Access Statistics for Carl Chiarella

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Behavioural Asset Pricing Model with a Time-Varying Second Moment 0 0 0 147 0 1 1 486
A Behavioural Model of Investor Sentiment in Limit Order Markets 0 0 1 126 0 0 1 305
A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility 0 0 0 187 0 0 0 431
A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework 0 0 0 375 0 0 0 983
A Complete Stochastic Volatility Model in the HJM Framework 0 0 0 302 1 1 2 661
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 1 445 0 0 2 1,490
A Dynamic Analysis of Cournot Duopoly in Imperfectly Competitive Product and Factor Markets 0 0 0 55 0 0 0 200
A Dynamic Analysis of Moving Average Rules 0 0 0 652 0 0 1 2,057
A Dynamic Analysis of Moving Average Rules 1 2 2 498 1 3 6 1,520
A Dynamic Analysis of Moving Average Rules 0 0 0 134 0 0 2 514
A Dynamic Analysis of Speculation Across Two Markets 0 0 0 80 0 0 1 236
A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market 0 0 0 102 0 0 1 267
A Dynamic Heterogeneous Beliefs CAPM 0 0 0 133 0 0 3 281
A Dynamical Analysis of Moving Average Rules 0 0 0 9 0 0 1 1,642
A Framework for CAPM with Heterogenous Beliefs 1 2 4 219 2 3 5 501
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 1 2 481
A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models 0 0 1 278 0 1 4 809
A Model of Monetary Growth for a Small Open Economy 0 0 0 54 0 0 0 115
A Modern View on Merton's Jump-Diffusion Model 0 0 0 192 0 3 6 485
A Non-Stationary Asset Pricing Model under Heterogeneous Expectations 0 0 0 0 0 0 0 213
A Preference Free Partial Differential Equation for the Term Structure of Interest Rates 0 0 0 153 0 1 3 636
A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models 0 0 0 0 0 0 1 344
A Survey of Models for the Pricing of Interest Rate Derivatives 0 0 0 0 0 0 1 181
A Survey of Non-linear Methods for No-arbitrage Bond Pricing 0 0 0 88 0 0 1 133
A Survey of the Integral Representation of American Option Prices 0 1 1 349 0 1 3 719
A simple microstructure model of double auction markets 0 0 0 0 0 0 2 509
Adaptive Rational Expectations in Models of Monetary Dynamics 0 0 0 83 0 0 2 206
Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis 0 0 0 134 0 0 2 357
Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis 0 0 0 135 0 0 1 321
American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach 0 0 1 557 1 1 4 1,331
An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies 0 0 0 0 0 1 3 361
An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies 0 0 0 234 0 1 2 678
An Analysis of American Options Under Heston Stochastic Volatility and Jump-Diffusion Dynamics 0 0 0 161 1 2 3 359
An Evolutionary CAPM Under Heterogeneous Beliefs 0 0 0 94 1 3 3 220
An Implementation of the Shirakawa Jump-Diffusion Term Structure Model 0 0 0 1 0 0 0 233
Applying Disequilibrium Growth Theory: Debt Effects and Debt Deflation 0 0 0 303 0 0 2 1,098
Approximate Hedging of Options under Jump-Diffusion Processes 0 0 0 21 0 0 0 85
Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems 0 0 0 79 0 0 1 240
Asset Price Dynamics among Heterogeneous Interacting Agents 0 0 0 0 0 0 0 313
Asset Price and Wealth Dynamics Under Heterogeneous Expectations 0 0 0 220 0 0 2 501
Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents 0 0 0 178 0 0 0 458
Asset Price and Wealth Dynamics under Heterogeneous Expectations 0 0 0 74 0 1 3 788
Asset price and wealth dynamics in a financial market with heterogeneous agents 0 0 0 0 0 0 1 293
Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model 0 0 0 53 0 0 2 224
Business Confidence and Macroeconomic Dynamics in a Nonlinear Two-Country Framework with Aggregate Opinion Dynamics 0 0 0 43 0 0 2 172
Classes of Interest Rate Models Under the HJM Framework 1 1 3 409 1 1 5 1,206
Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data 0 0 0 3,681 1 2 7 10,631
