Annals of Operations Research2
European Journal of Operational Research2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney88
Working Paper Series / Finance Discipline Group, UTS Business School, University of Technology, Sydney51
Computing in Economics and Finance 2002 / Society for Computational Economics10
Computing in Economics and Finance 2005 / Society for Computational Economics5
Computing in Economics and Finance 2006 / Society for Computational Economics5
Computing in Economics and Finance 2004 / Society for Computational Economics5
Computing in Economics and Finance 1997 / Society for Computational Economics4
Computing in Economics and Finance 2003 / Society for Computational Economics4
Publications of Darmstadt Technical University, Institute for Business Studies (BWL) / Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)4
Finance / University Library of Munich, Germany2
Working Papers / New School for Social Research, Department of Economics2
CeNDEF Workshop Papers, January 2001 / Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance2
Computing in Economics and Finance 1999 / Society for Computational Economics2

Recent works citing Carl Chiarella (2021 and 2020)


YearTitle of citing document
2020Wishart-Gamma mixtures for multiperil experience ratemaking, frequency-severity experience rating and micro-loss reserving. (2020). Lu, Yang ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020016.

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2021The Economics of Enlightenment: Time Value of Knowledge and the Net Present Value (NPV) of Knowledge Machines. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1908.03233.

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2020Compact Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Based on Regime Switching Model. (2019). Liu, Ruihua ; Dai, Weizhong ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:1908.04900.

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2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

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2020Pricing Exchange Options under Stochastic Correlation. (2020). Olivares, Pablo ; Villamor, Enrique. In: Papers. RePEc:arx:papers:2001.03967.

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2020A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics. (2020). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2002.10194.

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2020Representation of Exchange Option Prices under Stochastic Volatility Jump-Diffusion Dynamics. (2020). Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2002.10202.

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2020Correlating L\evy processes with Self-Decomposability: Applications to Energy Markets. (2020). Sasso, Emanuela ; Sabino, Piergiacomo ; Gardini, Matteo. In: Papers. RePEc:arx:papers:2004.04048.

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2020Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences. (2020). Nwogugu, Michael. In: Papers. RePEc:arx:papers:2005.01709.

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2020Dynamic Coupling and Market Instability. (2020). Zaparanuks, Dmitrijs ; Court, Elias ; Clack, Christopher D. In: Papers. RePEc:arx:papers:2005.13621.

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2020Multigrid Iterative Algorithms based on Compact Finite Difference Schemes and Hermite interpolation for Solving Regime Switching American Options. (2020). Dai, Weizhong ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:2008.00925.

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2020Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon. (2020). de Angelis, Tiziano. In: Papers. RePEc:arx:papers:2009.01276.

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2020Analysis of the impact of maker-taker fees on the stock market using agent-based simulation. (2020). Hoshino, Mahiro ; Yagi, Isao ; Mizuta, Takanobu. In: Papers. RePEc:arx:papers:2010.08992.

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2020Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation. (2020). Maruyama, Shunya ; Yagi, Isao ; Mizuta, Takanobu. In: Papers. RePEc:arx:papers:2010.13036.

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2020Analysis of the Impact of High-Frequency Trading on Artificial Market Liquidity. (2020). Masuda, Yuji ; Yagi, Isao ; Mizuta, Takanobu. In: Papers. RePEc:arx:papers:2010.13038.

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2020Explicit RKF-Compact Scheme for Pricing Regime Switching American Options with Varying Time Step. (2020). Dai, Weizhong ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:2012.09820.

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2020A geometric analysis of nonlinear dynamics and its application to financial time series. (2020). Nozawa, Masahiro ; Shoji, Isao. In: Papers. RePEc:arx:papers:2012.11825.

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2021Pyramid scheme in stock market: a kind of financial market simulation. (2021). Du, Guangle ; Shi, Yong ; Li, BO. In: Papers. RePEc:arx:papers:2102.02179.

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2020Modelling Small Open Developing Economies in a Financialized World: A Stock-Flow Consistent Prototype Growth Model. (2020). Yilmaz, Sakir ; Godin, Antoine. In: Working Paper. RePEc:avg:wpaper:en10824.

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2020Business Cycles in a Dynamic General Equilibrium Model with Monopolistic and Perfect Competition. (2020). Zhang, Wei-Bin. In: Bingol University Journal of Economics and Administrative Sciences. RePEc:bgo:journl:v:4:y:2020:i:1:p:11-33repec/bgo/.

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2020Regional financial market bloc and spillover of the financial crisis: A heterogeneous agents approach. (2020). Chen, Zhenxi. In: Manchester School. RePEc:bla:manchs:v:88:y:2020:i:2:p:262-281.

