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Chiarella, Carl


 SSRN Author Rank: 1,605 by Downloads
 

University of Technology, Sydney - UTS Business School, Finance Discipline Group


 PO Box 123
 Broadway, NSW 2007
 Australia
 +61 2 9514 7719 (Phone)
 +61 2 9514 7711 (Fax)
 HOME PAGE: http://www.business.uts.edu.au/finance/
 email address
 

Financial Research Network (FIRN)


 C/- University of Queensland Business School
 St Lucia, 4071 Brisbane
 Queensland
 Australia
 HOME PAGE: http://www.firn.org.au


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. Chiarella, Carl's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
11,557
Total
Citations
173
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data | Show Abstract | Download |
U. of Technology, Sydney Finance and Economics Working Paper No. 70
Working Paper Series
Bhar, Ramaprasad
University of New South Wales (UNSW) - School of Banking and Finance
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
21 Feb 06
803
(15,622)
2

2.  
A Dynamic Analysis of Moving Average Rules | Show Abstract | Download |
Tinbergen Institute Discussion Paper No. TI 05-057/1
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
He, Xuezhong
University of Technology Sydney (UTS) - School of Finance and Economics
Hommes, C. H.
University of Amsterdam
Posted:
13 Jun 05
754
(17,098)
19

3.  
The History of the Quantitative Methods in Finance Conference Series 1992-2007 | Show Abstract | Download |
Quantitative Finance Research Centre Working Paper No. 207
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
17 Mar 08
554
(26,393)
 

4.  
A Class of Stochastic Volatility HJM Interest Rate Models | Show Abstract | Download |
EFMA 2004 Basel Meetings Paper
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Colwell, David B.
University of New South Wales (UNSW) - School of Banking and Finance
Kwon, Oh Kang
ANZ Bank
Posted:
09 May 04
474
(32,526)
 

5.  
Type I Spurious Regression in Econometrics | Show Abstract | Download |
University of Technology, Finance and Economics Working Paper No. 114
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Gao, Shenhuai
The University of Sydney Business School
Posted:
03 Feb 06
355
(46,478)
6

6.  
Solving the Price-Earnings Puzzle | Show Abstract | Download |
UTS Working Paper No. 116
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Gao, Shenhuai
The University of Sydney Business School
Posted:
02 Feb 06
307
(55,356)
2

7.  
Modelling the Value of the S&P 500 - A System Dynamics Perspective | Show Abstract | Download |
University of Technology, Finance and Economics Working Paper No. 115
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Gao, Shenhuai
The University of Sydney Business School
Posted:
03 Feb 06
253
(68,665)
2

8.  
Continuous Time Model Estimation | Show Abstract | Download |
Sydney U. of Technology Finance and Economics Working Paper No. 138
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Gao, Shenhuai
The University of Sydney Business School
Posted:
11 Aug 05
253
(68,665)
1

9.  
Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework | Show Abstract | Download |
U. of Technology, Sydney Finance and Economics Working Paper No. 55
Working Paper Series
Bhar, Ramaprasad
University of New South Wales (UNSW) - School of Banking and Finance
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
21 Feb 06
240
(72,594)
 

10.   Incl. Electronic Paper
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Kang, Boda
Department of Mathematics, University of York
Meyer, Gunter H.
Georgia Institute of Technology - Mathematics
Ziogas, Andrew
University of Technology Sydney (UTS) - School of Finance and Economics
Posted:
12 May 08
Last Revised:
07 Dec 09
235
(74,266)
 

11.  
Pricing American Options on Jump-Diffusion Processes Using Fourier Hermite Series Expansions | Show Abstract | Download |
Quantitative Finance Research Centre Research Paper No. 145
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Ziogas, Andrew
University of Technology Sydney (UTS) - School of Finance and Economics
Posted:
02 May 06
223
(78,446)
2

12.  
Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems | Show Abstract | Download |
U. of Technology, Sydney Finance and Economics Working Paper No. 76
Working Paper Series
Bhar, Ramaprasad
University of New South Wales (UNSW) - School of Banking and Finance
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
05 Feb 06
218
(80,311)
 

