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Chiarella, Carl


 SSRN Author Rank: 1,672 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
11,961
Total
Citations
174
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 This Paper |
U. of Technology, Sydney Finance and Economics Working Paper No. 70
Number of Pages in PDF File: 23
Bhar, Ramaprasad
UNSW Australia Business School, School of Banking and Finance
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
21 Feb 06
820
(16,485)
2

2.  
A Dynamic Analysis of Moving Average Rules | Show Abstract | Download This Paper |
Tinbergen Institute Discussion Paper No. TI 05-057/1
Number of Pages in PDF File: 29
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
791
(17,376)
19

3.  
The History of the Quantitative Methods in Finance Conference Series 1992-2007 | Show Abstract | Download This Paper |
Quantitative Finance Research Centre Working Paper No. 207
Number of Pages in PDF File: 113
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
563
(28,085)
 

4.  
A Class of Stochastic Volatility HJM Interest Rate Models | Show Abstract | Download This Paper |
EFMA 2004 Basel Meetings Paper
Number of Pages in PDF File: 12
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Colwell, David B.
UNSW Australia Business School, School of Banking and Finance
Kwon, Oh Kang
ANZ Bank
Posted:
09 May 04
484
(34,303)
 

5.  
Type I Spurious Regression in Econometrics | Show Abstract | Download This Paper |
University of Technology, Finance and Economics Working Paper No. 114
Number of Pages in PDF File: 18
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Gao, Shenhuai
The University of Sydney Business School
Posted:
03 Feb 06
360
(49,569)
6

6.  
Solving the Price-Earnings Puzzle | Show Abstract | Download This Paper |
UTS Working Paper No. 116
Number of Pages in PDF File: 13
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Gao, Shenhuai
The University of Sydney Business School
Posted:
02 Feb 06
313
(58,643)
2

7.  
Modelling the Value of the S&P 500 - A System Dynamics Perspective | Show Abstract | Download This Paper |
University of Technology, Finance and Economics Working Paper No. 115
Number of Pages in PDF File: 25
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Gao, Shenhuai
The University of Sydney Business School
Posted:
03 Feb 06
262
(71,344)
2

8.  
Continuous Time Model Estimation | Show Abstract | Download This Paper |
Sydney U. of Technology Finance and Economics Working Paper No. 138
Number of Pages in PDF File: 15
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Gao, Shenhuai
The University of Sydney Business School
Posted:
11 Aug 05
254
(73,767)
1

9.  
Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework | Show Abstract | Download This Paper |
U. of Technology, Sydney Finance and Economics Working Paper No. 55
Number of Pages in PDF File: 14
Bhar, Ramaprasad
UNSW Australia Business School, School of Banking and Finance
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
21 Feb 06
243
(77,402)
 

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
(80,164)
 

11.  
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
227
(83,169)
1

12.  
Pricing American Options on Jump-Diffusion Processes Using Fourier Hermite Series Expansions | Show Abstract | Download This Paper |
Quantitative Finance Research Centre Research Paper No. 145
Number of Pages in PDF File: 48
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
224
(84,331)
2

13.  
Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems | Show Abstract | Download This Paper |
U. of Technology, Sydney Finance and Economics Working Paper No. 76
Number of Pages in PDF File: 25
Bhar, Ramaprasad
UNSW Australia Business School, School of Banking and Finance
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
05 Feb 06
219
(86,277)
 

14.  
The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques | Show Abstract | Download This Paper |
U. of Technology, Sydney Finance and Economics Working Paper No. 54
Number of Pages in PDF File: 23
Bhar, Ramaprasad
UNSW Australia Business School, School of Banking and Finance
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
21 Feb 06
197
(95,958)
4

15.  
Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics | Show Abstract | Download This Paper |
U. of Technology, Sydney Finance and Economics Working Paper No. 102
Number of Pages in PDF File: 29
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Khomin, Alexander
affiliation not provided to SSRN
Posted:
05 Feb 06
194
(97,355)
 

