Carl Chiarella : Citation Profile


Deceased: 2016-06-21

29

H index

70

i10 index

3591

Citations

RESEARCH PRODUCTION:

116

Articles

199

Papers

10

Books

51

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   38 years (1978 - 2016). See details.
   Cites by year: 94
   Journals where Carl Chiarella has often published
   Relations with other researchers
   Recent citing documents: 248.    Total self citations: 172 (4.57 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pch240
   Updated: 2022-07-02    RAS profile:    
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Relations with other researchers


Works with:

Di Guilmi, Corrado (2)

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 (Tony) (239)

Westerhoff, Frank (203)

Hommes, Cars (121)

Anufriev, Mikhail (100)

Li, Youwei (100)

Gardini, Laura (52)

Li, Kai (47)

Flaschel, Peter (46)

Naimzada, Ahmad (42)

Bottazzi, Giulio (42)

Proaño, Christian (39)

Cites to:

He, Xuezhong (Tony) (199)

Hommes, Cars (141)

Flaschel, Peter (127)

Brock, William (86)

Semmler, Willi (64)

Lux, Thomas (56)

Jarrow, Robert (55)

merton, robert (39)

Gardini, Laura (36)

Blanchard, Olivier (29)

Judd, Kenneth (27)

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
Studies in Nonlinear Dynamics & Econometrics6
Quantitative Finance6
Applied Mathematical Finance6
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
Journal of Economics3
Physica A: Statistical Mechanics and its Applications3
Economic Modelling3
Journal of Empirical Finance2
Chaos, Solitons & Fractals2
Annals of Operations Research2
International Game Theory Review (IGTR)2
European Journal of Operational Research2

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 2006 / Society for Computational Economics5
Computing in Economics and Finance 2005 / Society for Computational Economics5
Computing in Economics and Finance 2004 / Society for Computational Economics5
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
Computing in Economics and Finance 2003 / Society for Computational Economics4
Computing in Economics and Finance 1997 / Society for Computational Economics4
Finance / University Library of Munich, Germany2
Computing in Economics and Finance 1999 / Society for Computational Economics2
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

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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2021Robust Mathematical Formulation and Implementation of Agent-Based Computational Economic Market Models. (2019). Trimborn, Torsten ; Pabich, Emma ; Otte, Philipp ; Frank, Martin ; Cramer, Simon ; Beikirch, Maximilian. In: Papers. RePEc:arx:papers:1904.04951.

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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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2021Multigrid 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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2022Stopping 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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2021How Market Ecology Explains Market Malfunction. (2021). Farmer, Doyne J ; Calinescu, Anisoara ; Scholl, Maarten P. In: Papers. RePEc:arx:papers:2009.09454.

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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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2022Explicit 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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2021A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics. (2021). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2106.07362.

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2021Modelling risk for commodities in Brazil: An application to live cattle spot and futures prices. (2021). J. A. C. Santos, ; Eg, A D ; Bernardino, W ; Alcoforado, R G. In: Papers. RePEc:arx:papers:2107.07556.

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2021Simulation and estimation of an agent-based market-model with a matching engine. (2021). Gebbie, Tim ; Chang, Patrick ; Jericevich, Ivan. In: Papers. RePEc:arx:papers:2108.07806.

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2021Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture L\evy Motions. (2021). Rachev, Svetlozar T ; Sayit, Hasanjan ; Hu, Dongdong. In: Papers. RePEc:arx:papers:2109.02872.

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2021Risk-Adjusted Valuation for Real Option Decisions. (2021). Ward, Charles ; Chen, XI ; Alexander, Carol. In: Papers. RePEc:arx:papers:2109.04793.

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2021Traders in a Strange Land: Agent-based discrete-event market simulation of the Figgie card game. (2021). Ozerov, Anthony ; Disilvio, Steven. In: Papers. RePEc:arx:papers:2110.00879.