13.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Fanelli, Viviana
affiliation not provided to SSRN
Musti, Silvana
University of Foggia
Posted:
03 Aug 10
Last Revised:
22 Oct 10
214
(81,854)
1

14.  
The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques | Show Abstract | Download |
U. of Technology, Sydney Finance and Economics Working Paper No. 54
Working Paper Series
Bhar, Ramaprasad
University of New South Wales (UNSW) - School of Banking and Finance
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
21 Feb 06
197
(88,993)
4

15.  
Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics | Show Abstract | Download |
U. of Technology, Sydney Finance and Economics Working Paper No. 102
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Khomin, Alexander
affiliation not provided to SSRN
Posted:
05 Feb 06
194
(90,297)
 

16.  
Transformation of Heath-Jarrow-Morton Models to Markovian Systems | Show Abstract | Download |
U. of Technology, Sydney Finance and Economics Working Paper No. 53
Working Paper Series
Bhar, Ramaprasad
University of New South Wales (UNSW) - School of Banking and Finance
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
21 Feb 06
193
(90,768)
16

17.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Kang, Boda
Department of Mathematics, University of York
Posted:
03 Mar 09
171
(101,572)
1

18.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
17 Feb 06
165
(104,992)
 

19.  
Heterogeneity, Market Mechanisms, and Asset Price Dynamics | Show Abstract | Download |
Quantitative Finance Research Centre Research Paper No. 231
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Dieci, Roberto
Dipartimento di Matematica per le Scienze Economiche e Sociali - Università di Bologna
He, Xuezhong
University of Technology Sydney (UTS) - School of Finance and Economics
Posted:
03 Mar 09
164
(105,573)
24

20.  
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows | Show Abstract | Download |
Quantitative Finance Research Centre Research Paper No. 152
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Iori, Giulia
City University London - Department of Economics
Posted:
02 May 06
164
(105,573)
7

21.  
A Control Variate Method For Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps | Show Abstract | Download |
Quantitative Finance Research Centre Research Paper Number No. 167
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Nikitipoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business
Schlogl, Erik
University of Technology Sydney (UTS) - School of Finance and Economics
Posted:
02 May 06
161
(107,394)
 

22.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
He, Xuezhong
University of Technology Sydney (UTS) - School of Finance and Economics
Zwinkels, Remco C. J.
University of Technology Sydney (UTS) - School of Finance and Economics
Posted:
07 Dec 09
Last Revised:
17 Feb 11
151
(113,644)
 

23.  
Exchange Options under Jump-Diffusion Dynamics | Show Abstract | Download |
Quantitative Finance Research Centre Research Paper No. 235
Working Paper Series
Cheang, Gerald H. L.
Nanyang Technological University - Business School
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
03 Mar 09
146
(116,972)
 

24.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
El-Hassan, Nadima
University of Technology, Sydney
Posted:
14 Feb 06
141
(120,530)
4

25.  
Röthig, Andreas
Darmstadt University of Technology
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
02 May 06
140
(121,249)
2

26.  
Intertemporal Investment Strategies Under Inflation Risk | Show Abstract | Download |
Quantitative Finance Research Centre Working Paper No. 192
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Hsiao, Chih-Ying
Bielefeld University - Department of Business Administration and Economics
Semmler, Willi
The New School - Department of Economics
Posted:
16 Mar 08
139
(122,021)
 

27.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Schlogl, Erik
University of Technology Sydney (UTS) - School of Finance and Economics
Nikitipoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business
Posted:
07 Oct 04
137
(123,542)
3

28.  
The Volatility Structure of the Fixed Income Market Under the Hjm Framework: A Nonlinear Filtering Approach | Show Abstract | Download |
Computational Statistics and Data Analysis, Vol. 53, Issue 6, pp. 2075-2088
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Hung, Hing
University of Technology Sydney (UTS) - School of Finance and Economics
To, Thuy Duong
University of New South Wales, Sydney
Posted:
02 May 06
Last Revised:
30 Aug 11
129
(129,770)
3