Continuous Time Model Estimation 0 0 0 447 0 0 0 1,266
Credit Derivative Pricing with Stochastic Volatility Models 0 0 0 64 0 0 2 214
Determinants of Corporate Capital Structure: Australian Evidence 0 0 2 410 1 1 11 1,315
Developments in Nonlinear Economic Dynamics: Past, Present and Future 0 0 0 87 0 0 0 199
Disequilibrium Growth Theory: Foundations, Synthesis, Perspectives 0 0 1 76 0 1 2 244
Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case 0 0 0 45 0 3 3 229
Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case 0 0 0 46 0 1 1 293
Estimating Behavioural Heterogeneity Under Regime Switching 0 0 0 90 0 0 0 287
Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach 0 0 0 87 1 2 2 309
Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets 0 0 1 375 0 0 2 996
Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm 0 0 0 89 0 1 4 343
Estimation of the Volatility Structure of the Fixed Income Market 0 0 0 4 0 0 0 155
Evaluation of American Strangles 0 0 0 107 0 0 1 301
Evaluation of American Strangles 0 0 0 149 0 0 0 1,294
Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques 0 0 0 115 0 0 0 371
Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions 0 0 0 7 0 0 0 359
Exchange Options Under Jump-Diffusion Dynamics 0 0 0 116 0 0 1 280
Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers 0 0 0 111 0 1 1 793
Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers 0 0 0 0 0 0 0 284
Filtering Equity Risk Premia From Derivative Prices 0 0 0 154 0 0 0 462
Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model 0 0 0 89 1 2 2 321
Hedge Portfolios in Markets with Price Discontinuities 0 0 0 75 0 0 3 242
Heterogeneity, Market Mechanisms, and Asset Price Dynamics 0 0 4 292 0 3 9 638
Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker 0 0 0 182 0 0 2 488
Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model 0 0 0 419 0 0 0 1,251
Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model 0 0 0 69 0 0 2 278
Heterogeneous Expectations and Exchange Rate Dynamics 0 0 0 96 0 0 2 182
Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework 0 0 0 114 0 2 2 343
Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500 0 0 0 85 0 1 1 239
Humps in the Volatility Structure of the Crude Oil Futures Market 0 0 0 64 0 0 2 231
Infering Forward Looking Financial Market Risk Premia from Derivatives Prices 0 0 0 70 0 1 3 521
Interacting Two-Country Business Fluctuations 0 0 0 35 0 0 0 167
Interacting Two-Country Business Fluctuations 0 0 0 61 0 1 1 324
Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework 0 0 0 147 0 0 0 553
Intertemporal Asset Allocation with Inflation-Indexed Bonds 0 0 0 0 0 0 1 211
Intertemporal Investment Strategies Under Inflation Risk 1 1 4 224 1 1 6 904
Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models 0 0 0 116 0 1 1 381
Investigating Nonlinear Speculation in Cattle, Corn, and Hog Futures Markets using Logistic Smooth Transition Regression Models 0 0 0 0 0 0 1 5
Investigating Time-Efficient Methods to Price Compound Options in the Heston Model 0 0 0 20 1 2 2 91
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 2 0 0 0 13
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 14 0 1 2 101
Investigation nonlinear speculation in cattle, corn, and hog futures markets using logistics smooth transition regression models 0 0 0 0 0 0 0 4
Issues in Evaluating Multifactor Options in a PDE Framework 0 0 0 1 0 0 0 255
Keynes-Metzler-Goodwin Model Building: The Closed Economy 0 0 2 227 0 0 5 720
Keynesian AD-AS, Quo Vadis? 0 0 1 152 1 1 5 544
Keynesian Disequilibrium Dynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations 0 0 0 117 0 0 2 391
Keynesian Dynamics and the Wage Price Spiral. A Baseline Disequilibrium Approach 0 0 1 110 0 0 2 504
Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model 0 0 0 143 0 0 1 591
