24
H index
58
i10 index
2535
Citations
Carl Chiarella : Citation Profile
| RESEARCH PRODUCTION: 113 Articles 195 Papers 9 Books 10 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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38 years (1978 - 2016). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Carl Chiarella. | Is cited by:
| Cites to:
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Main data
Where Carl Chiarella has published?
Recent works citing Carl Chiarella (2018 and 2017)
| Year | Title of citing document | |
|---|---|---|
| 2017 | A unified framework for pricing credit and equity derivatives. (2017). de Martino, Andrea ; Stagni, Roberto ; Ruiz, Edward Manuel. In: Working Papers. RePEc:apc:wpaper:2017-116. Full description at Econpapers || Download paper | |
| 2017 | A hybrid approach for the implementation of the Heston model. (2017). Zanette, Antonino ; Briani, Maya ; Caramellino, Lucia . In: Papers. RePEc:arx:papers:1307.7178. Full description at Econpapers || Download paper | |
| 2017 | On a hybrid method using trees and finite-differences for pricing options in complex models. (2017). Briani, Maya ; Zanette, Antonino ; Caramellino, Lucia . In: Papers. RePEc:arx:papers:1603.07225. Full description at Econpapers || Download paper | |
| 2017 | The Problem of Calibrating an Agent-Based Model of High-Frequency Trading. (2017). Gebbie, Tim ; Platt, Donovan . In: Papers. RePEc:arx:papers:1606.01495. Full description at Econpapers || Download paper | |
| 2017 | Can Agent-Based Models Probe Market Microstructure?. (2017). Platt, Donovan ; Gebbie, Tim. In: Papers. RePEc:arx:papers:1611.08510. Full description at Econpapers || Download paper | |
| 2017 | Computing stable numerical solutions for multidimensional American option pricing problems: a semi-discretization approach. (2017). Soleymani, Fazlollah ; Egorova, Vera ; Company, Rafael . In: Papers. RePEc:arx:papers:1701.08545. Full description at Econpapers || Download paper | |
| 2017 | Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir. In: Papers. RePEc:arx:papers:1703.10639. Full description at Econpapers || Download paper | |
| 2017 | An empirical behavioural order-driven model with price limit rules. (2017). Gu, Gao-Feng ; Zhou, Wei-Xing ; Chen, Wei ; Zhang, Yong-Jie ; Xu, Hai-Chuan ; Xiong, Xiong. In: Papers. RePEc:arx:papers:1704.04354. Full description at Econpapers || Download paper | |
| 2017 | Stability of zero-growth economics analysed with a Minskyan model. (2017). Barrett, Adam B. In: Papers. RePEc:arx:papers:1704.08161. Full description at Econpapers || Download paper | |
| 2017 | Dynamical selection of Nash equilibria using Experience Weighted Attraction Learning: emergence of heterogeneous mixed equilibria. (2017). Nicole, Robin ; Sollich, Peter . In: Papers. RePEc:arx:papers:1706.09763. Full description at Econpapers || Download paper | |
| 2019 | Portfolio Optimization and Model Predictive Control: A Kinetic Approach. (2018). Trimborn, Torsten ; Frank, Martin ; Pareschi, Lorenzo. In: Papers. RePEc:arx:papers:1711.03291. Full description at Econpapers || Download paper | |
| 2017 | Black was right: Price is within a factor 2 of Value. (2017). Bouchaud, J P ; Ronia, Sin K ; Seager, P ; Majewski, A ; Lemp, Y ; Ciliberti, S. In: Papers. RePEc:arx:papers:1711.04717. Full description at Econpapers || Download paper | |
| 2017 | Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model. (2017). Pablo, Olivares ; Enrique, Villamor. In: Papers. RePEc:arx:papers:1711.10013. Full description at Econpapers || Download paper | |
| 2018 | SABCEMM-A Simulator for Agent-Based Computational Economic Market Models. (2018). Trimborn, Torsten ; Frank, Martin ; Pabich, Emma ; Beikirch, Max ; Cramer, Simon ; Otte, Philipp. In: Papers. RePEc:arx:papers:1801.01811. Full description at Econpapers || Download paper | |
| 2018 | Seasonal Stochastic Volatility and the Samuelson Effect in Agricultural Futures Markets. (2018). Schneider, Lorenz ; Tavin, Bertrand. In: Papers. RePEc:arx:papers:1802.01393. Full description at Econpapers || Download paper | |
| 2018 | Structural Estimation of Behavioral Heterogeneity. (2018). Shi, Zhentao ; Zheng, Huanhuan. In: Papers. RePEc:arx:papers:1802.03735. Full description at Econpapers || Download paper | |
| 2018 | Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation. (2018). Mendonca, Keegan ; Zuev, Konstantin M ; Pantelous, Athanasios A ; Kontosakos, Vasileios E. In: Papers. RePEc:arx:papers:1803.03364. Full description at Econpapers || Download paper | |
| 2018 | Dynamic Pricing and Learning with Competition: Insights from the Dynamic Pricing Challenge at the 2017 INFORMS RM & Pricing Conference. (2018). Odegaard, Fredrik ; van De, Ruben ; Riseth, Asbjorn Nilsen ; Martinez-Sykora, Antonio ; Lei, Xiao ; Haensel, Alwin ; Esders, Malte ; Ellina, Andria ; Currie, Christine ; Bayliss, Christopher ; Zachariades, Simos ; den Boer, Arnoud V. In: Papers. RePEc:arx:papers:1804.03219. Full description at Econpapers || Download paper | |
| 2018 | A Macroscopic Portfolio Model: From Rational Agents to Bounded Rationality. (2018). Trimborn, Torsten. In: Papers. RePEc:arx:papers:1805.11036. Full description at Econpapers || Download paper | |
| 2018 | Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation. (2018). Gellert, Karol ; Schlogl, Erik. In: Papers. RePEc:arx:papers:1806.05387. Full description at Econpapers || Download paper | |
| 2018 | Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model. (2018). Majewski, Adam ; Bouchaud, Jean-Philippe ; Ciliberti, Stefano. In: Papers. RePEc:arx:papers:1807.11751. Full description at Econpapers || Download paper | |
| 2018 | Forecasting of Jump Arrivals in Stock Prices: New Attention-based Network Architecture using Limit Order Book Data. (2018). Makinen, Milla ; Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho. In: Papers. RePEc:arx:papers:1810.10845. Full description at Econpapers || Download paper | |
| 2018 | Simulation of Stylized Facts in Agent-Based Computational Economic Market Models. (2018). Beikirch, Maximilian ; Trimborn, Torsten ; Pabich, Emma ; Otte, Philipp ; Frank, Martin ; Cramer, Simon. In: Papers. RePEc:arx:papers:1812.02726. Full description at Econpapers || Download paper | |
| 2019 | A Probabilistic Approach to Nonparametric Local Volatility. (2019). Tegn, Martin ; Roberts, Stephen. In: Papers. RePEc:arx:papers:1901.06021. Full description at Econpapers || Download paper | |
| 2019 | Analytic solutions in a continuous-time financial market model. (2019). Andr, Attila ; Bihary, Zsolt. In: Papers. RePEc:arx:papers:1902.09999. Full description at Econpapers || Download paper | |
| 2019 | Robust Mathematical Formulation and Implementation of Agent-Based Computational Economic Market Models. (2019). Otte, Philipp ; Frank, Martin ; Cramer, Simon ; Beikirch, Maximilian ; Trimborn, Torsten ; Pabich, Emma. In: Papers. RePEc:arx:papers:1904.04951. Full description at Econpapers || Download paper | |
| 2017 | Arrow-Debreu Model versus Kornai-critique. (2017). Moczar, Jozsef. In: Athens Journal of Business & Economics. RePEc:ate:journl:ajbev3i2-4. Full description at Econpapers || Download paper | |
| 2018 | Value Matters: The Long-run Behavior of Stock Index Returns. (2018). Angelini, Natascia ; Nardini, Franco ; Marmi, Stefano ; Bormetti, Giacomo. In: Review of Economics & Finance. RePEc:bap:journl:180202. Full description at Econpapers || Download paper | |
| 2018 | BUSINESS CYCLES IN A GENERAL EQUILIBRIUM DYNAMIC MODEL WITH LAND VALUE AND RENT. (2018). Zhang, Wei-Bin. In: Economic Annals. RePEc:beo:journl:v:62:y:2018:i:216:p:7-34. Full description at Econpapers || Download paper | |
| 2018 | BUSINESS CYCLES IN A GENERAL EQUILIBRIUM DYNAMIC MODEL WITH LAND VALUE AND RENT. (2018). Zhang, Wei-Bin. In: Economic Annals. RePEc:beo:journl:v:63:y:2018:i:216:p:7-34. Full description at Econpapers || Download paper | |
| 2018 | When are credit gap estimates reliable?. (2018). Ponomarenko, Alexey ; Deryugina, Elena ; Rozhkova, Anna. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps34. Full description at Econpapers || Download paper | |
| 2017 | TAKING STOCK: A RIGOROUS MODELLING OF ANIMAL SPIRITS IN MACROECONOMICS. (2017). Westerhoff, Frank ; Franke, Reiner ; Zamparelli, Luca ; Veneziani, Roberto. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:5:p:1152-1182. Full description at Econpapers || Download paper | |