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2021Method of lines for valuation and sensitivities of Bermudan options. (2021). Jain, Shashi ; Murthy, Vasudeva ; Banerjee, Purba. In: Papers. RePEc:arx:papers:2112.01287.

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2021A Bayesian take on option pricing with Gaussian processes. (2021). Roberts, Stephen ; Tegner, Martin. In: Papers. RePEc:arx:papers:2112.03718.

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2022Instability of financial markets by optimizing investment strategies investigated by an agent-based model. (2022). Takashima, Kosei ; Yagi, Isao ; Mizuta, Takanobu. In: Papers. RePEc:arx:papers:2202.00831.

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2022Do new investment strategies take existing strategies returns -- An investigation into agent-based models. (2022). Mizuta, Takanobu. In: Papers. RePEc:arx:papers:2202.01423.

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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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2022Generalizing Heuristic Switching Models. (2022). Lustenhouwer, Joep ; Leventidis, Ioanis ; Kollias, Iraklis ; Galanis, Giorgos. In: Working Papers. RePEc:awi:wpaper:0715.

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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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2021Learning and predictability via technical analysis: Evidence from bitcoin and stocks with hard?to?value fundamentals. (2021). Strauss, Jack ; Liu, Hong ; Detzel, Andrew ; Zhu, Yingzi ; Zhou, Guofu. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:107-137.

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2021Behavioral heterogeneity in return expectations across equity style portfolios. (2021). Stork, Philip ; Vidojevic, Milan. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:4:p:1225-1250.

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2021Building toward a solid foundation: The effect of thinking concretely about the future. (2021). Esmark, Carol L ; Farmer, Adam ; Waites, Stacie F. In: Journal of Consumer Affairs. RePEc:bla:jconsa:v:55:y:2021:i:1:p:254-273.

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2022The distributive cycle: Evidence and current debates. (2022). Mendieta-Muñoz, Ivan ; Tavani, Daniele ; Rada, Codrina ; Mendietamuoz, Ivan ; Barralesruiz, Jose ; von Arnim, Rudiger. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:2:p:468-503.

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2021Wishart?gamma random effects models with applications to nonlife insurance. (2021). Lu, Yang ; Denuit, Michel. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:2:p:443-481.

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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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2021Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter. (2021). Stockhammer, Engelbert ; Gusella, Filippo. In: Metroeconomica. RePEc:bla:metroe:v:72:y:2021:i:4:p:758-797.

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2022Supermultipliers, ‘endogenous autonomous demand’ and functional finance. (2022). Skott, Peter ; Oreiro, José Luís ; da Costa, Jose Luis. In: Metroeconomica. RePEc:bla:metroe:v:73:y:2022:i:1:p:220-244.

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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:13.

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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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2020“Animal spirits” and bank’s lending behaviour, a disequilibrium approach. (2020). Di Guilmi, Corrado ; Tianhao, Zhi ; Corrado, Di Guilmi ; Carl, Chiarella . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:2:p:21:n:1.

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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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2022Regime Switching Mechanism during Energy Futures’ Price Bubbles. (2022). Koy, Ayben. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-01-46.

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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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2020Monopoly with differentiated final goods and heterogeneous markets. (2020). Sodini, Mauro ; Caravaggio, Andrea. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:130:y:2020:i:c:s0960077919303698.

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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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2021A new fractional dynamic cobweb model based on nonsingular kernel derivatives. (2021). Ahmadian, Ali ; Salahshour, Soheil ; Allahviranloo, Tofigh. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:145:y:2021:i:c:s0960077921001089.

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2022A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market. (2022). Zhang, Xiaoqi ; Zhao, Zhijun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:155:y:2022:i:c:s0960077921008973.

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2022Dynamic properties for a stochastic food chain model. (2022). Lv, Jingliang ; Zhang, Liren ; Ma, Pengyu ; Zou, Xiaoling. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:155:y:2022:i:c:s0960077921010675.