29.  
Keynes-Metzler-Goodwin Model Building: The Closed Economy | Show Abstract | Download |
UTS School of Finance and Economics Working Paper No. 124
Working Paper Series
Asada, Toichiro
Chuo University
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Posted:
21 Jan 06
129
(129,770)
 

30.  
The Dynamics of Speculative Behaviour | Show Abstract | Download |
UTS Working Paper No. 13
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
17 Feb 06
123
(134,742)
13

31.  
The Multifactor Nature of the Volatility of the Eurodollar Futures Market | Show Abstract | Download |
Quantitative Finance Research Centre Research Paper No. 150
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
To, Thuy Duong
University of New South Wales, Sydney
Posted:
02 May 06
122
(135,600)
 

32.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Ziogas, Andrew
University of Technology Sydney (UTS) - School of Finance and Economics
Posted:
17 Mar 08
120
(137,321)
 

33.  
Keynesian Macrodynamics and the Phillips Curve: An Estimated Baseline Macromodel for the U.S. Economy | Show Abstract | Download |
Quantitative Finance Research Centre Research Paper Number No. 147
Working Paper Series
Chen, Pu
Bielefeld University - Department of Business Administration and Economics
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Semmler, Willi
The New School - Department of Economics
Posted:
02 May 06
118
(139,061)
1

34.  
Heterogeneous Expectations and Speculative Behavior in a Dynamic Multi-Asset Framework | Show Abstract | Download |
Quantitative Finance Research Center Working Paper No. 166
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Dieci, Roberto
Dipartimento di Matematica per le Scienze Economiche e Sociali - Università di Bologna
He, Xuezhong
University of Technology Sydney (UTS) - School of Finance and Economics
Posted:
11 Apr 06
118
(139,061)
10

35.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Hsiao, Chih-Ying
Bielefeld University - Department of Business Administration and Economics
Posted:
02 May 06
111
(145,578)
2

36.  
Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach | Show Abstract | Download |
U. of Technology, Sydney Finance and Economics Working Paper No. 56
Working Paper Series
Bhar, Ramaprasad
University of New South Wales (UNSW) - School of Banking and Finance
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
21 Feb 06
111
(145,578)
 

37.  
Output, Financial Markets and Growth | Show Abstract | Download |
University of Technology, School of Finance and Economics Working Paper No. 108
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Franke, Reiner
Vienna University of Technology
Semmler, Willi
The New School - Department of Economics
Posted:
31 Jan 06
111
(145,578)
 

38.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Griebsch, Susanne
University of Technology, Sydney
Kang, Boda
Department of Mathematics, University of York
Posted:
26 Feb 13
109
(147,535)
 

39.  
Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time | Show Abstract | Download |
Research Paper Number: 317, Quantitative Finance Research Centre, University of Technology, Sydney
Working Paper Series
Ingo, Beyna
affiliation not provided to SSRN
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Kang, Boda
affiliation not provided to SSRN
Posted:
17 Oct 12
100
(157,895)
 

40.  
Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model | Show Abstract | Download |
UTS Finance and Economics Working Paper No. 139
Working Paper Series
Asada, Toichiro
Chuo University
Chen, Pu
Bielefeld University - Department of Business Administration and Economics
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Posted:
12 Aug 05
95
(162,393)
6

41.  
Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis | Show Abstract | Download |
Quantitative Finance Research Centre Working Paper No. 186
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Dieci, Roberto
Dipartimento di Matematica per le Scienze Economiche e Sociali - Università di Bologna
He, Xuezhong
University of Technology Sydney (UTS) - School of Finance and Economics
Posted:
17 Mar 08
94
(163,559)
3

42.  
Ziveyi, Jonathan
Univesity of New South Wales - School of Risk and Actuarial Studies
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
05 Apr 12
Last Revised:
01 Oct 13
89
(169,649)
 