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2020Cyclical dynamics in a Kaleckian model with demand and distribution regimes and endogenous natural output. (2020). Stockhammer, Engelbert ; NISHI, Hiroshi. In: Metroeconomica. RePEc:bla:metroe:v:71:y:2020:i:1:p:256-288.

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2020The Economics of Enlightenment: Time Value of Knowledge and the Net Present Value (NPV) of Knowledge Machines, A Proposed Approach Adapted from Finance. (2020). Ravi, Kashyap. In: The B.E. Journal of Economic Analysis & Policy. RePEc:bpj:bejeap:v:20:y:2020:i:2:p:23:n:4.

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2020Gold and Oil Prices: Abnormal Returns, Momentum and Contrarian Effects. (2020). Plastun, Alex ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8445.

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2020How market intervention can prevent bubbles and crashes. (2020). Sornette, Didier ; Westphal, Rebecca. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp2074.

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2020An iterative splitting method for pricing European options under the Heston model?. (2020). Huang, Zhongyi ; Li, Hongshan. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:387:y:2020:i:c:s0096300320303854.

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2020Global commodity prices and global stock market volatility shocks: Effects across countries. (2020). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: Journal of Asian Economics. RePEc:eee:asieco:v:71:y:2020:i:c:s1049007820301299.

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2020Does the “uptick rule” stabilize the stock market? Insights from adaptive rational equilibrium dynamics. (2020). Radi, Davide ; Dercole, Fabio. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:130:y:2020:i:c:s0960077919303625.

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2020Dynamical analysis of a financial market with fundamentalists, chartists, and imitators. (2020). Campisi, Giovanni ; Brianzoni, Serena. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:130:y:2020:i:c:s0960077919303807.

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2020Optimal consumption and portfolio decision with stochastic covariance in incomplete markets. (2020). Hu, Zhijun ; Wang, Hang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:138:y:2020:i:c:s0960077920301776.

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2020Mean-variance analysis and the Modified Market Portfolio. (2020). Wenzelburger, Jan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919302167.

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2020Co-existence of trend and value in financial markets: Estimating an extended Chiarella model. (2020). Bouchaud, Jean-Philippe ; Ciliberti, Stefano ; Majewski, Adam A. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:112:y:2020:i:c:s0165188919301885.

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2020Quantifying the concerns of Dimon and Buffett with data and computation. (2020). Oldham, Matthew. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300336.

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2020Business fluctuations in a behavioral switching model: Gridlock effects and credit crunch phenomena in financial networks. (2020). Grilli, Ruggero ; Gallegati, Mauro ; Tedeschi, Gabriele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188918303476.

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2020The high frequency trade off between speed and sophistication. (2020). Ladley, Daniel. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300804.

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2020Investment flexibility as a barrier to entry. (2020). Guthrie, Graeme. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300968.

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2020Winter is possibly not coming: Mitigating financial instability in an agent-based model with interbank market. (2020). Roventini, Andrea ; Napoletano, Mauro ; Popoyan, Lilit. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301056.

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2020Investor overconfidence and the security market line: New evidence from China. (2020). Li, Youwei ; Han, Xing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301299.

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2020Coordinated bubbles and crashes. (2020). Zheng, Huanhuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301421.

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2020When are credit gap estimates reliable?. (2020). Ponomarenko, Alexey ; Rozhkova, Anna ; Deryugina, Elena. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:67:y:2020:i:c:p:221-238.

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2020A Keynesian Dynamic Stochastic Disequilibrium model for business cycle analysis. (2020). Schoder, Christian. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:117-132.

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2020Distribution shocks in a Kaleckian model with hysteresis and monetary policy. (2020). Stockhammer, Engelbert ; NISHI, Hiroshi. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:465-479.

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2020Modelling contagion of financial crises. (2020). Chen, Zhenxi ; Huang, Weihong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s106294081830069x.

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2020Generalized affine transform on pricing quanto range accrual note. (2020). Zhang, Teng ; Huang, Henry H ; Li, Shaoyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s106294081830295x.

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2020Valuing spread options with counterparty risk and jump risk. (2020). Wang, Xingchun ; Li, Zelei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301650.

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2020Eductive stability may not imply evolutionary stability in the presence of information costs. (2020). Naimzada, Ahmad ; Pireddu, Marina. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519302381.

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2020Modeling the emission trading scheme from an agent-based perspective: System dynamics emerging from firms’ coordination among abatement options. (2020). Eichhammer, Wolfgang ; Zhu, Lei ; Fan, Ying ; Yu, Song-Min. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1113-1128.