Keynesian Dynamics and the Wage-Price Spiral:Estimating a Baseline Disequilibrium Approach 0 0 0 110 1 2 2 602
Keynesian Dynamics and the Wage-Price Spiral:Estimating and Analyzing a Baseline Disequilibrium Approach 0 0 0 95 0 0 1 346
Keynesian Macrodynamics and the Phillips Curve. An Estimated Baseline Macromodel for the U.S. Economy 0 0 0 241 0 0 0 757
Keynesian Monetary Growth Dynamics: The Missing Prototype 0 0 0 33 0 0 4 131
Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates 0 0 0 84 0 0 2 306
Learning and Evolution of Trading Strategies in Limit Order Markets 0 0 1 94 0 1 4 232
Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics 0 0 0 177 0 0 1 620
Limit Distribution of Evolving Strategies in Financial Markets 0 0 0 39 0 1 1 114
Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility 0 0 0 42 0 0 1 154
McKean's Methods Applied to American Call Options on Jump-Diffusion Processes 0 1 1 291 0 2 4 805
McKean’s Method applied to American Call Options on Jump-Diffusion Processes 0 0 0 0 0 1 1 302
Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices 0 0 0 120 0 0 1 477
Modeling the Currency Forward Risk Premium: Theory and Evidence 0 0 0 425 0 0 0 1,670
Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios 0 0 0 38 0 0 1 107
Modelling and Estimating the Forward Price Curve in the Energy Market 2 2 9 251 2 2 11 602
Modelling the "Animal Spirits" of Bank's Lending Behaviour 0 0 1 159 1 1 4 383
Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model 0 0 0 109 0 1 2 321
Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model 0 0 1 117 0 0 1 338
Modelling the Value of the S&P 500 - A System Dynamics Perspective 0 1 1 502 0 4 7 989
Monetary Policy and Debt Deflation: Some Computational Experiments 0 0 0 109 0 1 1 167
Monetary Policy and Debt Deflation: Some Computational Experiments 0 0 0 103 1 1 3 138
Monetary and Fiscal Policy Under Nonlinear Exchange Rate Dynamics 0 0 0 46 0 0 0 220
Nonlinear Phillips Curves, Complex Dynamics and Monetary Policy in a Keynesian Macro Model 0 0 1 105 0 1 4 291
Nonlinear Phillips Curves, the Emergence of Complex Dynamics and the Role of Monetary Policy Rules 0 0 0 0 0 1 2 146
Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility 0 0 0 0 0 0 0 651
Numerical Methods for American Spread Options under Jump Diffusion Processes 0 0 0 0 0 0 1 670
On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models 0 0 0 65 1 1 1 227
On Filtering in Markovian Term Structure Models (An Approximation Approach) 0 0 0 65 0 1 2 245
On Market Games with Misspecified Demand Functions: Long Run Outcomes and Global Dynamics 0 0 0 9 0 0 0 144
Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications 0 0 1 90 0 1 5 228
Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions 0 0 0 291 0 1 1 599
Output and Interest Rates. Jump Variable and Phase Diagram Switching Methodologies 0 0 0 0 1 2 5 1,405
Output and the Term Structure of Interest Rates: Ways Out of th Jump-Variable Conundrum 0 0 0 99 0 0 0 341
Output, Financial Markets and Growth 0 0 0 76 0 0 0 206
PRICE DYNAMICS AND DIVERSIFICATION UNDER HETEROGENEOUS EXPECTATIONS 0 0 0 0 0 0 2 127
Particle Filters for Markov Switching Stochastic Volatility Models 0 0 2 122 0 1 4 266
Price Flexibility and Debt Dynamics in a High Order AS-AD Model 0 0 0 70 0 0 0 360
Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines 0 0 0 249 1 1 1 835
Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions 0 0 0 258 1 1 1 567
Pricing American Options on Jump-Diffusion Processes using Fourier-Hermite Series Expansions 0 0 0 2 0 0 1 538
Pricing American Options under Regime Switching Using Method of Lines 0 0 1 39 1 1 3 100
Pricing American Options under Stochastic Volatility 0 0 0 3 0 1 6 439
Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics 0 0 0 0 0 0 4 380
Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time 0 0 1 171 0 0 3 443