16.  
Transformation of Heath-Jarrow-Morton Models to Markovian Systems | Show Abstract | Download This Paper |
U. of Technology, Sydney Finance and Economics Working Paper No. 53
Number of Pages in PDF File: 36
Bhar, Ramaprasad
UNSW Australia Business School, School of Banking and Finance
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
21 Feb 06
193
(97,829)
16

17.  
Heterogeneity, Market Mechanisms, and Asset Price Dynamics | Show Abstract | Download This Paper |
Quantitative Finance Research Centre Research Paper No. 231
Number of Pages in PDF File: 59
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
183
(103,303)
24

18.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Kang, Boda
Department of Mathematics, University of York
Posted:
03 Mar 09
177
(106,092)
1

19.  
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows | Show Abstract | Download This Paper |
Quantitative Finance Research Centre Research Paper No. 152
Number of Pages in PDF File: 16
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Iori, Giulia
City University London - Department of Economics
Posted:
02 May 06
168
(111,208)
7

20.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
17 Feb 06
167
(111,846)
 

21.  
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:
07 Dec 09
Last Revised:
17 Feb 11
166
(113,082)
 

22.  
A Control Variate Method For Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps | Show Abstract | Download This Paper |
Quantitative Finance Research Centre Research Paper Number No. 167
Number of Pages in PDF File: 33
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Nikitopoulos 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
162
(114,921)
 

23.  
Exchange Options under Jump-Diffusion Dynamics | Show Abstract | Download This Paper |
Quantitative Finance Research Centre Research Paper No. 235
Number of Pages in PDF File: 28
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
151
(122,189)
 

24.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
El-Hassan, Nadima
University of Technology, Sydney
Posted:
14 Feb 06
145
(126,551)
4

25.  
Röthig, Andreas
Darmstadt University of Technology
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
02 May 06
143
(128,075)
1

26.  
Intertemporal Investment Strategies Under Inflation Risk | Show Abstract | Download This Paper |
Quantitative Finance Research Centre Working Paper No. 192
Number of Pages in PDF File: 53
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
140
(130,304)
 

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
Nikitopoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business
Posted:
07 Oct 04
140
(130,304)
3

28.  
The Volatility Structure of the Fixed Income Market Under the Hjm Framework: A Nonlinear Filtering Approach | Show Abstract | Download This Paper |
Computational Statistics and Data Analysis, Vol. 53, Issue 6, pp. 2075-2088
Number of Pages in PDF File: 31
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
(139,358)
3

29.  
Keynes-Metzler-Goodwin Model Building: The Closed Economy | Show Abstract | Download This Paper |
UTS School of Finance and Economics Working Paper No. 124
Number of Pages in PDF File: 53
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
(139,358)
 

30.  
The Multifactor Nature of the Volatility of the Eurodollar Futures Market | Show Abstract | Download This Paper |
Quantitative Finance Research Centre Research Paper No. 150
Number of Pages in PDF File: 15
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
124
(143,770)
 

31.  
The Dynamics of Speculative Behaviour | Show Abstract | Download This Paper |
UTS Working Paper No. 13
Number of Pages in PDF File: 35
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
17 Feb 06
123
(144,659)
13

32.  
A Fourier Transform Analysis of the American Call Option on Assets Driven by Jump-Diffusion Processes | Show Abstract | Download This Paper |
Quantitative Finance Research Centre Working Paper No. 174
Number of Pages in PDF File: 89
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
122
(145,560)
 

33.  
Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time | Show Abstract | Download This Paper |
Research Paper Number: 317, Quantitative Finance Research Centre, University of Technology, Sydney
Number of Pages in PDF File: 65
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
121
(146,495)
 

34.  
Keynesian Macrodynamics and the Phillips Curve: An Estimated Baseline Macromodel for the U.S. Economy | Show Abstract | Download This Paper |
Quantitative Finance Research Centre Research Paper Number No. 147
Number of Pages in PDF File: 57
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
120
(147,407)
1