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2022Production delays, technology choice and cyclical cobweb dynamics. (2022). Westerhoff, Frank ; Mignot, Sarah ; Dieci, Roberto. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:156:y:2022:i:c:s0960077922000078.

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2022Non-performing loans, expectations and banking stability: A dynamic model. (2022). Giombini, Germana ; Bischi, Gian Italo ; Bacchiocchi, Andrea. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:157:y:2022:i:c:s0960077922001163.

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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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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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2020Managerial overconfidence in initial public offering decisions and its impact on macrodynamics and financial stability: Analysis using an agent-based model. (2020). Godin, Antoine ; Szyszka, Adam ; Rzeszutek, Marcin ; Augier, Stanislas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:118:y:2020:i:c:s0165188920301330.

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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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2021CTMC integral equation method for American options under stochastic local volatility models. (2021). Cui, Zhenyu ; Yang, Wensheng ; Ma, Jingtang. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000804.

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2021From ants to fishing vessels: a simple model for herding and exploitation of finite resources. (2021). Kirman, Alan ; Benzaquen, Michael ; Fosset, Antoine ; Moran, Jose. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:129:y:2021:i:c:s0165188921001044.

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2021De-risking of green investments through a green bond market – Empirics and a dynamic model. (2021). Semmler, Willi ; Grass, Dieter ; Braga, Joao Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001366.

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2021Multi-agent-based VaR forecasting. (2021). Poddig, Thorsten ; Fieberg, Christian ; Tubbenhauer, Tobias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001664.

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2021Monetary Policy with a State-Dependent Inflation Target in a Behavioral Two-Country Monetary Union Model. (2021). Lojak, Benjamin ; Proao, Christian R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921001718.

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2021Nonlinear effect of sentiment on momentum. (2021). Li, Kai. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921001883.

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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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2022Beautiful cycles: A theory and a model implying a curious role for interest. (2022). Gross, Marco. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002674.

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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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2021Information interaction, behavioral synchronization and asset market volatility. (2021). Li, Hong Gang ; Gao, Yudong ; Wang, Chengjin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302084.

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2021The impact of offshore exchange rate expectations on onshore exchange rates: The case of Chinese RMB. (2021). Xu, Xiangyun ; Ren, Junfan ; Shen, Yao ; Jia, Fei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302321.

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2021A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model. (2021). Zhu, Chunhui ; Zhang, Yuanyuan ; Li, Shaoyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001479.

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2022Exchange options for catastrophe risk management. (2022). Wang, Xingchun ; Shao, Xinjian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001832.

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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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2021Pricing discretely-monitored double barrier options with small probabilities of execution. (2021). Zuev, Konstantin M ; Pantelous, Athanasios A ; Mendonca, Keegan ; Kontosakos, Vasileios E. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:1:p:313-330.

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2021Trader positions in VIX futures. (2021). Yang, Jimmy J ; Chen, Yu-Lun. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:1-17.

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2021Trading activity and price discovery in Bitcoin futures markets. (2021). Yang, Jimmy J ; Liu, Hung-Chun ; Hung, Jui-Cheng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:107-120.

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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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2022Bounded rationality, adaptive behaviour, and asset prices. (2022). Li, Kai ; Zhao, Dongxu. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000163.

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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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2021Under-reaction in the sovereign CDS market. (2021). Zhang, Jinfan ; Yan, Hongjun ; Xiao, Yaqing ; Wang, Xinjie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:130:y:2021:i:c:s0378426621001503.