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2020Unifying Gaussian dynamic term structure models from a Heath–Jarrow–Morton perspective. (2020). Yu, Fan ; Ye, Xiaoxia ; Li, Haitao. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1153-1167.

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2020Economic determinants of oil futures volatility: A term structure perspective. (2020). Prokopczuk, Marcel ; Nikitopoulos-Sklibosios, Christina ; Kang, Boda. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300827.

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2020The role of hormones in financial markets. (2020). Bose, Subir ; Li, Xin ; Ladley, Daniel. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521918307890.

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2020Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market. (2020). Sensoy, Ahmet ; Serdengeti, Suleyman. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305642.

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2020How do sovereign credit default swap spreads behave under extreme oil price movements? Evidence from G7 and BRICS countries. (2020). Li, Jianping ; Sun, Xiaolei ; Wang, Jun. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319306981.

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2020Bitcoin: Speculative asset or innovative technology?. (2020). Lee, Adrian ; Zheng, Huanhuan ; Li, Mengling . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120300937.

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2020Absence of speculation in the European sovereign debt markets. (2020). Frijns, Bart. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:169:y:2020:i:c:p:245-265.

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2020Market impact and performance of arbitrageurs of financial bubbles in an agent-based model. (2020). Sornette, Didier ; Westphal, Rebecca. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:171:y:2020:i:c:p:1-23.

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2020An analytical solution for network models with heterogeneous and interacting agents. (2020). Stiglitz, Joseph ; Gallegati, Mauro ; Di Guilmi, Corrado ; Landini, S. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:171:y:2020:i:c:p:189-220.

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2020Minsky from the bottom up – Formalising the two-price model of investment in a simple agent-based framework. (2020). Reissl, Severin. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:177:y:2020:i:c:p:109-142.

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2020Rational expectations (may) lead to complex dynamics in a Muthian cobweb model with heterogeneous agents. (2020). Naimzada, Ahmad ; Pireddu, Marina. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:177:y:2020:i:c:p:415-432.

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2020Rising to the challenge: Bayesian estimation and forecasting techniques for macroeconomic Agent Based Models. (2020). Grazzini, Jakob ; Delli Gatti, Domenico. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:178:y:2020:i:c:p:875-902.

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2020Competitive real options under private information. (2020). Iachan, Felipe ; Gorno, Leandro. In: Journal of Economic Theory. RePEc:eee:jetheo:v:185:y:2020:i:c:s0022053119300973.

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2020A mathematical formulation of order cancellation for the agent-based modelling of financial markets. (2020). Yoshimura, Yushi ; Chen, YU ; Okuda, Hiroshi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:538:y:2020:i:c:s0378437119314372.

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2021Information flux in complex networks: Path to stylized facts. (2021). Bosco, A R ; Atman, A. P. F., ; Ducha, F A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:566:y:2021:i:c:s0378437120309365.

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2020Geometric ergodicity of affine processes on cones. (2020). Vestweber, Johanna ; Stelzer, Robert ; Mayerhofer, Eberhard. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:7:p:4141-4173.

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2020Monetary policy in the unique growth cycle of post Keynesian systems. (2020). Murakami, Hiroki. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:52:y:2020:i:c:p:39-49.

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2020Oil Price Forecasting Using a Time-Varying Approach. (2020). Wang, Shun-Gang ; Zhang, Zhi-Gang ; Zhao, Lu-Tao. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:6:p:1403-:d:333553.

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2020Latent Segmentation of Stock Trading Strategies Using Multi-Modal Imitation Learning. (2020). Kitano, Michiharu ; Degraw, David ; Maeda, Iwao ; Kato, Atsuo ; Sakaji, Hiroki ; Izumi, Kiyoshi ; Matsushima, Hiroyasu. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:11:p:250-:d:433565.

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2020Deep Reinforcement Learning in Agent Based Financial Market Simulation. (2020). Kato, Atsuo ; Izumi, Kiyoshi ; Sakaji, Hiroki ; Matsushima, Hiroyasu ; Kitano, Michiharu ; Degraw, David ; Maeda, Iwao. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:4:p:71-:d:344491.

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2020The Effect of Firm Size, Profitability, Audit Committee, and Other Factors to Firm Value. (2020). Djashan, Indra Arifin. In: GATR Journals. RePEc:gtr:gatrjs:afr186.

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2020Confidence Collapse in a Multi-Household, Self-Reflexive DSGE Model. (2020). Bouchaud, Jean-Philippe ; Tarzia, Marco ; Benzaquen, Michael ; Morelli, Federico. In: Post-Print. RePEc:hal:journl:hal-02323098.