35.  
Heterogeneous Expectations and Speculative Behavior in a Dynamic Multi-Asset Framework | Show Abstract | Download This Paper |
Quantitative Finance Research Center Working Paper No. 166
Number of Pages in PDF File: 26
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
120
(147,407)
10

36.  
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
119
(148,379)
 

37.  
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
112
(155,199)
2

38.  
Output, Financial Markets and Growth | Show Abstract | Download This Paper |
University of Technology, School of Finance and Economics Working Paper No. 108
Number of Pages in PDF File: 24
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
112
(155,199)
 

39.  
Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach | Show Abstract | Download This Paper |
U. of Technology, Sydney Finance and Economics Working Paper No. 56
Number of Pages in PDF File: 33
Bhar, Ramaprasad
UNSW Australia Business School, School of Banking and Finance
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
21 Feb 06
111
(156,243)
 

40.  
Pricing American Options Written on Two Underlying Assets | Show Abstract | Download This Paper |
Quantitative Finance (2013)
Number of Pages in PDF File: 37
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
109
(158,286)
 

41.  
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
108
(159,378)
 

42.  
Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis | Show Abstract | Download This Paper |
Quantitative Finance Research Centre Working Paper No. 186
Number of Pages in PDF File: 23
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
96
(173,083)
3

43.  
Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model | Show Abstract | Download This Paper |
UTS Finance and Economics Working Paper No. 139
Number of Pages in PDF File: 52
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
96
(173,083)
6

44.  
Humps in the Volatility Structure of the Crude Oil Futures Market: New Evidence | Show Abstract | Download This Paper |
29th International Conference of the French Finance Association (AFFI) 2012
Number of Pages in PDF File: 38
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Kang, Boda
Department of Mathematics, University of York
Nikitopoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business
To, Thuy Duong
University of New South Wales, Sydney
Posted:
09 Oct 12
92
(178,077)
 

45.  
The Stochastic Dynamics of Speculative Prices | Show Abstract | Download This Paper |
Quantitative Finance Research Centre Working Paper No. 208
Number of Pages in PDF File: 47
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
90
(180,638)
1

46.  
A Dynamic Analysis of Cournot Duopoly in Imperfectly Competitive Product and Factor Markets | Show Abstract | Download This Paper |
U. of Technology, Sydney Finance and Economics Working Paper No. 43
Number of Pages in PDF File: 20
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Okuguchi, Koji
Gifu Shotoku Gakuen University - Economics
Posted:
21 Feb 06
89
(181,930)
 

47.  
Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility | Show Abstract | Download This Paper |
Quantitative Finance Research Centre Research Paper No. 283
Number of Pages in PDF File: 47
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
Nikitopoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business
Posted:
22 Oct 10
83
(190,049)
3

48.  
Particle Filters for Markov Switching Stochastic Volatility Models | Show Abstract | Download This Paper |
Research Paper Number: 299, Quantitative Finance Research Centre, University of Technology, Sydney
Number of Pages in PDF File: 21
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
82
(191,443)
 

49.  
Hedge Portfolios in Markets with Price Discontinuities | Show Abstract | Download This Paper |
University of Technology Sydney Research Paper No. 218
Number of Pages in PDF File: 28
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
80
(194,328)
 

50.  
Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications | Show Abstract | Download This Paper |
Quantitative Finance Research Centre Research Paper No. 276
Number of Pages in PDF File: 24
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Hsiao, Chih-Ying
University of Technology, Sydney
Posted:
22 Oct 10
75
(201,941)
 

51.  
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
73
(205,216)
 

52.  
Disequilibrium Growth Theory: Foundations, Synthesis, Perspectives | Show Abstract | Download This Paper |
University of Technology, Sydney, Finance and Economics Working Paper No. 85
Number of Pages in PDF File: 115
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
(205,216)
1

53.  
Time-Varying Beta: A Boundedly Rational Equilibrium Approach | Show Abstract | Download This Paper |
Quantitative Finance Research Centre Research Paper No. 275
Number of Pages in PDF File: 31
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
72
(206,834)
 