| 2017 | THE AGENT†BASED APPROACH TO POST KEYNESIAN MACRO†MODELING. (2017). Di Guilmi, Corrado ; Zamparelli, Luca ; Veneziani, Roberto. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:5:p:1183-1203. Full description at Econpapers || Download paper | |
| 2017 | MINSKY MODELS: A STRUCTURED SURVEY. (2017). Stockhammer, Engelbert ; Nikolaidi, Maria ; Zamparelli, Luca ; Veneziani, Roberto. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:5:p:1304-1331. Full description at Econpapers || Download paper | |
| 2017 | Fiscal and Monetary Policy Rules in an Unstable Economy. (2017). Skott, Peter ; Ryoo, Soon. In: Metroeconomica. RePEc:bla:metroe:v:68:y:2017:i:3:p:500-548. Full description at Econpapers || Download paper | |
| 2017 | Comparing behavioural heterogeneity across asset classes. (2017). ter Ellen, Saskia ; Hommes, Cars. In: Working Paper. RePEc:bno:worpap:2017_12. Full description at Econpapers || Download paper | |
| 2017 | Heterogeneous beliefs and asset price dynamics: a survey of recent evidence. (2017). Verschoor, Willem ; ter Ellen, Saskia. In: Working Paper. RePEc:bno:worpap:2017_22. Full description at Econpapers || Download paper | |
| 2018 | Risk perceptions and fundamental effects on sovereign spreads. (2018). Migiakis, Petros ; Georgoutsos, Dimitris A. In: Working Papers. RePEc:bog:wpaper:250. Full description at Econpapers || Download paper | |
| 2017 | Catching-up and falling behind: Effects of learning in an R&D differential game with spillovers. (2017). Bondarev, Anton ; Greiner, Alfred. In: Working papers. RePEc:bsl:wpaper:2017/02. Full description at Econpapers || Download paper | |
| 2018 | Agent-based model of system-wide implications of funding risk. (2018). Halaj, Grzegorz ; Haaj, Grzegorz. In: Working Paper Series. RePEc:ecb:ecbwps:20182121. Full description at Econpapers || Download paper | |
| 2017 | Pricing American-style Parisian down-and-out call options. (2017). Le, Nhat-Tan ; Dang, Duy-Minh. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:305:y:2017:i:c:p:330-347. Full description at Econpapers || Download paper | |
| 2017 | Investigating the risk-return trade-off for crude oil futures using high-frequency data. (2017). Xia, Xiao-Hua ; Pan, Bin ; Huang, Jianbai ; Wen, Fenghua ; Gong, XU. In: Applied Energy. RePEc:eee:appene:v:196:y:2017:i:c:p:152-161. Full description at Econpapers || Download paper | |
| 2018 | A novel method based on numerical fitting for oil price trend forecasting. (2018). Zhao, Lu-Tao ; Zeng, Guan-Rong ; Guo, Shi-Qiu ; Wang, YI. In: Applied Energy. RePEc:eee:appene:v:220:y:2018:i:c:p:154-163. Full description at Econpapers || Download paper | |
| 2017 | Fast smoothing in switching approximations of non-linear and non-Gaussian models. (2017). Gorynin, Ivan ; Pieczynski, Wojciech ; Monfrini, Emmanuel ; Derrode, Stephane . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:114:y:2017:i:c:p:38-46. Full description at Econpapers || Download paper | |
| 2019 | When panic makes you blind: A chaotic route to systemic risk. (2019). Marmi, Stefano ; Lillo, Fabrizio ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:176-199. Full description at Econpapers || Download paper | |
| 2019 | Understanding flash crash contagion and systemic risk: A micro–macro agent-based approach. (2019). Wooldridge, Michael ; Calinescu, Anisoara ; Paulin, James. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:200-229. Full description at Econpapers || Download paper | |
| 2019 | Contagion between asset markets: A two market heterogeneous agents model with destabilising spillover effects. (2019). Hommes, Cars ; Vroegop, Joris. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:314-333. Full description at Econpapers || Download paper | |
| 2017 | Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201. Full description at Econpapers || Download paper | |
| 2017 | Markets with heterogeneous beliefs: A necessary and sufficient condition for a trader to vanish. (2017). Massari, Filippo . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:78:y:2017:i:c:p:190-205. Full description at Econpapers || Download paper | |
| 2017 | Booms, busts and behavioural heterogeneity in stock prices. (2017). Hommes, Cars ; In, Daan . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:101-124. Full description at Econpapers || Download paper | |
| 2017 | On the bimodality of the distribution of the S&P 500s distortion: Empirical evidence and theoretical explanations. (2017). Westerhoff, Frank ; Schmitt, Noemi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:34-53. Full description at Econpapers || Download paper | |
| 2017 | Debt-deflation, financial market stress and regime change – Evidence from Europe using MRVAR. (2017). Semmler, Willi ; Ernst, Ekkehard ; Haider, Alexander . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:81:y:2017:i:c:p:115-139. Full description at Econpapers || Download paper | |
| 2017 | Estimation of financial agent-based models with simulated maximum likelihood. (2017). BarunÃk, Jozef ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:21-45. Full description at Econpapers || Download paper | |
| 2017 | Optimal portfolios when variances and covariances can jump. (2017). Branger, Nicole ; Weisheit, Stefan ; Seifried, Frank Thomas ; Muck, Matthias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:59-89. Full description at Econpapers || Download paper | |
| 2018 | Agent-based model calibration using machine learning surrogates. (2018). Roventini, Andrea ; Sani, Amir ; Lamperti, Francesco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:366-389. Full description at Econpapers || Download paper | |
| 2018 | Market-making strategy with asymmetric information and regime-switching. (2018). Siu, Tak Kuen ; Gu, Jia-Wen ; Ching, Wai-Ki ; Yang, Qing-Qing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:408-433. Full description at Econpapers || Download paper | |
| 2018 | Evolutionary dynamics in club goods binary games. (2018). Merlone, Ugo ; Pruscini, Eros ; Bischi, Gian Italo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:104-119. Full description at Econpapers || Download paper | |
| 2018 | Dynamic analysis of discontinuous best response with innovation. (2018). Pezzino, Mario ; Tramontana, Fabio ; Lamantia, Fabio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:120-133. Full description at Econpapers || Download paper | |
| 2018 | Catching-up and falling behind: Effects of learning in an R&D differential game with spillovers. (2018). Bondarev, Anton ; Greiner, Alfred. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:134-156. Full description at Econpapers || Download paper | |
| 2018 | Reviving Kalecki’s business cycle model in a growth context. (2018). Franke, Reiner. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:157-171. Full description at Econpapers || Download paper | |
| 2018 | Growth and unemployment: Short-run and long-run tradeoffs. (2018). Turnovsky, Stephen J ; Schubert, Stefan F. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:172-189. Full description at Econpapers || Download paper | |
| 2018 | Macrofinancial imbalances in historical perspective: A global crisis index. (2018). Gallegati, Marco ; Delli Gatti, Domenico. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:190-205. Full description at Econpapers || Download paper | |
| 2018 | The role of cognitive limitations and heterogeneous expectations for aggregate production and credit cycle. (2018). DeGrauwe, Paul ; Gerba, Eddie ; de Grauwe, Paul. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:206-236. Full description at Econpapers || Download paper | |
| 2018 | A laboratory experiment on the heuristic switching model. (2018). Tuinstra, Jan ; Chernulich, Aleksei ; Anufriev, Mikhail. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:21-42. Full description at Econpapers || Download paper | |
| 2018 | Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics. (2018). Veneziani, Roberto ; Charpe, Matthieu ; Proao, Christian R ; Galanis, Giorgos ; Flaschel, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:237-256. Full description at Econpapers || Download paper | |
| 2018 | The effects of interbank networks on efficiency and stability in a macroeconomic agent-based model. (2018). Gurgone, Andrea ; Jafarey, Saqib ; Iori, Giulia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:257-288. Full description at Econpapers || Download paper | |