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2020Estimation of the number of factors in a multi-factorial Heath-Jarrow-Morton model in electricity markets. (2020). Gruet, Pierre ; Feron, Olivier. In: Working Papers. RePEc:hal:wpaper:hal-02880824.

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2020Revising the Impact of Global Commodity Prices and Global Stock Market Volatility Shocks: Effects across Countries*. (2020). Vespignani, Joaquin ; Ratti, Ronald ; Bd, Ronald Ratti ; Kang, Wensheng . In: Working Papers. RePEc:hal:wpaper:hal-03071532.

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2020On the Price Dynamics of a Two-Dimensional Financial Market Model with Entry Levels. (2020). Gu, En-Guo. In: Complexity. RePEc:hin:complx:3654083.

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2020Cyclical behaviour of the Swiss real estate market. (2020). Bellalah, Mondher ; ben Bouheni, Faten ; Kostadinov, Fabian ; Ankenbrand, Thomas. In: International Journal of Entrepreneurship and Small Business. RePEc:ids:ijesbu:v:39:y:2020:i:1/2:p:71-99.

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2020Option-Implied Intrahorizon Value at Risk. (2020). Leippold, Markus ; Vasiljevi, Nikola. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:1:p:397-414.

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2020Impact of Electronic Liquidity Providers Within a High-Frequency Agent-Based Modeling Framework. (2020). Mandes, Alexandru. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:2:d:10.1007_s10614-019-09891-1.

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2020SABCEMM: A Simulator for Agent-Based Computational Economic Market Models. (2020). Frank, Martin ; Pabich, Emma ; Beikirch, Maximilian ; Cramer, Simon ; Otte, Philipp ; Trimborn, Torsten. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:2:d:10.1007_s10614-019-09910-1.

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2020Heterogén kereskedési stratégiák hatása a piaci árfolyamokra. (2020). Vig, Attila Andras ; Bihary, Zsolt. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1914.

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2020Investor sentiment and trading behavior. (2020). Campisi, Giovanni ; Muzzioli, Silvia. In: Department of Economics. RePEc:mod:depeco:0163.

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2020Fundamentalists heterogeneity and the role of the sentiment indicator. (2020). Campisi, Giovanni ; Muzzioli, Silvia. In: Department of Economics. RePEc:mod:depeco:0167.

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2020Social Transmission Bias and Cultural Evolution in Financial Markets. (2020). Hirshleifer, David ; Akcay, Erol. In: NBER Working Papers. RePEc:nbr:nberwo:27745.

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2021Kaleckian Investment and Employment Cycles in Postwar Industrialized Economies. (2021). Franke, Reiner ; Semmler, Willi ; Flaschel, Peter. In: Working Papers. RePEc:new:wpaper:2103.

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2020GLOBAL DEVELOPMENT, TRADE, HUMAN CAPITAL, AND BUSINESS CYCLES. (2020). Zhang, Wei-Bin. In: Oradea Journal of Business and Economics. RePEc:ora:jrojbe:v:5:y:2020:i:special:p:9-29.

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2020Testing fundamentalist-momentum trader financial cycles. An empirical analysis via the Kalman filter. (2020). Stockhammer, Engelbert ; Gusella, Filippo. In: Working Papers. RePEc:pke:wpaper:pkwp2009.

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2021Pandemics and Aggregate Demand: a Framework for Policy Analysis. (2021). Flaschel, Peter ; Galanis, Giorgos ; Tavani, Daniele ; Veneziani, Roberto. In: Working Papers. RePEc:pke:wpaper:pkwp2025.

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2020The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets. (2020). Takayasu, Misako ; Christensen, Kim ; Sueshige, Takumi ; Ciacci, Alberto. In: PLOS ONE. RePEc:plo:pone00:0234709.

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2020Herding or wisdom of the crowd? Controlling efficiency in a partially rational financial market. (2020). Delellis, Pietro ; Giannini, Lorenzo ; della Rossa, Fabio. In: PLOS ONE. RePEc:plo:pone00:0239132.

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2020Monetary Growth with Disequilibrium: a Non-Walrasian baseline model. (2020). Ogawa, Shogo. In: MPRA Paper. RePEc:pra:mprapa:101236.

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2020A Fast and Parsimonious Way to Estimate the Implied Rate of Return on Equity. (2020). Sanna, Dario. In: MPRA Paper. RePEc:pra:mprapa:102072.