54.  
A Preference Free Partial Differential Equation for the Term Stucture of Interest Rates | Show Abstract | Download This Paper |
U. of Technology, Sydney Finance and Economics Working Paper No. 63
Number of Pages in PDF File: 29
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
El-Hassan, Nadima
University of Technology, Sydney
Posted:
21 Feb 06
72
(206,834)
1

55.  
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
(210,093)
2

56.  
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
66
(216,857)
4

57.  
Heterogeneous Expectations and Exchange Rate Dynamics | Show Abstract | Download This Paper |
Quantitative Finance Research Centre Research Paper No. 243
Number of Pages in PDF File: 38
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
66
(216,857)
 

58.  
Bootstrap Results from the State Space from Representation of the Heath-Jarrow-Morton Model | Show Abstract | Download This Paper |
U. of Technology, Sydney Finance and Economics Working Paper No. 66
Number of Pages in PDF File: 12
Bhar, Ramaprasad
UNSW Australia Business School, School of Banking and Finance
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
21 Feb 06
65
(218,679)
 

59.  
A Modern View on Merton's Jump-Diffusion Model | Show Abstract | Download This Paper |
Research Paper Number 287, Quantitative Finance Research Centre, University of Technology, Sydney
Number of Pages in PDF File: 14
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
64
(220,497)
1

60.  
Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates | Show Abstract | Download This Paper |
U. of Technology, Sydney Finance and Economics Working Paper No. 64
Number of Pages in PDF File: 24
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Khomin, Alexander
affiliation not provided to SSRN
Posted:
21 Feb 06
64
(220,497)
 

61.  
Two Stochastic Volatility Processes - American Option Pricing | Show Abstract | Download This Paper |
University of Technology Sydney Quantitative Finance Research Centre Working Paper No. 292
Number of Pages in PDF File: 74
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
62
(224,274)
 

62.  
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
62
(224,274)
1

63.  
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
59
(230,035)
2

64.  
Price Flexibility and Debt Dynamics in a High Order AS-AD Model | Show Abstract | Download This Paper |
U. of Technology, Sydney Finance and Economics Working Paper No. 109
Number of Pages in PDF File: 32
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
59
(230,035)
 

65.  
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
(230,035)
1

66.  
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
58
(232,016)
 

67.  
Small Traders in Currency Futures Markets Format | Show Abstract | Download This Paper |
Quantitative Finance Research Centre Research Paper No. 278
Number of Pages in PDF File: 24
Röthig, Andreas
Darmstadt University of Technology
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
28 Jun 10
58
(232,016)
 

68.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
17 Feb 06
57
(233,964)
1

69.  
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
55
(238,040)
1

70.  
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Posted:
22 Feb 06
54
(240,124)
 

71.  
Keynesian AD-AS Vadis? | Show Abstract | Download This Paper |
University of Sydney School of Finance and Economics Working Paper No. 151
Number of Pages in PDF File: 44
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
53
(242,194)
 

72.  
Real-Financial Interaction: Implications of Budget Equations and Capital Accumulation | Show Abstract | Download This Paper |
UTS School of Finance and Economics Working Paper No. 127
Number of Pages in PDF File: 23
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
(242,194)
 

73.  
Real-Financial Interaction: A Reconsideration of the Blanchard Model with a State-of-Market Dependent Reaction Coefficient | Show Abstract | Download This Paper |
University of Technology, Sydney, Finance and Economics Working Paper No. 111
Number of Pages in PDF File: 38
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
(248,695)
2

74.  
Credit Derivative Pricing with Stochastic Volatility Models | Show Abstract | Download This Paper |
University of Technology Sydney Quantitative Finance Research Centre Research Paper No. 293
Number of Pages in PDF File: 40
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
Nikitopoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business
Posted:
23 Oct 12
49
(250,957)
 

75.  
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
(250,957)
 

76.  
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
(250,957)
 

77.  
Output and the Term Structure of Interest Rates: Ways Out of the Jump-Variable Conundrum | Show Abstract | Download This Paper |
UTS School of Finance and Economics Working Paper No. 125
Number of Pages in PDF File: 38
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
(253,195)
1