| 2018 | Stabilizing an unstable complex economy on the limitations of simple rules. (2018). Salle, Isabelle ; Seppecher, Pascal. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:289-317. Full description at Econpapers || Download paper | |
| 2018 | Financial stress, regime switching and spillover effects: Evidence from a multi-regime global VAR model. (2018). Semmler, Willi ; Chen, Pu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:318-348. Full description at Econpapers || Download paper | |
| 2018 | Solving an incomplete markets model with a large cross-section of agents. (2018). Mertens, Thomas M ; Judd, Kenneth L. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:349-368. Full description at Econpapers || Download paper | |
| 2018 | Estimation of agent-based models using sequential Monte Carlo methods. (2018). Lux, Thomas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:391-408. Full description at Econpapers || Download paper | |
| 2018 | Cognitive ability and earnings performance: Evidence from double auction market experiments. (2018). Chen, Shu-Heng ; Tai, Chung-Ching ; Yang, Lee-Xieng . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:409-440. Full description at Econpapers || Download paper | |
| 2018 | Interactions between stock, bond and housing markets. (2018). Westerhoff, Frank ; Schmitt, Noemi ; Dieci, Roberto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:43-70. Full description at Econpapers || Download paper | |
| 2018 | Asset allocation with time series momentum and reversal. (2018). Li, Youwei ; He, Xuezhong. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:441-457. Full description at Econpapers || Download paper | |
| 2018 | Boom-bust dynamics in a stock market participation model with heterogeneous traders. (2018). Naimzada, Ahmad ; Pecora, Nicolo ; Agliari, Anna. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:458-468. Full description at Econpapers || Download paper | |
| 2018 | An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets. (2018). JAWADI, Fredj ; Ftiti, Zied ; Namouri, Hela. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:469-484. Full description at Econpapers || Download paper | |
| 2018 | Time-varying arbitrage and dynamic price discovery. (2018). Frijns, Bart. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:485-502. Full description at Econpapers || Download paper | |
| 2018 | Carl’s nonlinear cobweb. (2018). Hommes, Cars. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:7-20. Full description at Econpapers || Download paper | |
| 2018 | The persistence of social strategies under increasing competitive pressure. (2018). Kopel, Michael ; Lamantia, Fabio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:71-83. Full description at Econpapers || Download paper | |
| 2018 | Oligopoly game: Price makers meet price takers. (2018). Kopányi, Dávid ; Anufriev, Mikhail ; Kopanyi, David . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:84-103. Full description at Econpapers || Download paper | |
| 2018 | Inflation-deflation expectations and economic stability in a Kaleckian system. (2018). Murakami, Hiroki ; Asada, Toichiro. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:183-201. Full description at Econpapers || Download paper | |
| 2018 | Asset prices and wealth dynamics in a financial market with random demand shocks. (2018). Dindo, Pietro ; Staccioli, Jacopo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:95:y:2018:i:c:p:187-210. Full description at Econpapers || Download paper | |
| 2017 | Speculative behavior in a housing market: Boom and bust. (2017). Zheng, Min ; Wang, Shouyang. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:50-64. Full description at Econpapers || Download paper | |
| 2017 | Taxing financial transactions in fundamentally heterogeneous markets. (2017). Molinari, Massimo ; Gaffeo, Edoardo. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:322-333. Full description at Econpapers || Download paper | |
| 2017 | Can volume predict Bitcoin returns and volatility? A quantiles-based approach. (2017). Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie ; Balcilar, Mehmet. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:74-81. Full description at Econpapers || Download paper | |
| 2017 | Do the central bank actions reduce interest rate volatility?. (2017). Moura, Jaqueline Terra ; Machado, Jose Valentim. In: Economic Modelling. RePEc:eee:ecmode:v:65:y:2017:i:c:p:129-137. Full description at Econpapers || Download paper | |
| 2017 | Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds. (2017). Prigent, Jean-Luc ; Abid, Ilyes ; Mkaouar, Farid. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:228-247. Full description at Econpapers || Download paper | |
| 2018 | Complex price dynamics in vertically linked cobweb markets. (2018). Miranda, Mario ; Chaudhry, Muhammad Imran. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:363-378. Full description at Econpapers || Download paper | |
| 2018 | Existence and uniqueness of growth cycles in post Keynesian systems. (2018). Murakami, Hiroki. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:293-304. Full description at Econpapers || Download paper | |
| 2017 | Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks. (2017). Lin, Shih-Kuei ; Xu, Lian-Wen ; Chen, Carl R ; Wang, Shin-Yun . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:359-373. Full description at Econpapers || Download paper | |
| 2018 | Coping With Collapse: A Stock-Flow Consistent Monetary Macrodynamics of Global Warming. (2018). Mc Isaac, Florent ; Bovari, Emmanuel ; Giraud, Gael. In: Ecological Economics. RePEc:eee:ecolec:v:147:y:2018:i:c:p:383-398. Full description at Econpapers || Download paper | |
| 2017 | The asymmetric volatility in the gold market revisited. (2017). Todorova, Neda. In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:138-141. Full description at Econpapers || Download paper | |
| 2017 | Computing equilibrium prices for a capital asset pricing model with heterogeneous beliefs and margin-requirement constraints. (2017). Tong, Jun ; Hu, Jianqiang. In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:24-34. Full description at Econpapers || Download paper | |
| 2017 | A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:381-400. Full description at Econpapers || Download paper | |
| 2017 | From bond yield to macroeconomic instability: A parsimonious affine model. (2017). Tedeschi, Gabriele ; Recchioni, Maria Cristina . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1116-1135. Full description at Econpapers || Download paper | |
| 2017 | An improved least squares Monte Carlo valuation method based on heteroscedasticity. (2017). Fabozzi, Frank J ; Tunaru, Radu ; Paletta, Tommaso . In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:698-706. Full description at Econpapers || Download paper | |
| 2017 | Implications of implicit credit spread volatilities on interest rate modelling. (2017). Fanelli, Viviana . In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:707-718. Full description at Econpapers || Download paper | |
| 2018 | Immunity and infection: Emerging and developed market sovereign spreads over the Global Financial Crisis. (2018). Wu, Eliza ; Thorp, Susan ; Cayon, Edgardo. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:162-174. Full description at Econpapers || Download paper | |
| 2018 | Accounting for sovereign tail risk in emerging economies: The role of global and domestic risk factors. (2018). Wing, Tom Pak ; Fu, John ; Li, Ka-Fai . In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:98-110. Full description at Econpapers || Download paper | |
| 2018 | The re-pricing of sovereign risks following the Global Financial Crisis. (2018). Migiakis, Petros ; Malliaropulos, Dimitris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:39-56. Full description at Econpapers || Download paper | |
| 2018 | Predictability of crude oil prices: An investor perspective. (2018). Liu, LI ; Yang, LI ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:193-205. Full description at Econpapers || Download paper | |