Real-Financial Interaction: A Reconsideration of the Blanchard Model with a State-of-Market Dependent Reaction Coefficient 0 0 1 100 0 0 1 372
Real-Financial Interaction: Implications of Budget Equations and Capital Accumulation 0 0 0 91 0 0 1 537
Real-Financial Interaction: Integrating Supply Side Wage-Price Dynamics and the Stock Market 0 0 0 47 0 1 1 200
Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics 0 1 4 110 0 1 4 271
Small Traders in Currency Futures Markets 0 1 2 62 0 1 3 189
Solving the Price-Earnings Puzzle 0 0 0 124 1 1 5 406
Speculative Behaviour and Complex Asset Price Dynamics 0 0 0 1 0 2 3 251
Stability Analysis of a High-Dimensional Macrodynamic Model of Real-Financial Interaction: A Cascade of Matrices Approach 0 1 2 110 2 3 6 373
Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning 0 0 0 47 1 1 1 162
Stabilizing an unstable economy: on the choice of proper policy measures 0 0 0 92 0 2 3 289
State Variables and the Affine Nature of Markovian HJM Term Structure Models 0 0 0 213 0 0 0 594
Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment 0 0 0 144 0 0 1 441
Stochastic Correlation and Risk Premia in Term Structure Models 0 0 0 76 0 0 0 198
Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability 0 0 0 43 0 0 5 113
Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming 0 0 0 1 0 0 0 456
THE EVALUATION OF MULTIASSET EUROPEAN AND AMERICAN OPTIONS VIA FOURIER HERMITE SERIES EXPANSIONS 0 0 0 0 1 1 3 806
THE VALUATION OF AMERICAN EXCHANGE OPTIONS UNDER 0 0 0 3 0 0 0 522
The Birth of Limit Cycles in Cournot Oligopoly Models with Time Delays 0 0 0 35 0 1 2 171
The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags 0 0 0 4 0 0 1 130
The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology 0 0 1 389 1 3 8 907
The Dynamics of Speculative Behaviour 0 2 4 316 1 5 13 703
The Dynamics of the Cobweb when Producers are Risk Averse Learners 0 0 0 30 0 0 0 131
The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques 0 0 1 180 0 0 1 461
The Evaluation Of Barrier Option Prices Under Stochastic Volatility 0 0 0 161 0 0 0 356
The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach 0 0 1 119 0 1 3 384
The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines 0 0 0 213 1 1 1 579
The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching 0 0 0 64 0 0 1 166
The Financial Instability Hypothesis: A Stochastic Microfoundation Framework 0 0 0 172 1 1 1 329
The History of the Quantitative Methods in Finance Conference Series. 1992-2007 0 0 0 152 0 0 0 361
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 0 21 0 0 1 85
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 0 38 0 0 4 166
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 0 158 0 0 7 433
The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method 0 0 0 90 0 0 0 366
The Interaction of the Financing and Investment Decisions: Preliminary Results in the Australian Context 0 0 0 85 0 1 1 452
The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison 0 0 0 176 0 1 1 513
The Macrodynamics of Debt Deflation 0 0 1 427 1 1 2 1,047
The Multifactor Nature of the Volatility of the Eurodollar Futures Market 0 0 0 284 0 0 4 926
The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions 0 0 0 0 0 0 0 336
The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option 0 0 0 181 0 0 1 585
The Return-Volatility Relation in Commodity Futures Markets 0 0 0 200 1 2 4 298
The Stochastic Dynamics of Speculative Prices 0 0 0 99 0 0 0 312
The Structure of Keynesian Macrodynamics: A Framework for Future Research 0 0 0 130 0 1 1 235
The Valuation of Multiple Asset American Options under Jump Diffusion Processes 0 0 0 4 0 0 0 402
The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach 0 0 0 285 0 0 1 826
The Volatility Structure of the Fixed Income Markets under the HJM Framework 0 0 0 0 0 0 0 166