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2020Numerical Analysis of the Disequilibrium Monetary Growth Model: Secular Stagnation, Slow Convergence, and Cyclical Fluctuations. (2020). Sasaki, Hiroaki ; Ogawa, Shogo. In: MPRA Paper. RePEc:pra:mprapa:103845.

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2021A dynamic model of global value network governance. (2021). Kumar, Ashok ; Galanis, Giorgos. In: Environment and Planning A. RePEc:sae:envira:v:53:y:2021:i:1:p:53-72.

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2020Trading strategy with stochastic volatility in a limit order book market. (2020). Siu, Tak Kuen ; Gu, Jiawen ; Ching, Wai-Ki ; Yang, Qing-Qing . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-020-00278-8.

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2020Groundwater extraction among overlapping generations: a differential game approach. (2020). Maddalena, Lucia ; Biancardi, Marta ; Villani, Giovanni. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:2:d:10.1007_s10203-020-00292-w.

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2020Economic volatility and sovereign yields’ determinants: a time-varying approach. (2020). Jalles, Joao ; Afonso, Antonio. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:2:d:10.1007_s00181-018-1540-6.

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2020Dynamics of the European sovereign bonds and the identification of crisis periods. (2020). Reitz, Stefan ; Chen, Zhenxi. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:6:d:10.1007_s00181-019-01653-0.

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2020Cost-benefit analysis of trading strategies in the stock index futures market. (2020). Liu, Jun ; Yan, Xiaocong ; Cui, Yian ; Xiong, Xiong ; He, Shaoyi. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00191-4.

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2020Regime switching affine processes with applications to finance. (2020). Beek, Misha ; Winands, Erik ; Spreij, Peter ; Mandjes, Michel. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00419-2.

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2020Much ado about making money: the impact of disclosure, news and rumors on the formation of security market prices over time. (2020). Righi, Simone ; Biondi, Yuri. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:2:d:10.1007_s11403-017-0201-8.

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2020Combining monetary policy and prudential regulation: an agent-based modeling approach. (2020). Lima, Gilberto ; Alexandre, Michel. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:2:d:10.1007_s11403-017-0209-0.

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2020Information versus imitation in a real-time agent-based model of financial markets. (2020). Biondo, Alessio Emanuele. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:3:d:10.1007_s11403-019-00249-2.

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2020Arbitrage, speculation and futures price fluctuations with boundedly rational and heterogeneous agents. (2020). Yang, Zhe ; Gong, Qingbin. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:4:d:10.1007_s11403-019-00262-5.

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2020Investment behaviour and “bull & bear” dynamics: modelling real and stock market interactions. (2020). Dávila-Fernández, Marwil ; Davila-Fernandez, Marwil J ; Sordi, Serena. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:4:d:10.1007_s11403-019-00279-w.

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More than 100 citations found, this list is not complete...

Carl Chiarella has edited the books:


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Works by Carl Chiarella:


YearTitleTypeCited
2001Output and Interest Rates. Jump Variable and Phase Diagram Switching Methodologies In: CeNDEF Workshop Papers, January 2001.
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paper0
2001Asset Price and Wealth Dynamics under Heterogeneous Expectations In: CeNDEF Workshop Papers, January 2001.
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paper135
2001Asset price and wealth dynamics under heterogeneous expectations.(2001) In: Quantitative Finance.
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2001Asset Price and Wealth Dynamics Under Heterogeneous Expectations.(2001) In: Research Paper Series.
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This paper has another version. Agregated cites: 135
paper
2004A Dynamic Analysis of Moving Average Rules In: CeNDEF Working Papers.
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paper97
2006A dynamic analysis of moving average rules.(2006) In: Journal of Economic Dynamics and Control.
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article
2004A Dynamical Analysis of Moving Average Rules.(2004) In: Computing in Economics and Finance 2004.
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paper
2005A Dynamic Analysis of Moving Average Rules.(2005) In: Tinbergen Institute Discussion Papers.
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paper
2004A Dynamic Analysis of Moving Average Rules.(2004) In: Research Paper Series.
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This paper has another version. Agregated cites: 97
paper
2007The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows In: Papers.
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paper128
2008The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows.(2008) In: Working Papers.
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paper
2009The impact of heterogeneous trading rules on the limit order book and order flows.(2009) In: Journal of Economic Dynamics and Control.
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article
2005The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows.(2005) In: Research Paper Series.
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paper
2011STOCK‐FLOW INTERACTIONS, DISEQUILIBRIUM MACROECONOMICS AND THE ROLE OF ECONOMIC POLICY In: Journal of Economic Surveys.
[Citation analysis]
article5
2005MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES In: Mathematical Finance.
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article32
2000Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices.(2000) In: Research Paper Series.
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paper
2012Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies In: Studies in Nonlinear Dynamics & Econometrics.
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article0
2012The Fiscal Cost of Financial Instability In: Studies in Nonlinear Dynamics & Econometrics.
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article1
2015The limit distribution of evolving strategies in financial markets In: Studies in Nonlinear Dynamics & Econometrics.
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article6
2011Limit Distribution of Evolving Strategies in Financial Markets.(2011) In: Research Paper Series.
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paper
2002Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data In: Studies in Nonlinear Dynamics & Econometrics.
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article5
2004Inferring the Forward Looking Equity Risk Premium from Derivative Prices In: Studies in Nonlinear Dynamics & Econometrics.
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article6
1991The birth of limit cycles in Cournot oligopoly models with time delays In: Pure Mathematics and Applications.
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article3
1991The Birth of Limit Cycles in Cournot Oligopoly Models with Time Delays.(1991) In: Working Paper Series.
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paper
2011The Dynamics of Keynesian Monetary Growth In: Cambridge Books.
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book86
2000The Dynamics of Keynesian Monetary Growth.(2000) In: Cambridge Books.
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This paper has another version. Agregated cites: 86
book
2003THE DYNAMICS OF KEYNESIAN MONETARY GROWTH.(2003) In: Macroeconomic Dynamics.
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This paper has another version. Agregated cites: 86
article
2011Foundations for a Disequilibrium Theory of the Business Cycle In: Cambridge Books.
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book60
2005Foundations for a Disequilibrium Theory of the Business Cycle.(2005) In: Cambridge Books.
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This paper has another version. Agregated cites: 60
book
2011Financial Assets, Debt and Liquidity Crises In: Cambridge Books.
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book22
2015Financial Assets, Debt and Liquidity Crises In: Cambridge Books.
[Citation analysis]
book11
2012A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET In: Macroeconomic Dynamics.
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article9
2009A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market.(2009) In: Research Paper Series.
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paper
2017MONETARY POLICY AND DEBT DEFLATION: SOME COMPUTATIONAL EXPERIMENTS In: Macroeconomic Dynamics.
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article8
2013Monetary Policy and Debt Deflation: Some Computational Experiments.(2013) In: CAMA Working Papers.
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paper
2013Monetary Policy and Debt Deflation: Some Computational Experiments.(2013) In: Working Paper Series.
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paper
1998DYNAMICS OF NATURAL RATES OF GROWTH AND EMPLOYMENT In: Macroeconomic Dynamics.
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article3
2003HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER In: Macroeconomic Dynamics.
[Full Text][Citation analysis]
article102
2000Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker.(2000) In: Research Paper Series.
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This paper has another version. Agregated cites: 102
paper
2001Output, Interest and the Stock Market: An Alternative to the Jump Variable Technique In: Bulletin of the Czech Econometric Society.
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article0
2006Investigation nonlinear speculation in cattle, corn, and hog futures markets using logistics smooth transition regression models In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
[Citation analysis]
paper0
2007Investigating Nonlinear Speculation in Cattle, Corn, and Hog Futures Markets using Logistic Smooth Transition Regression Models In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
[Citation analysis]
paper25
2006Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models.(2006) In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
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This paper has another version. Agregated cites: 25
paper
2006Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models.(2006) In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
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This paper has another version. Agregated cites: 25
paper
2006Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models.(2006) In: Research Paper Series.
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This paper has another version. Agregated cites: 25
paper
2007Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models.(2007) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 25
article
2006Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models.(2006) In: Darmstadt Discussion Papers in Economics.
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paper
2010Some Numerical Explorations of the Keynes-Metzler-Goodwin Monetary Growth Model In: Indian Economic Review.
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article0
2014Financial instability and debt deflation dynamics in a bottom-up approach In: Economics Bulletin.
[Full Text][Citation analysis]
article1
2003The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison In: Royal Economic Society Annual Conference 2003.