| 2018 | The asymmetric return-volatility relationship of commodity prices. (2018). Baur, Dirk G ; Dimpfl, Thomas. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:378-387. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Carl Chiarella has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Carl Chiarella:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2001 | Output and Interest Rates. Jump Variable and Phase Diagram Switching Methodologies In: CeNDEF Workshop Papers, January 2001. [Citation analysis] | paper | 0 |
| 2001 | Asset Price and Wealth Dynamics under Heterogeneous Expectations In: CeNDEF Workshop Papers, January 2001. [Citation analysis] | paper | 122 |
| 2001 | Asset price and wealth dynamics under heterogeneous expectations.(2001) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 122 | article | |
| 2001 | Asset Price and Wealth Dynamics Under Heterogeneous Expectations.(2001) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 122 | paper | |
| 2004 | A Dynamic Analysis of Moving Average Rules In: CeNDEF Working Papers. [Full Text][Citation analysis] | paper | 82 |
| 2006 | A dynamic analysis of moving average rules.(2006) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 82 | article | |
| 2004 | A Dynamical Analysis of Moving Average Rules.(2004) In: Computing in Economics and Finance 2004. [Citation analysis] This paper has another version. Agregated cites: 82 | paper | |
| 2005 | A Dynamic Analysis of Moving Average Rules.(2005) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 82 | paper | |
| 2004 | A Dynamic Analysis of Moving Average Rules.(2004) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 82 | paper | |
| 2007 | The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows In: Papers. [Full Text][Citation analysis] | paper | 88 |
| 2008 | The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 88 | paper | |
| 2009 | The impact of heterogeneous trading rules on the limit order book and order flows.(2009) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 88 | article | |
| 2005 | The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 88 | paper | |
| 2011 | STOCK‐FLOW INTERACTIONS, DISEQUILIBRIUM MACROECONOMICS AND THE ROLE OF ECONOMIC POLICY In: Journal of Economic Surveys. [Citation analysis] | article | 2 |
| 2005 | MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES In: Mathematical Finance. [Full Text][Citation analysis] | article | 29 |
| 2000 | Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices.(2000) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | paper | |
| 2012 | Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2012 | The Fiscal Cost of Financial Instability In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2015 | The limit distribution of evolving strategies in financial markets In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2002 | Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2004 | Inferring the Forward Looking Equity Risk Premium from Derivative Prices In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 6 |
| 1991 | The birth of limit cycles in Cournot oligopoly models with time delays In: Pure Mathematics and Applications. [Citation analysis] | article | 3 |
| 1991 | The Birth of Limit Cycles in Cournot Oligopoly Models with Time Delays.(1991) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2011 | The Dynamics of Keynesian Monetary Growth In: Cambridge Books. [Citation analysis] | book | 72 |
| 2000 | The Dynamics of Keynesian Monetary Growth.(2000) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 72 | book | |
| 2003 | THE DYNAMICS OF KEYNESIAN MONETARY GROWTH.(2003) In: Macroeconomic Dynamics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 72 | article | |
| 2011 | Foundations for a Disequilibrium Theory of the Business Cycle In: Cambridge Books. [Citation analysis] | book | 55 |
| 2005 | Foundations for a Disequilibrium Theory of the Business Cycle.(2005) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 55 | book | |
| 2011 | Financial Assets, Debt and Liquidity Crises In: Cambridge Books. [Citation analysis] | book | 20 |
| 2015 | Financial Assets, Debt and Liquidity Crises.(2015) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 20 | book | |
| 2012 | A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 5 |
| 2009 | A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market.(2009) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2017 | MONETARY POLICY AND DEBT DEFLATION: SOME COMPUTATIONAL EXPERIMENTS In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 3 |
| 2013 | Monetary Policy and Debt Deflation: Some Computational Experiments.(2013) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2013 | Monetary Policy and Debt Deflation: Some Computational Experiments.(2013) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 1998 | DYNAMICS OF NATURAL RATES OF GROWTH AND EMPLOYMENT In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 3 |
| 2003 | HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 86 |
| 2000 | Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker.(2000) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 86 | paper | |
| 2001 | Output, Interest and the Stock Market: An Alternative to the Jump Variable Technique In: Bulletin of the Czech Econometric Society. [Full Text][Citation analysis] | article | 0 |
| 2010 | Some Numerical Explorations of the Keynes-Metzler-Goodwin Monetary Growth Model In: Indian Economic Review. [Citation analysis] | article | 0 |
| 2014 | Financial instability and debt deflation dynamics in a bottom-up approach In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2003 | The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison In: Royal Economic Society Annual Conference 2003. [Full Text][Citation analysis] | paper | 5 |
| 2003 | The jump component of the volatility structure of interest rate futures markets: An international comparison.(2003) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
| 2004 | Estimation of the Volatility Structure of the Fixed Income Market In: Econometric Society 2004 Australasian Meetings. [Citation analysis] | paper | 0 |
| 2009 | The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 8 |
| 2005 | The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 1999 | Evaluation 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] | article | 20 |
| 2000 | High order disequilibrium growth dynamics: Theoretical aspects and numerical features In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 3 |
| 2003 | Dynamics of beliefs and learning under aL-processes -- the heterogeneous case In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 52 |
| 2001 | Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case.(2001) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | paper | |
| 2005 | Evaluation of American strangles In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 11 |
| 2002 | Evaluation of American Strangles.(2002) In: Computing in Economics and Finance 2002. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
| 2002 | Evaluation of American Strangles.(2002) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
| 2006 | Asset price and wealth dynamics in a financial market with heterogeneous agents In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 59 |
| 2004 | Asset price and wealth dynamics in a financial market with heterogeneous agents.(2004) In: Computing in Economics and Finance 2004. [Citation analysis] This paper has another version. Agregated cites: 59 | paper | |
| 2004 | Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents.(2004) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 59 | paper | |
| 2010 | Preface In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 0 |
| 2011 | An analysis of the effect of noise in a heterogeneous agent financial market model In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 19 |
| 2011 | The financial instability hypothesis: A stochastic microfoundation framework In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 36 |
| 2010 | The Financial Instability Hypothesis: A Stochastic Microfoundation Framework.(2010) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
| 2014 | Volatility swaps and volatility options on discretely sampled realized variance In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
| 2015 | Learning, information processing and order submission in limit order markets In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 4 |