The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach 0 0 0 197 0 0 0 981
Time-Varying Beta: A Boundedly Rational Equilibrium Approach 0 0 0 101 0 0 1 268
Towards Applied Disequilibrium Growth Theory: I The Starting Model 0 0 1 46 0 0 1 127
Towards Applied Disequilibrium Growth Theory: II Intensive Form and Steady State Analysis of the Model 0 0 0 43 0 1 1 231
Towards Applied Disequilibrium Growth Theory: III Basic Partial Feedback Structures and Stability Issues 0 0 0 10 0 0 0 176
Towards Applied Disequilibrium Growth Theory: IV Numerical Investigations of the Core 18D Model 0 0 0 49 0 1 1 370
Towards Applied Disequilibrium Growth Theory: V Housing Investment Cycles, Private Debt Accumulation and Deflation 0 0 0 88 0 0 1 337
Towards Applied Disequilibrium Growth Theory: VI Substitution, Money-Holdings, Wealth-Effects and Further Extensions 0 0 0 50 0 0 0 343
Towards Applied Disequilibrium Growth Theory: VII Intensive Form and Steady State Calculation in the Case of Substitution 0 0 2 40 1 1 3 204
Transformation of Heath-Jarrow-Morton Models to Markovian Systems 0 0 0 217 0 0 1 581
Two Stochastic Volatility Processes - American Option Pricing 0 0 0 62 0 0 1 175
Type I Spurious Regression in Econometrics 0 0 0 163 0 2 3 591
Visual Modeling of Endogenous Fluctuations in Economic Dynamic Systems 0 0 0 72 0 0 1 189
Total Working Papers 6 16 70 28,035 37 119 388 98,329
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework 0 0 0 142 0 0 1 415
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps 0 0 1 33 0 0 1 206
A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET 0 0 0 27 0 2 3 106
A GAME THEORETICAL MODEL OF INTERNATIONAL FISHING WITH TIME DELAY 0 0 0 0 0 1 1 10
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 0 0 1 14
A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence 0 0 0 32 0 0 2 111
A behavioral asset pricing model with a time-varying second moment 0 0 0 1 0 0 0 6
A behavioural model of investor sentiment in limit order markets 0 0 0 12 0 1 2 49
A dynamic analysis of moving average rules 0 0 2 216 0 2 7 669
A re-evaluation of adaptive expectations in light of global nonlinear dynamic analysis 0 0 0 22 0 0 2 104
A simulation analysis of the microstructure of double auction markets 3 5 22 283 5 9 40 541
A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models 0 0 0 47 1 1 2 196
APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES 0 0 0 1 0 1 4 23
Adaptively evolving expectations in models of monetarydynamics‐ The fundamentalists forward looking 0 0 0 1 0 0 0 14
American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach 0 0 0 57 0 0 1 174
An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models 0 0 0 41 0 0 0 190
An analysis of the cobweb model with boundedly rational heterogeneous producers 0 0 0 46 0 1 3 241
An analysis of the effect of noise in a heterogeneous agent financial market model 0 0 0 51 0 0 1 178
An evolutionary CAPM under heterogeneous beliefs 1 1 4 31 1 3 7 164
Asset Price Dynamics among Heterogeneous Interacting Agents 0 0 0 109 0 0 1 254
Asset price and wealth dynamics in a financial market with heterogeneous agents 0 0 0 86 0 1 5 263
Asset price and wealth dynamics under heterogeneous expectations 0 0 0 22 0 0 2 95
Asset price dynamics in a financial market with fundamentalists and chartists 0 0 3 4 0 0 4 12
Book Reviews 0 0 0 0 0 0 0 2
Book Reviews 0 0 0 1 0 0 0 8
Book reviews 0 0 0 7 0 0 0 60
CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS 0 0 0 2 0 0 0 21
Chasing trends at the micro-level: The effect of technical trading on order book dynamics 0 0 3 15 0 2 7 65
Competitive capitalism and cooperative labor management in a dynamic nutshell 0 0 0 40 0 1 1 287
Correction: Exchange Option under Jump-diffusion Dynamics 0 0 0 5 0 0 2 40
DYNAMICS OF NATURAL RATES OF GROWTH AND EMPLOYMENT 0 0 1 20 0 0 1 56