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paper6
2003The jump component of the volatility structure of interest rate futures markets: An international comparison.(2003) In: Journal of Futures Markets.
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article
2004Estimation of the Volatility Structure of the Fixed Income Market In: Econometric Society 2004 Australasian Meetings.
[Citation analysis]
paper0
2009The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach In: Computational Statistics & Data Analysis.
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article10
2005The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach.(2005) In: Research Paper Series.
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This paper has another version. Agregated cites: 10
paper
1999Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article25
2000High order disequilibrium growth dynamics: Theoretical aspects and numerical features In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article4
2003Dynamics of beliefs and learning under aL-processes -- the heterogeneous case In: Journal of Economic Dynamics and Control.
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article58
2001Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case.(2001) In: Research Paper Series.
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This paper has another version. Agregated cites: 58
paper
2005Evaluation of American strangles In: Journal of Economic Dynamics and Control.
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article16
2002Evaluation of American Strangles.(2002) In: Computing in Economics and Finance 2002.
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This paper has another version. Agregated cites: 16
paper
2002Evaluation of American Strangles.(2002) In: Research Paper Series.
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This paper has another version. Agregated cites: 16
paper
2006Asset price and wealth dynamics in a financial market with heterogeneous agents In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article77
2004Asset price and wealth dynamics in a financial market with heterogeneous agents.(2004) In: Computing in Economics and Finance 2004.
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paper
2004Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents.(2004) In: Research Paper Series.
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This paper has another version. Agregated cites: 77
paper
2010Preface In: Journal of Economic Dynamics and Control.
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2011An analysis of the effect of noise in a heterogeneous agent financial market model In: Journal of Economic Dynamics and Control.
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2011The financial instability hypothesis: A stochastic microfoundation framework In: Journal of Economic Dynamics and Control.
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article53
2010The Financial Instability Hypothesis: A Stochastic Microfoundation Framework.(2010) In: Research Paper Series.
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paper
2014Volatility swaps and volatility options on discretely sampled realized variance In: Journal of Economic Dynamics and Control.
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article4
2015Learning, information processing and order submission in limit order markets In: Journal of Economic Dynamics and Control.
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article12
1986Perfect foresight models and the dynamic instability problem from a higher viewpoint In: Economic Modelling.
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article10
1988The cobweb model: Its instability and the onset of chaos In: Economic Modelling.
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article66
1989Innovation and the transfer of technology : A leader-follower model In: Economic Modelling.
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article2
2005A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models In: European Journal of Operational Research.
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article5
2011Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model In: European Journal of Operational Research.
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article13
2008Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model.(2008) In: Research Paper Series.
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2009Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model.(2009) In: Research Paper Series.
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2015Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market In: Journal of Empirical Finance.
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article25
2016Stochastic correlation and risk premia in term structure models In: Journal of Empirical Finance.
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article6
2011Stochastic Correlation and Risk Premia in Term Structure Models.(2011) In: Research Paper Series.
[Full Text][Citation analysis]
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paper
2013Humps in the volatility structure of the crude oil futures market: New evidence In: Energy Economics.
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article20
2012Humps in the Volatility Structure of the Crude Oil Futures Market.(2012) In: Research Paper Series.
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2004The value of the S&P 500--A macro view of the stock market adjustment process In: Global Finance Journal.
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article5
2014Pricing range notes within Wishart affine models In: Insurance: Mathematics and Economics.
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article5
2016Chasing trends at the micro-level: The effect of technical trading on order book dynamics In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article4
2014Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500 In: Journal of Economic Behavior & Organization.
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article47
2014Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500.(2014) In: Research Paper Series.
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1992Economic dynamics : Wei-Bin Zhang, (Lecture Notes in Economics and Mathematical Systems, Springer Verlag, 1990) vol. 350, pp. x+232, DM 45 (paper) In: Journal of Economic Behavior & Organization.
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1996Real and monetary cycles in models of Keynes-Wicksell type In: Journal of Economic Behavior & Organization.
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2002Speculative behaviour and complex asset price dynamics: a global analysis In: Journal of Economic Behavior & Organization.
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article120
2001Speculative Behaviour and Complex Asset Price Dynamics.(2001) In: Research Paper Series.
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2004Dynamic oligopolies without full information and with continuously distributed time lags In: Journal of Economic Behavior & Organization.
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article11
2006A re-evaluation of adaptive expectations in light of global nonlinear dynamic analysis In: Journal of Economic Behavior & Organization.
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article19
2006An analysis of the cobweb model with boundedly rational heterogeneous producers In: Journal of Economic Behavior & Organization.
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2007Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework In: Journal of Economic Behavior & Organization.
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2005Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework.(2005) In: Research Paper Series.
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2012Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability In: Journal of Economic Behavior & Organization.
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2011Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability.(2011) In: Working Papers.
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2012Estimating behavioural heterogeneity under regime switching In: Journal of Economic Behavior & Organization.