| 1986 | Perfect foresight models and the dynamic instability problem from a higher viewpoint In: Economic Modelling. [Full Text][Citation analysis] | article | 9 |
| 1988 | The cobweb model: Its instability and the onset of chaos In: Economic Modelling. [Full Text][Citation analysis] | article | 61 |
| 1989 | Innovation and the transfer of technology : A leader-follower model In: Economic Modelling. [Full Text][Citation analysis] | article | 2 |
| 2005 | A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 5 |
| 2011 | Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 11 |
| 2008 | Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model.(2008) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
| 2009 | Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model.(2009) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
| 2015 | Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 21 |
| 2016 | Stochastic correlation and risk premia in term structure models In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 5 |
| 2011 | Stochastic Correlation and Risk Premia in Term Structure Models.(2011) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2013 | Humps in the volatility structure of the crude oil futures market: New evidence In: Energy Economics. [Full Text][Citation analysis] | article | 11 |
| 2012 | Humps in the Volatility Structure of the Crude Oil Futures Market.(2012) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
| 2004 | The value of the S&P 500--A macro view of the stock market adjustment process In: Global Finance Journal. [Full Text][Citation analysis] | article | 5 |
| 2014 | Pricing range notes within Wishart affine models In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 1 |
| 2016 | Chasing trends at the micro-level: The effect of technical trading on order book dynamics In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
| 2014 | Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500 In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 31 |
| 2014 | Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500.(2014) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
| 1992 | Economic 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. [Full Text][Citation analysis] | article | 0 |
| 1996 | Real and monetary cycles in models of Keynes-Wicksell type In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 11 |
| 2002 | Speculative behaviour and complex asset price dynamics: a global analysis In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 108 |
| 2001 | Speculative Behaviour and Complex Asset Price Dynamics.(2001) In: Research Paper Series. [Citation analysis] This paper has another version. Agregated cites: 108 | paper | |
| 2004 | Dynamic oligopolies without full information and with continuously distributed time lags In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 10 |
| 2006 | A re-evaluation of adaptive expectations in light of global nonlinear dynamic analysis In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 15 |
| 2006 | An analysis of the cobweb model with boundedly rational heterogeneous producers In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 13 |
| 2007 | Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 62 |
| 2005 | Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 62 | paper | |
| 2012 | Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 8 |
| 2011 | Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2012 | Estimating behavioural heterogeneity under regime switching In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 39 |
| 2011 | Estimating Behavioural Heterogeneity Under Regime Switching.(2011) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | paper | |
| 2012 | Structural contagion and vulnerability to unexpected liquidity shortfalls In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 9 |
| 2006 | Keynesian dynamics and the wage-price spiral: A baseline disequilibrium model In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 32 |
| 2004 | Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model.(2004) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
| 2006 | Moving average rules as a source of market instability In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 15 |
| 2008 | The stochastic bifurcation behaviour of speculative financial markets In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 10 |
| 2009 | Does the market maker stabilize the market? In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 13 |
| 1986 | Competitive capitalism and cooperative labor management in a dynamic nutshell In: European Journal of Political Economy. [Full Text][Citation analysis] | article | 1 |
| 1989 | The dynamic behaviour of workers enterprises In: European Journal of Political Economy. [Full Text][Citation analysis] | article | 1 |
| 1990 | Excessive exchange rate variability : A possible explanation using nonlinear economic dynamics In: European Journal of Political Economy. [Full Text][Citation analysis] | article | 5 |
| 1991 | The bifurcation of probability distributions in a non-linear rational expectations model of monetary economy In: European Journal of Political Economy. [Full Text][Citation analysis] | article | 3 |
| 2001 | The macrodynamics of debt deflation In: Chapters. [Full Text][Citation analysis] | chapter | 12 |
| 1999 | The Macrodynamics of Debt Deflation.(1999) In: SCEPA working paper series. SCEPA's main areas of research are macroeconomic policy, inequality and poverty, and globalization.. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2010 | Keynesian Macrodynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations In: Czech Economic Review. [Full Text][Citation analysis] | article | 0 |
| 2005 | Keynesian Dynamics and the Wage-Price Spiral: Analyzing and Estimating a Baseline Disequilibrium Model In: The IUP Journal of Monetary Economics. [Citation analysis] | article | 2 |
| 2011 | The dynamic behaviour of asset prices in disequilibrium: a survey In: International Journal of Behavioural Accounting and Finance. [Full Text][Citation analysis] | article | 5 |
| 2009 | Inference on forward exchange rate risk premium: reviewing signal extraction methods In: International Journal of Monetary Economics and Finance. [Full Text][Citation analysis] | article | 2 |
| 1984 | On the Economics of International Fisheries. In: International Economic Review. [Full Text][Citation analysis] | article | 25 |
| 2013 | An evolutionary CAPM under heterogeneous beliefs In: Annals of Finance. [Full Text][Citation analysis] | article | 17 |
| 2012 | An Evolutionary CAPM Under Heterogeneous Beliefs.(2012) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
| 2003 | A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 9 |
| 2004 | A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework.(2004) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2002 | Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model. In: Computational Economics. [Full Text][Citation analysis] | article | 151 |
| 1999 | Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model.(1999) In: Computing in Economics and Finance 1999. [Full Text][Citation analysis] This paper has another version. Agregated cites: 151 | paper | |
| 1999 | Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model.(1999) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 151 | paper | |
| 2003 | An Implementation of Bouchouevs Method for a Short Time Calibration of Option Pricing Models In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
| 2003 | Asset Price Dynamics among Heterogeneous Interacting Agents In: Computational Economics. [Full Text][Citation analysis] | article | 18 |
| 2002 | Asset Price Dynamics among Heterogeneous Interacting Agents.(2002) In: Computing in Economics and Finance 2002. [Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2006 | The Multifactor Nature of the Volatility of Futures Markets In: Computational Economics. [Full Text][Citation analysis] | article | 3 |
| 2006 | The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
| 2005 | The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2007 | Intertemporal asset allocation when the underlying factors are unobservable In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
| 2008 | A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence In: Computational Economics. [Full Text][Citation analysis] | article | 2 |