43.  
The Stochastic Dynamics of Speculative Prices | Show Abstract | Download |
Quantitative Finance Research Centre Working Paper No. 208
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
He, Xuezhong
University of Technology Sydney (UTS) - School of Finance and Economics
Zheng, Min
University of Technology Sydney (UTS)
Posted:
17 Mar 08
89
(169,649)
1

44.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Ziveyi, Jonathan
Univesity of New South Wales - School of Risk and Actuarial Studies
Posted:
11 Mar 12
88
(170,853)
 

45.  
A Dynamic Analysis of Cournot Duopoly in Imperfectly Competitive Product and Factor Markets | Show Abstract | Download |
U. of Technology, Sydney Finance and Economics Working Paper No. 43
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Okuguchi, Koji
Gifu Shotoku Gakuen University - Economics
Posted:
21 Feb 06
85
(174,608)
 

46.  
Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility | Show Abstract | Download |
Quantitative Finance Research Centre Research Paper No. 283
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Maina, Samuel Chege
University of Technology Sydney (UTS) - School of Finance and Economics
Nikitipoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business
Posted:
22 Oct 10
80
(181,289)
2

47.  
Hedge Portfolios in Markets with Price Discontinuities | Show Abstract | Download |
University of Technology Sydney Research Paper No. 218
Working Paper Series
Cheang, Gerald H. L.
Nanyang Technological University - Business School
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
12 May 08
79
(182,638)
 

48.  
Humps in the Volatility Structure of the Crude Oil Futures Market: New Evidence | Show Abstract | Download |
29th International Conference of the French Finance Association (AFFI) 2012
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Kang, Boda
Department of Mathematics, University of York
Nikitipoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business
To, Thuy Duong
University of New South Wales, Sydney
Posted:
09 Oct 12
78
(184,013)
 

49.  
Particle Filters for Markov Switching Stochastic Volatility Models | Show Abstract | Download |
Research Paper Number: 299, Quantitative Finance Research Centre, University of Technology, Sydney
Working Paper Series
Bao, Yun
affiliation not provided to SSRN
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Kang, Boda
Department of Mathematics, University of York
Posted:
23 Oct 12
74
(189,900)
 

50.  
Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications | Show Abstract | Download |
Quantitative Finance Research Centre Research Paper No. 276
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Hsiao, Chih-Ying
University of Technology, Sydney
Posted:
22 Oct 10
73
(191,399)
 

51.  
Disequilibrium Growth Theory: Foundations, Synthesis, Perspectives | Show Abstract | Download |
University of Technology, Sydney, Finance and Economics Working Paper No. 85
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Posted:
13 Feb 06
73
(191,399)
1

52.  
A Preference Free Partial Differential Equation for the Term Stucture of Interest Rates | Show Abstract | Download |
U. of Technology, Sydney Finance and Economics Working Paper No. 63
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
El-Hassan, Nadima
University of Technology, Sydney
Posted:
21 Feb 06
72
(192,908)
1

53.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Franke, Reiner
Vienna University of Technology
Semmler, Willi
The New School - Department of Economics
Posted:
02 Feb 06
70
(195,980)
2

54.  
Time-Varying Beta: A Boundedly Rational Equilibrium Approach | Show Abstract | Download |
Quantitative Finance Research Centre Research Paper No. 275
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Dieci, Roberto
Dipartimento di Matematica per le Scienze Economiche e Sociali - Università di Bologna
He, Xuezhong
University of Technology Sydney (UTS) - School of Finance and Economics
Posted:
22 Oct 10
65
(204,090)
 

55.  
Bootstrap Results from the State Space from Representation of the Heath-Jarrow-Morton Model | Show Abstract | Download |
U. of Technology, Sydney Finance and Economics Working Paper No. 66
Working Paper Series
Bhar, Ramaprasad
University of New South Wales (UNSW) - School of Banking and Finance
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
21 Feb 06
64
(205,759)
 

56.  
Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates | Show Abstract | Download |
U. of Technology, Sydney Finance and Economics Working Paper No. 64
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Khomin, Alexander
affiliation not provided to SSRN
Posted:
21 Feb 06
64
(205,759)
 