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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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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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paper157
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: 157
paper
2004A Dynamic Analysis of Moving Average Rules In: CeNDEF Working Papers.
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paper104
2006A dynamic analysis of moving average rules.(2006) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 104
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: 104
paper
2007The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows In: Papers.
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paper142
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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This paper has another version. Agregated cites: 142
paper
2011STOCK?FLOW INTERACTIONS, DISEQUILIBRIUM MACROECONOMICS AND THE ROLE OF ECONOMIC POLICY In: Journal of Economic Surveys.
[Citation analysis]
article8
2005MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES In: Mathematical Finance.
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article35
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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article2
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
2020“Animal spirits” and bank’s lending behaviour, a disequilibrium approach In: Studies in Nonlinear Dynamics & Econometrics.
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article0
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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article7
2004Inferring the Forward Looking Equity Risk Premium from Derivative Prices In: Studies in Nonlinear Dynamics & Econometrics.
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article7
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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book97
2000The Dynamics of Keynesian Monetary Growth.(2000) In: Cambridge Books.
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This paper has another version. Agregated cites: 97
book
2003THE DYNAMICS OF KEYNESIAN MONETARY GROWTH.(2003) In: Macroeconomic Dynamics.
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article
2011Foundations for a Disequilibrium Theory of the Business Cycle In: Cambridge Books.
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book61
2005Foundations for a Disequilibrium Theory of the Business Cycle.(2005) In: Cambridge Books.
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book
2011Financial Assets, Debt and Liquidity Crises In: Cambridge Books.
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book25
2015Financial Assets, Debt and Liquidity Crises.(2015) In: Cambridge Books.
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book
2012A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET In: Macroeconomic Dynamics.
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article11
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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article9
2013Monetary Policy and Debt Deflation: Some Computational Experiments.(2013) In: CAMA Working Papers.
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2013Monetary Policy and Debt Deflation: Some Computational Experiments.(2013) In: Working Paper Series.
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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]
article113
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: 113
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
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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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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.
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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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This paper has another version. Agregated cites: 6
article
2004Estimation of the Volatility Structure of the Fixed Income Market In: Econometric Society 2004 Australasian Meetings.
[Citation analysis]
paper0
2006A behavioral asset pricing model with a time-varying second moment In: Chaos, Solitons & Fractals.
[Full Text][Citation analysis]
article15
2004A Behavioural Asset Pricing Model with a Time-Varying Second Moment.(2004) In: Research Paper Series.
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paper
2013Dynamic monopoly with bounded continuously distributed delay In: Chaos, Solitons & Fractals.
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article5
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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article11
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: 11
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]
article26
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.
[Full Text][Citation analysis]
article62
2001Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case.(2001) In: Research Paper Series.
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paper
2005Evaluation of American strangles In: Journal of Economic Dynamics and Control.
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article18
2002Evaluation of American Strangles.(2002) In: Computing in Economics and Finance 2002.
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2002Evaluation of American Strangles.(2002) In: Research Paper Series.
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paper
2006Asset price and wealth dynamics in a financial market with heterogeneous agents In: Journal of Economic Dynamics and Control.
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article87
2004Asset price and wealth dynamics in a financial market with heterogeneous agents.(2004) In: Computing in Economics and Finance 2004.
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2004Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents.(2004) In: Research Paper Series.
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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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2010The Financial Instability Hypothesis: A Stochastic Microfoundation Framework.(2010) In: Research Paper Series.
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2014Volatility swaps and volatility options on discretely sampled realized variance In: Journal of Economic Dynamics and Control.
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article6
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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1988The cobweb model: Its instability and the onset of chaos In: Economic Modelling.
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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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article31
2016Stochastic correlation and risk premia in term structure models In: Journal of Empirical Finance.
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2011Stochastic Correlation and Risk Premia in Term Structure Models.(2011) In: Research Paper Series.
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2013Humps in the volatility structure of the crude oil futures market: New evidence In: Energy Economics.
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article22
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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article6
2016Chasing trends at the micro-level: The effect of technical trading on order book dynamics In: Journal of Banking & Finance.
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article5
2014Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500 In: Journal of Economic Behavior & Organization.
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article58
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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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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2006A re-evaluation of adaptive expectations in light of global nonlinear dynamic analysis In: Journal of Economic Behavior & Organization.
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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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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..
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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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2003A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework In: Asia-Pacific Financial Markets.
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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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2003Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields In: Review of Derivatives Research.
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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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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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