| 2011 | Foreword to the Special Issue of Computational Economics on Complex Dynamics in Economics and Finance In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
| 1996 | Book reviews In: Journal of Economics. [Full Text][Citation analysis] | article | 1 |
| 2002 | Book Reviews In: Journal of Economics. [Full Text][Citation analysis] | article | 0 |
| 2003 | Book Reviews In: Journal of Economics. [Full Text][Citation analysis] | article | 0 |
| 2003 | Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 19 |
| 2014 | Business Confidence and Macroeconomic Dynamics in a Nonlinear Two-Country Framework with Aggregate Opinion Dynamics In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1978 | Option Valuation: Some Empirical Results In: Australian Journal of Management. [Full Text][Citation analysis] | article | 0 |
| Interacting Two-Country Business Fluctuations In: Modeling, Computing, and Mastering Complexity 2003. [Full Text][Citation analysis] | paper | 1 | |
| 2003 | Interacting Two-Country Business Fluctuations.(2003) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2000 | THE EVALUATION OF MULTIASSET EUROPEAN AND AMERICAN OPTIONS VIA FOURIER HERMITE SERIES EXPANSIONS In: Computing in Economics and Finance 2000. [Citation analysis] | paper | 0 |
| 2001 | A Non-Stationary Asset Pricing Model under Heterogeneous Expectations In: Computing in Economics and Finance 2001. [Citation analysis] | paper | 0 |
| 2002 | An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 28 |
| 2002 | An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies.(2002) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
| 2002 | A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models. In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
| 2002 | On Market Games with Misspecified Demand Functions : Long Run Outcomes and Global Dynamics In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 2 |
| 2002 | The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
| 2002 | A simple microstructure model of double auction markets In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 6 |
| 2002 | Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
| 2002 | PRICE DYNAMICS AND DIVERSIFICATION UNDER HETEROGENEOUS EXPECTATIONS In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
| 2002 | Nonlinear Phillips Curves, the Emergence of Complex Dynamics and the Role of Monetary Policy Rules In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 1 |
| 2003 | Issues in Evaluating Multifactor Options in a PDE Framework In: Computing in Economics and Finance 2003. [Citation analysis] | paper | 0 |
| 2003 | An Implementation of the Shirakawa Jump-Diffusion Term Structure Model In: Computing in Economics and Finance 2003. [Citation analysis] | paper | 0 |
| 2003 | Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers In: Computing in Economics and Finance 2003. [Citation analysis] | paper | 6 |
| 2003 | Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers.(2003) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2003 | McKean’s Method applied to American Call Options on Jump-Diffusion Processes In: Computing in Economics and Finance 2003. [Citation analysis] | paper | 1 |
| 2004 | McKeans Methods Applied to American Call Options on Jump-Diffusion Processes.(2004) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2004 | Keynesian Dynamics and the Wage-Price Spiral:Estimating a Baseline Disequilibrium Approach In: Computing in Economics and Finance 2004. [Full Text][Citation analysis] | paper | 3 |
| 2004 | Pricing American Options on Jump-Diffusion Processes using Fourier-Hermite Series Expansions In: Computing in Economics and Finance 2004. [Citation analysis] | paper | 3 |
| 2005 | Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2004 | Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming In: Computing in Economics and Finance 2004. [Citation analysis] | paper | 0 |
| 2005 | Intertemporal Asset Allocation with Inflation-Indexed Bonds In: Computing in Economics and Finance 2005. [Citation analysis] | paper | 0 |
| 2005 | Keynesian Dynamics and the Wage-Price Spiral:Estimating and Analyzing a Baseline Disequilibrium Approach In: Computing in Economics and Finance 2005. [Full Text][Citation analysis] | paper | 2 |
| 2005 | THE VALUATION OF AMERICAN EXCHANGE OPTIONS UNDER In: Computing in Economics and Finance 2005. [Citation analysis] | paper | 0 |
| 2005 | Pricing American Options under Stochastic Volatility In: Computing in Economics and Finance 2005. [Citation analysis] | paper | 4 |
| 2005 | The Valuation of Multiple Asset American Options under Jump Diffusion Processes In: Computing in Economics and Finance 2005. [Citation analysis] | paper | 0 |
| Visual Modeling of Endogenous Fluctuations in Economic Dynamic Systems In: Computing in Economics and Finance 1997. [Full Text][Citation analysis] | paper | 0 | |
| Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions In: Computing in Economics and Finance 1997. [Full Text][Citation analysis] | paper | 0 | |
| A Model of Monetary Growth for a Small Open Economy In: Computing in Economics and Finance 1997. [Full Text][Citation analysis] | paper | 0 | |
| Adaptive Rational Expectations in Models of Monetary Dynamics In: Computing in Economics and Finance 1997. [Full Text][Citation analysis] | paper | 1 | |
| 1999 | Applying Disequilibrium Growth Theory: Debt Effects and Debt Deflation In: Computing in Economics and Finance 1999. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis In: Computing in Economics and Finance 2006. [Full Text][Citation analysis] | paper | 1 |
| 2006 | Numerical Methods for American Spread Options under Jump Diffusion Processes In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 0 |
| 2006 | A Dynamic Heterogeneous Beliefs CAPM In: Computing in Economics and Finance 2006. [Full Text][Citation analysis] | paper | 2 |
| 2006 | The Volatility Structure of the Fixed Income Markets under the HJM Framework In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 0 |
| 2006 | Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 0 |
| 1999 | Adaptively evolving expectations in models of monetarydynamics‐ The fundamentalists forward looking In: Annals of Operations Research. [Full Text][Citation analysis] | article | 4 |
| 1999 | Keynesian monetary growth dynamicsin open economies In: Annals of Operations Research. [Full Text][Citation analysis] | article | 1 |
| 2006 | The feedback channels in macroeconomics: analytical foundations for structural econometric model building In: Central European Journal of Operations Research. [Full Text][Citation analysis] | article | 0 |
| 2015 | Derivative Security Pricing In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | book | 0 |
| 2016 | Sustainable Asset Accumulation and Dynamic Portfolio Decisions In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | book | 0 |
| 2001 | Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model In: Finance and Stochastics. [Full Text][Citation analysis] | article | 21 |
| 1999 | Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model.(1999) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
| 2013 | Time-varying beta: a boundedly rational equilibrium approach In: Journal of Evolutionary Economics. [Full Text][Citation analysis] | article | 10 |
| 2010 | Time-Varying Beta: A Boundedly Rational Equilibrium Approach.(2010) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2005 | The Dynamic Interaction of Speculation and Diversification In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 33 |
| 2007 | A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
| 2009 | American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 6 |
| 2011 | Exchange Options Under Jump-Diffusion Dynamics In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 4 |
| 2008 | Exchange Options Under Jump-Diffusion Dynamics.(2008) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2015 | Correction: Exchange Option under Jump-diffusion Dynamics In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
| 1997 | Interest rate futures: estimation of volatility parameters in an arbitrage-free framework In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 5 |
| 1995 | Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework.(1995) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2011 | Do heterogeneous beliefs diversify market risk? In: The European Journal of Finance. [Full Text][Citation analysis] | article | 11 |