78.  
Real-Financial Interaction: Integrating Supply Side Wage-Price Dynamics and the Stock Market | Show Abstract | Download This Paper |
U. of Technology, Sydney Finance and Economics Working Paper No. 112
Number of Pages in PDF File: 29
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
(255,543)
 

79.   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
46
(257,840)
1

80.  
An Evolutionary CAPM Under Heterogeneous Beliefs | Show Abstract | Download This Paper |
25th Australasian Finance and Banking Conference 2012
Number of Pages in PDF File: 38
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
44
(262,533)
 

81.  
Monetary Policy and Debt Deflation: Some Computational Experiments | Show Abstract | Download This Paper |
CAMA Working Paper 42/2013, July 2013, FIRN Research Paper
Number of Pages in PDF File: 28
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
42
(267,475)
 

82.  
Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios | Show Abstract | Download This Paper |
Research Paper Number: 304, Quantitative Finance Research Centre, University of Technology, Sydney
Number of Pages in PDF File: 73
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
41
(269,963)
 

83.  
Volatility Swaps and Volatility Options on Discretely Sampled Realized Variance | Show Abstract | Download This Paper |
Journal of Economic Dynamics and Control, Forthcoming
Number of Pages in PDF File: 41
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
40
(272,540)
 

84.  
Towards Applied Disequilibrium Growth Theory: II Intensive Form and Steady State Analysis of the Model | Show Abstract | Download This Paper |
University of Technology Sydney, Finance and Economics Working Paper No. 94
Number of Pages in PDF File: 43
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
39
(275,105)
 

85.  
Interacting Two-Country Business Fluctuations | Show Abstract | Download This Paper |
U. of Technology, Sydney Finance and Economics Working Paper No. 128
Number of Pages in PDF File: 43
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
(280,661)
 

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
33
(292,198)
 

87.  
The Dynamics of the Cobweb when Producers are Risk Averse Learners | Show Abstract | Download This Paper |
U. of Technology, Sydney Finance and Economics Working Paper No. 90
Number of Pages in PDF File: 15
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
32
(295,256)
2

88.  
Estimating Behavioural Heterogeneity Under Regime Switching | Show Abstract | Download This Paper |
University of Technology Sydney Quantitative Finance Research Centre Research Paper No. 290
Number of Pages in PDF File: 32
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
31
(298,361)
 

89.  
Keynesian Monetary Growth Dynamics: The Missing Prototype | Show Abstract | Download This Paper |
U. of Technology, Sydney Finance and Economics Working Paper No. 52
Number of Pages in PDF File: 65
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
(301,662)
11

90.  
Towards Applied Disequilibrium Growth Theory: VII Intensive Form and Steady State Calculation in the Case of Substitution | Show Abstract | Download This Paper |
University of Technology Sydney Finance, Economics Working Paper No. 99
Number of Pages in PDF File: 41
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
(305,023)
 

91.  
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
(312,315)
 

92.  
Towards Applied Disequilibrium Growth Theory: I. The Starting Model | Show Abstract | Download This Paper |
UTS Business Working Paper No. 93
Number of Pages in PDF File: 64
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
(324,092)
 

93.  
Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices | Show Abstract | Add to Cart |
Mathematical Finance, Vol. 15, No. 1, pp. 61-97, January 2005
Number of Pages in PDF File: 37
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
(336,825)
4

94.  
Limit Distribution of Evolving Strategies in Financial Markets | Show Abstract | Download This Paper |
Research Paper Number: 294, Quantitative Finance Research Centre, University of Technology, Sydney
Number of Pages in PDF File: 28
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
13
(372,101)
1

95.  
Stock‐Flow Interactions, Disequilibrium Macroeconomics and the Role of Economic Policy | Show Abstract | Add to Cart |
Journal of Economic Surveys, Vol. 25, Issue 3, pp. 569-599, 2011
Number of Pages in PDF File: 31
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
(415,314)
 

96.  
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
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.  
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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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
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