57.  
Heterogeneous Expectations and Exchange Rate Dynamics | Show Abstract | Download |
Quantitative Finance Research Centre Research Paper No. 243
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
He, Xuezhong
University of Technology Sydney (UTS) - School of Finance and Economics
Zheng, Min
University of Technology Sydney (UTS)
Posted:
03 Mar 09
63
(207,454)
 

58.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
He, Xuezhong
University of Technology Sydney (UTS)
Wei, Lijian
University of Technology Sydney - UTS Business School
Posted:
09 Aug 13
62
(209,144)
 

59.  
Di Guilmi, Corrado
University of Technology Sydney (UTS) - School of Finance and Economics
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
12 Feb 11
61
(210,872)
1

60.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Di Guilmi, Corrado
University of Technology Sydney (UTS) - School of Finance and Economics
Posted:
25 Mar 10
61
(210,872)
4

61.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Posted:
21 Jan 06
59
(214,446)
1

62.  
Chen, Pu
Bielefeld University - Department of Business Administration and Economics
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Hung, Hing
University of Technology Sydney (UTS) - School of Finance and Economics
Posted:
02 May 06
58
(216,227)
2

63.  
Price Flexibility and Debt Dynamics in a High Order AS-AD Model | Show Abstract | Download |
U. of Technology, Sydney Finance and Economics Working Paper No. 109
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Semmler, Willi
The New School - Department of Economics
Posted:
05 Feb 06
58
(216,227)
 

64.  
Two Stochastic Volatility Processes - American Option Pricing | Show Abstract | Download |
University of Technology Sydney Quantitative Finance Research Centre Working Paper No. 292
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Ziveyi, Jonathan
Univesity of New South Wales - School of Risk and Actuarial Studies
Posted:
11 Mar 12
57
(220,006)
 

65.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
17 Feb 06
57
(218,090)
1

66.  
Small Traders in Currency Futures Markets Format | Show Abstract | Download |
Quantitative Finance Research Centre Research Paper No. 278
Working Paper Series
Röthig, Andreas
Darmstadt University of Technology
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
28 Jun 10
56
(220,006)
 

67.  
A Modern View on Merton's Jump-Diffusion Model | Show Abstract | Download |
Research Paper Number 287, Quantitative Finance Research Centre, University of Technology, Sydney
Working Paper Series
Cheang, Gerald H. L.
Nanyang Technological University - Business School
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
27 Oct 12
55
(221,928)
1

68.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Di Guilmi, Corrado
University of Technology Sydney (UTS) - School of Finance and Economics
Posted:
22 Mar 12
Last Revised:
09 Oct 12
54
(223,826)
 

69.  
Real-Financial Interaction: Implications of Budget Equations and Capital Accumulation | Show Abstract | Download |
UTS School of Finance and Economics Working Paper No. 127
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Semmler, Willi
The New School - Department of Economics
Posted:
21 Jan 06
53
(225,755)
 

70.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
22 Feb 06
52
(227,814)
 

71.  
Keynesian AD-AS Vadis? | Show Abstract | Download |
University of Sydney School of Finance and Economics Working Paper No. 151
Working Paper Series
Asada, Toichiro
Chuo University
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Proaño, Christian
affiliation not provided to SSRN
Posted:
17 Mar 08
51
(229,824)
 

72.  
Real-Financial Interaction: A Reconsideration of the Blanchard Model with a State-of-Market Dependent Reaction Coefficient | Show Abstract | Download |
University of Technology, Sydney, Finance and Economics Working Paper No. 111
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Franke, Reiner
Vienna University of Technology
Semmler, Willi
The New School - Department of Economics
Posted:
13 Feb 06
50
(231,927)
2

73.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Groh, Gangolf
affiliation not provided to SSRN
Koper, Carsten
affiliation not provided to SSRN
Semmler, Willi
The New School - Department of Economics
Posted:
08 Feb 06
49
(234,034)
 

74.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Zhu, Peiyuan
University of Sydney
Posted:
27 Jan 06
49
(234,034)
 