| 2013 | Heterogeneous expectations and exchange rate dynamics In: The European Journal of Finance. [Full Text][Citation analysis] | article | 4 |
| 2009 | Heterogeneous Expectations and Exchange Rate Dynamics.(2009) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 1997 | Transformation of Heath?Jarrow?Morton models to Markovian systems In: The European Journal of Finance. [Full Text][Citation analysis] | article | 36 |
| 1995 | Transformation of Heath-Jarrow-Morton Models to Markovian Systems.(1995) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
| 2000 | Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives In: The European Journal of Finance. [Full Text][Citation analysis] | article | 8 |
| 2013 | The representation of American options prices under stochastic volatility and jump-diffusion dynamics In: Quantitative Finance. [Full Text][Citation analysis] | article | 6 |
| 2014 | Pricing American options written on two underlying assets In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
| 2017 | A behavioural model of investor sentiment in limit order markets In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
| 2014 | A Behavioural Model of Investor Sentiment in Limit Order Markets.(2014) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2002 | A simulation analysis of the microstructure of double auction markets In: Quantitative Finance. [Full Text][Citation analysis] | article | 84 |
| 2005 | Editorials In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2004 | A Survey of the Integral Representation of American Option Prices In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 1999 | Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2004 | Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 1999 | Classes of Interest Rate Models Under the HJM Framework In: Research Paper Series. [Full Text][Citation analysis] | paper | 10 |
| 2004 | A Markovian Defaultable Term Structure Model with State Dependent Volatilities In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 2007 | A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES.(2007) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2004 | A Behavioural Asset Pricing Model with a Time-Varying Second Moment In: Research Paper Series. [Full Text][Citation analysis] | paper | 10 |
| 2004 | Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2005 | The Multifactor Nature of the Volatility of the Eurodollar Futures Market In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2005 | A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 20 |
| 2006 | Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models.(2006) In: Darmstadt Discussion Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
| 2007 | Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models.(2007) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | article | |
| 2006 | American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2006 | Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2007 | Intertemporal Investment Strategies Under Inflation Risk In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 2007 | The History of the Quantitative Methods in Finance Conference Series. 1992-2007 In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2007 | The Stochastic Dynamics of Speculative Prices In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 2008 | Hedge Portfolios in Markets with Price Discontinuities In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2008 | The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines In: Research Paper Series. [Full Text][Citation analysis] | paper | 19 |
| 2009 | THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES.(2009) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | article | |
| 2008 | Heterogeneity, Market Mechanisms, and Asset Price Dynamics In: Research Paper Series. [Full Text][Citation analysis] | paper | 95 |
| 2009 | The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach In: Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 2009 | A Framework for CAPM with Heterogenous Beliefs In: Research Paper Series. [Full Text][Citation analysis] | paper | 10 |
| 2009 | An Analysis of American Options Under Heston Stochastic Volatility and Jump-Diffusion Dynamics In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Modelling and Estimating the Forward Price Curve in the Energy Market In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2010 | The Evaluation Of Barrier Option Prices Under Stochastic Volatility In: Research Paper Series. [Full Text][Citation analysis] | paper | 12 |
| 2010 | Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2010 | A Survey of Non-linear Methods for No-arbitrage Bond Pricing In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Small Traders in Currency Futures Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 2011 | Small traders in currency futures markets.(2011) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2010 | Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility In: Research Paper Series. [Full Text][Citation analysis] | paper | 8 |
| 2011 | A Modern View on Mertons Jump-Diffusion Model In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2011 | The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2016 | THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING.(2016) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2011 | Two Stochastic Volatility Processes - American Option Pricing In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2011 | Credit Derivative Pricing with Stochastic Volatility Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2013 | CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS.(2013) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2011 | Limit Distribution of Evolving Strategies in Financial Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2012 | Particle Filters for Markov Switching Stochastic Volatility Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 5 |
| 2012 | Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Investigating Time-Efficient Methods to Price Compound Options in the Heston Model In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Learning and Evolution of Trading Strategies in Limit Order Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2013 | The Return-Volatility Relation in Commodity Futures Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 12 |
| 2016 | The Return–Volatility Relation in Commodity Futures Markets.(2016) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
| 2000 | A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Approximate Hedging of Options under Jump-Diffusion Processes In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2015 | APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES.(2015) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2000 | The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 2015 | On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Pricing American Options under Regime Switching Using Method of Lines In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2000 | Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning In: Research Paper Series. [Full Text][Citation analysis] | paper | 8 |
| 2000 | The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology In: Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
| 2000 | Modeling the Currency Forward Risk Premium: Theory and Evidence In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2000 | Infering Forward Looking Financial Market Risk Premia from Derivatives Prices In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2000 | A Complete Stochastic Volatility Model in the HJM Framework In: Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
| 2001 | State Variables and the Affine Nature of Markovian HJM Term Structure Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2001 | Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 2001 | On Filtering in Markovian Term Structure Models (An Approximation Approach) In: Research Paper Series. [Full Text][Citation analysis] | paper | 5 |