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2011Estimating Behavioural Heterogeneity Under Regime Switching.(2011) In: Research Paper Series.
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2006Keynesian dynamics and the wage-price spiral: A baseline disequilibrium model In: Journal of Macroeconomics.
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2004Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model.(2004) In: Working Paper Series.
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2006Moving average rules as a source of market instability In: Physica A: Statistical Mechanics and its Applications.
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2008The stochastic bifurcation behaviour of speculative financial markets In: Physica A: Statistical Mechanics and its Applications.
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2009Does the market maker stabilize the market? In: Physica A: Statistical Mechanics and its Applications.
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1986Competitive capitalism and cooperative labor management in a dynamic nutshell In: European Journal of Political Economy.
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1989The dynamic behaviour of workers enterprises In: European Journal of Political Economy.
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1990Excessive exchange rate variability : A possible explanation using nonlinear economic dynamics In: European Journal of Political Economy.
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1991The bifurcation of probability distributions in a non-linear rational expectations model of monetary economy In: European Journal of Political Economy.
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2001The macrodynamics of debt deflation In: Chapters.
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1999The Macrodynamics of Debt Deflation.(1999) In: SCEPA working paper series. SCEPA's main areas of research are macroeconomic policy, inequality and poverty, and globalization..
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2010Keynesian Macrodynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations In: Czech Economic Review.
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2001Asset price dynamics in a financial market with fundamentalists and chartists In: Discrete Dynamics in Nature and Society.
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2005Keynesian Dynamics and the Wage-Price Spiral: Analyzing and Estimating a Baseline Disequilibrium Model In: The IUP Journal of Monetary Economics.
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2011The dynamic behaviour of asset prices in disequilibrium: a survey In: International Journal of Behavioural Accounting and Finance.
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1984On the Economics of International Fisheries. In: International Economic Review.
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2013An evolutionary CAPM under heterogeneous beliefs In: Annals of Finance.
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2012An Evolutionary CAPM Under Heterogeneous Beliefs.(2012) In: Research Paper Series.
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2003A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework In: Asia-Pacific Financial Markets.
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2004A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework.(2004) In: Research Paper Series.
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2002Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model. In: Computational Economics.
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1999Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model.(1999) In: Computing in Economics and Finance 1999.
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1999Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model.(1999) In: Research Paper Series.
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2003An Implementation of Bouchouevs Method for a Short Time Calibration of Option Pricing Models In: Computational Economics.
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2003Asset Price Dynamics among Heterogeneous Interacting Agents In: Computational Economics.
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2002Asset Price Dynamics among Heterogeneous Interacting Agents.(2002) In: Computing in Economics and Finance 2002.
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2006The Multifactor Nature of the Volatility of Futures Markets In: Computational Economics.
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2006The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method In: Computational Economics.
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2005The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method.(2005) In: Research Paper Series.
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2007Intertemporal asset allocation when the underlying factors are unobservable In: Computational Economics.
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2008A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence In: Computational Economics.
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2011Foreword to the Special Issue of Computational Economics on Complex Dynamics in Economics and Finance In: Computational Economics.
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1996Book reviews In: Journal of Economics.
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2002Book Reviews In: Journal of Economics.
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2003Book Reviews In: Journal of Economics.
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2003Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields In: Review of Derivatives Research.
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2014Business Confidence and Macroeconomic Dynamics in a Nonlinear Two-Country Framework with Aggregate Opinion Dynamics In: Working Papers.
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1978Option Valuation: Some Empirical Results In: Australian Journal of Management.
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2000THE EVALUATION OF MULTIASSET EUROPEAN AND AMERICAN OPTIONS VIA FOURIER HERMITE SERIES EXPANSIONS In: Computing in Economics and Finance 2000.
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2001A Non-Stationary Asset Pricing Model under Heterogeneous Expectations In: Computing in Economics and Finance 2001.
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2002An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies In: Computing in Economics and Finance 2002.
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2002A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models. In: Computing in Economics and Finance 2002.
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2002On Market Games with Misspecified Demand Functions : Long Run Outcomes and Global Dynamics In: Computing in Economics and Finance 2002.
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2002The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions In: Computing in Economics and Finance 2002.
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2002A simple microstructure model of double auction markets In: Computing in Economics and Finance 2002.
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2002Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility In: Computing in Economics and Finance 2002.
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2002PRICE DYNAMICS AND DIVERSIFICATION UNDER HETEROGENEOUS EXPECTATIONS In: Computing in Economics and Finance 2002.
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2002Nonlinear Phillips Curves, the Emergence of Complex Dynamics and the Role of Monetary Policy Rules In: Computing in Economics and Finance 2002.
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2003Issues in Evaluating Multifactor Options in a PDE Framework In: Computing in Economics and Finance 2003.
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2003An Implementation of the Shirakawa Jump-Diffusion Term Structure Model In: Computing in Economics and Finance 2003.
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2003Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers In: Computing in Economics and Finance 2003.
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