75.  
Output and the Term Structure of Interest Rates: Ways Out of the Jump-Variable Conundrum | Show Abstract | Download |
UTS School of Finance and Economics Working Paper No. 125
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Franke, Reiner
Vienna University of Technology
Semmler, Willi
The New School - Department of Economics
Posted:
21 Jan 06
48
(236,155)
1

76.  
Real-Financial Interaction: Integrating Supply Side Wage-Price Dynamics and the Stock Market | Show Abstract | Download |
U. of Technology, Sydney Finance and Economics Working Paper No. 112
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Franke, Reiner
Vienna University of Technology
Semmler, Willi
The New School - Department of Economics
Posted:
31 Jul 10
47
(238,329)
 

77.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Da Fonseca, José
Auckland University of Technology - Faculty of Business & Law
Grasselli, Martino
University of Padova - Department of Mathematics
Posted:
11 Aug 13
Last Revised:
04 Jan 14
45
(242,713)
 

78.   Incl. Electronic Paper
Asada, Toichiro
Chuo University
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Mouakil, Tarik
affiliation not provided to SSRN
Proaño, Christian
affiliation not provided to SSRN
Posted:
18 Dec 10
Last Revised:
02 May 11
44
(244,909)
1

79.  
Credit Derivative Pricing with Stochastic Volatility Models | Show Abstract | Download |
University of Technology Sydney Quantitative Finance Research Centre Research Paper No. 293
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Maina, Samuel Chege
University of Technology Sydney (UTS) - School of Finance and Economics
Nikitipoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business
Posted:
23 Oct 12
42
(249,499)
 

80.  
Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios | Show Abstract | Download |
Research Paper Number: 304, Quantitative Finance Research Centre, University of Technology, Sydney
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Lo, Chi-Fai
The Chinese University of Hong Kong
Huang, Ming Xi
University of Technology Sydney (UTS) - School of Finance and Economics
Posted:
17 Oct 12
39
(256,465)
 

81.  
An Evolutionary CAPM Under Heterogeneous Beliefs | Show Abstract | Download |
25th Australasian Finance and Banking Conference 2012
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Dieci, Roberto
Dipartimento di Matematica per le Scienze Economiche e Sociali - Università di Bologna
He, Xuezhong
University of Technology Sydney (UTS) - School of Finance and Economics
Li, Kai
University of Technology Sydney (UTS) - Finance Discipline Group
Posted:
20 Aug 12
39
(256,465)
 

82.  
Towards Applied Disequilibrium Growth Theory: II Intensive Form and Steady State Analysis of the Model | Show Abstract | Download |
University of Technology Sydney, Finance and Economics Working Paper No. 94
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Posted:
06 Feb 06
38
(258,962)
 

83.  
Interacting Two-Country Business Fluctuations | Show Abstract | Download |
U. of Technology, Sydney Finance and Economics Working Paper No. 128
Working Paper Series
Asada, Toichiro
Chuo University
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Franke, Reiner
Vienna University of Technology
Posted:
26 Jan 06
37
(261,519)
 

84.  
Volatility Swaps and Volatility Options on Discretely Sampled Realized Variance | Show Abstract | Download |
Journal of Economic Dynamics and Control, Forthcoming
Accepted Paper Series
Lian, Guanghua
University of South Australia - School of Commerce
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Kalev, Petko S.
University of South Australia - Centre for Applied Financial Studies
Posted:
09 Sep 13
Last Revised:
23 Aug 14
32
(275,146)
 

85.  
Monetary Policy and Debt Deflation: Some Computational Experiments | Show Abstract | Download |
CAMA Working Paper 42/2013, July 2013, FIRN Research Paper
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Di Guilmi, Corrado
University of Technology Sydney (UTS) - School of Finance and Economics
Posted:
04 Jul 13
32
(275,146)
 

86.  
Asada, Toichiro
Chuo University
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Westerhoff, Frank H.
affiliation not provided to SSRN
Posted:
18 Dec 10
32
(275,146)
 