| 2001 | Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2001 | Filtering Equity Risk Premia From Derivative Prices In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2002 | A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2003 | A Dynamic Analysis of Speculation Across Two Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2000 | Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Output, Financial Markets and Growth In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Price Flexibility and Debt Dynamics in a High Order AS-AD Model In: Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2001 | Real-Financial Interaction: A Reconsideration of the Blanchard Model with a State-of-Market Dependent Reaction Coefficient In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Real-Financial Interaction: Integrating Supply Side Wage-Price Dynamics and the Stock Market In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Type I Spurious Regression in Econometrics In: Working Paper Series. [Full Text][Citation analysis] | paper | 11 |
| 2002 | Modelling the Value of the S&P 500 - A System Dynamics Perspective In: Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2002 | Solving the Price-Earnings Puzzle In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Nonlinear Phillips Curves, Complex Dynamics and Monetary Policy in a Keynesian Macro Model In: Working Paper Series. [Full Text][Citation analysis] | paper | 12 |
| 2002 | Stability Analysis of a High-Dimensional Macrodynamic Model of Real-Financial Interaction: A Cascade of Matrices Approach In: Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Keynes-Metzler-Goodwin Model Building: The Closed Economy In: Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2003 | Output and the Term Structure of Interest Rates: Ways Out of th Jump-Variable Conundrum In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Real-Financial Interaction: Implications of Budget Equations and Capital Accumulation In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2003 | The Structure of Keynesian Macrodynamics: A Framework for Future Research In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1992 | The Dynamics of Speculative Behaviour In: Working Paper Series. [Full Text][Citation analysis] | paper | 208 |
| 2004 | Continuous Time Model Estimation In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1992 | Developments in Nonlinear Economic Dynamics: Past, Present and Future In: Working Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 2006 | Keynesian Disequilibrium Dynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations In: Working Paper Series. [Full Text][Citation analysis] | paper | 5 |
| 2006 | Keynesian Macrodynamics and the Phillips Curve. An Estimated Baseline Macromodel for the U.S. Economy In: Working Paper Series. [Full Text][Citation analysis] | paper | 19 |
| 2007 | Keynesian AD-AS, Quo Vadis? In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Modelling the Animal Spirits of Banks Lending Behaviour In: Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 1991 | Determinants of Corporate Capital Structure: Australian Evidence In: Working Paper Series. [Full Text][Citation analysis] | paper | 17 |
| 1991 | The Interaction of the Financing and Investment Decisions: Preliminary Results in the Australian Context In: Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 1995 | A Dynamic Analysis of Cournot Duopoly in Imperfectly Competitive Product and Factor Markets In: Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 1995 | Keynesian Monetary Growth Dynamics: The Missing Prototype In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1995 | The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques In: Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 1995 | Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1991 | Monetary and Fiscal Policy Under Nonlinear Exchange Rate Dynamics In: Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 1996 | A Preference Free Partial Differential Equation for the Term Structure of Interest Rates In: Working Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 1996 | Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1996 | Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1996 | Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques In: Working Paper Series. [Full Text][Citation analysis] | paper | 13 |
| 1997 | A Survey of Models for the Pricing of Interest Rate Derivatives In: Working Paper Series. [Citation analysis] | paper | 0 |
| 2000 | Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Disequilibrium Growth Theory: Foundations, Synthesis, Perspectives In: Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 1999 | The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags In: Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 1999 | The Dynamics of the Cobweb when Producers are Risk Averse Learners In: Working Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 1999 | Towards Applied Disequilibrium Growth Theory: I The Starting Model In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Towards Applied Disequilibrium Growth Theory: II Intensive Form and Steady State Analysis of the Model In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Towards Applied Disequilibrium Growth Theory: III Basic Partial Feedback Structures and Stability Issues In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Towards Applied Disequilibrium Growth Theory: IV Numerical Investigations of the Core 18D Model In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Towards Applied Disequilibrium Growth Theory: V Housing Investment Cycles, Private Debt Accumulation and Deflation In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Towards Applied Disequilibrium Growth Theory: VI Substitution, Money-Holdings, Wealth-Effects and Further Extensions In: Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 1999 | Towards Applied Disequilibrium Growth Theory: VII Intensive Form and Steady State Calculation in the Case of Substitution In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2004 | The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach In: Finance. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets In: Finance. [Full Text][Citation analysis] | paper | 2 |
| 2004 | Keynesian Dynamics and the Wage Price Spiral. A Baseline Disequilibrium Approach In: Macroeconomics. [Full Text][Citation analysis] | paper | 9 |
| 2004 | Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model.(2004) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2004 | THE LONG RUN OUTCOMES AND GLOBAL DYNAMICS OF A DUOPOLY GAME WITH MISSPECIFIED DEMAND FUNCTIONS In: International Game Theory Review (IGTR). [Full Text][Citation analysis] | article | 3 |
| 2004 | A GAME THEORETICAL MODEL OF INTERNATIONAL FISHING WITH TIME DELAY In: International Game Theory Review (IGTR). [Full Text][Citation analysis] | article | 0 |
| 2006 | INTERACTING BUSINESS CYCLE FLUCTUATIONS: A TWO-COUNTRY MODEL In: The Singapore Economic Review (SER). [Full Text][Citation analysis] | article | 0 |
| 2014 | The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches In: World Scientific Books. [Full Text][Citation analysis] | book | 0 |
| 2001 | On Filtering in Markovian Term Structure Models In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 1 |
| 2014 | Introduction In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2014 | The Merton and Heston Model for a Call In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2014 | American Call Options under Jump-Diffusion Processes In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2014 | American Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics — The Transform Approach In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2014 | Representation and Numerical Approximation of American Option Prices under Heston In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2014 | Fourier Cosine Expansion Approach In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2014 | A Numerical Approach to Pricing American Call Options under SVJD In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2014 | Conclusion In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2009 | Stabilizing an unstable economy: on the choice of proper policy measures In: Economics Discussion Papers. [Full Text][Citation analysis] | paper | 15 |
| 2010 | Stabilizing an unstable economy: On the choice of proper policy measures.(2010) In: Economics - The Open-Access, Open-Assessment E-Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | article |
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