87.  
The Dynamics of the Cobweb when Producers are Risk Averse Learners | Show Abstract | Download |
U. of Technology, Sydney Finance and Economics Working Paper No. 90
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
He, Xuezhong
University of Technology Sydney (UTS) - School of Finance and Economics
Posted:
05 Feb 06
31
(278,073)
2

88.  
Keynesian Monetary Growth Dynamics: The Missing Prototype | Show Abstract | Download |
U. of Technology, Sydney Finance and Economics Working Paper No. 52
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Posted:
21 Feb 06
30
(281,155)
11

89.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Semmler, Willi
The New School - Department of Economics
Posted:
06 Feb 06
29
(284,271)
 

90.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Zhu, Peiyuan
University of Sydney
Posted:
09 Feb 06
27
(291,032)
 

91.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Posted:
08 Feb 06
24
(301,997)
 

92.  
Estimating Behavioural Heterogeneity Under Regime Switching | Show Abstract | Download |
University of Technology Sydney Quantitative Finance Research Centre Research Paper No. 290
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
He, Xuezhong
University of Technology Sydney (UTS) - School of Finance and Economics
Huang, Weihong
Nanyang Technological University (NTU) - School of Humanities & Social Sciences
Zheng, Huanhuan
Nanyang Technological University (NTU) - Division of Economics
Posted:
23 Oct 12
23
(305,893)
 

93.  
Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices | Show Abstract | Download |
Mathematical Finance, Vol. 15, No. 1, pp. 61-97, January 2005
Accepted Paper Series
Böhm, Volker
Bielefeld University - Department of Business Administration and Economics
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
30 Dec 04
21
(313,898)
4

94.  
Limit Distribution of Evolving Strategies in Financial Markets | Show Abstract | Download |
Research Paper Number: 294, Quantitative Finance Research Centre, University of Technology, Sydney
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Di Guilmi, Corrado
University of Technology Sydney (UTS) - School of Finance and Economics
Posted:
23 Oct 12
10
(359,821)
1

95.  
Stock‐Flow Interactions, Disequilibrium Macroeconomics and the Role of Economic Policy | Show Abstract | Download |
Journal of Economic Surveys, Vol. 25, Issue 3, pp. 569-599, 2011
Accepted Paper Series
Asada, Toichiro
Chuo University
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Flaschel, Peter
Bielefeld University - Department of Business Administration and Economics
Mouakil, Tarik
affiliation not provided to SSRN
Proano, Christian
Bielefeld University
Semmler, Willi
The New School - Department of Economics
Posted:
20 May 11
3
(388,413)
 

96.  
American Option Pricing Under Two Stochastic Volatility Processes | Show Abstract |
Applied Mathematics and Computation, Forthcoming
Working Paper Series
Ziveyi, Jonathan
Univesity of New South Wales - School of Risk and Actuarial Studies
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
02 Oct 13
 

97.  
The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching | Show Abstract |
Research Paper Number: 288, Quantitative Finance Research Centre, University of Technology, Sydney
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Clewlow, Les
Lacima
Kang, Boda
Department of Mathematics, University of York
Posted:
27 Oct 12
 

98.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Ziogas, Andrew
University of Technology Sydney (UTS) - School of Finance and Economics
Ziveyi, Jonathan
Univesity of New South Wales - School of Risk and Actuarial Studies
Posted:
12 Mar 12
 

99.  
A Simulation Analysis of the Microstructure of Double Auction Markets | Show Abstract |
Quantitative Finance, Vol. 2, pp. 346-353, 2002
Accepted Paper Series
Iori, Giulia
City University London - Department of Economics
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
09 Nov 05
 


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1.  
A Survey of Non-Linear Methods for No-Arbitrage Bond Pricing | Show Abstract | Download |
Quantitative Finance Research Centre Research Paper No. 277
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Hsiao, Chih-Ying
University of Technology, Sydney
Huang, Ming Xi
University of Technology Sydney (UTS) - School of Finance and Economics
Posted:
29 Jun 10
2
 


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