Do heterogeneous beliefs diversify market risk? 0 0 0 24 0 0 0 118
Does the market maker stabilize the market? 0 0 0 29 0 0 2 155
Dynamic monopoly with bounded continuously distributed delay 0 0 0 1 0 0 1 4
Dynamic oligopolies without full information and with continuously distributed time lags 0 0 0 19 0 0 2 73
Dynamics of beliefs and learning under aL-processes -- the heterogeneous case 0 0 1 47 0 1 2 229
Economic dynamics: Wei-Bin Zhang, (Lecture Notes in Economics and Mathematical Systems, Springer Verlag, 1990) vol. 350, pp. x+232, DM 45 (paper) 0 0 1 177 0 0 1 562
Editorials 0 0 0 0 0 0 3 37
Estimating behavioural heterogeneity under regime switching 0 0 0 23 0 0 5 116
Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions 0 0 0 136 1 2 4 389
Evaluation of American strangles 0 0 0 61 0 1 1 230
Excessive exchange rate variability: A possible explanation using nonlinear economic dynamics 0 0 0 28 0 0 0 108
Exchange Options Under Jump-Diffusion Dynamics 0 0 0 23 0 0 0 109
Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives 0 0 0 57 0 0 1 302
Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market 0 0 2 30 0 1 4 113
Financial instability and debt deflation dynamics in a bottom-up approach 0 0 0 86 1 1 3 254
Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields 0 0 0 98 0 0 1 351
Foreword to the Special Issue of Computational Economics on Complex Dynamics in Economics and Finance 0 0 0 11 0 2 2 43
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model 0 0 0 320 1 1 3 1,193
HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER 0 0 0 46 0 0 3 189
Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model 0 0 0 146 0 0 1 501
Heterogeneous expectations and exchange rate dynamics 0 0 0 24 0 2 3 99
Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework 0 0 2 73 0 2 5 224
Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500 0 0 1 26 0 2 10 104
High order disequilibrium growth dynamics: Theoretical aspects and numerical features 0 0 0 26 0 1 2 98
Humps in the volatility structure of the crude oil futures market: New evidence 0 0 0 11 0 2 4 90
INTERACTING BUSINESS CYCLE FLUCTUATIONS: A TWO-COUNTRY MODEL 0 0 0 2 1 1 1 17
Inference on forward exchange rate risk premium: reviewing signal extraction methods 0 0 0 27 0 0 1 137
Inferring the Forward Looking Equity Risk Premium from Derivative Prices 0 0 1 224 0 0 1 760
Innovation and the transfer of technology: A leader-follower model 0 0 0 83 0 1 2 293
Interest rate futures: estimation of volatility parameters in an arbitrage-free framework 0 0 0 144 0 0 1 656
Intertemporal asset allocation when the underlying factors are unobservable 0 0 0 26 0 0 8 167
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 1 1 3 0 1 1 24
Keynesian Macrodynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations 1 1 1 21 3 3 3 166
Keynesian dynamics and the wage-price spiral: A baseline disequilibrium model 0 0 0 50 1 1 4 219
Keynesian monetary growth dynamicsin open economies 0 0 0 0 0 0 1 11
Learning, information processing and order submission in limit order markets 0 0 1 22 0 0 4 122
MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES 0 0 0 25 0 0 2 101
MONETARY POLICY AND DEBT DEFLATION: SOME COMPUTATIONAL EXPERIMENTS 1 1 1 27 2 2 3 71
Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies 0 0 0 36 0 0 0 145
Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model 0 0 4 45 1 2 10 157
Moving average rules as a source of market instability 0 0 0 10 0 0 2 72
On the Economics of International Fisheries 0 0 1 37 0 1 3 111
Option Valuation: Some Empirical Results 0 0 0 1 0 0 0 16
Perfect foresight models and the dynamic instability problem from a higher viewpoint 0 0 0 15 0 3 5 80
Preface 0 0 0 3 0 0 0 17
Pricing American options written on two underlying assets 1 1 2 12 1 1 3 46
Pricing range notes within Wishart affine models 0 0 0 8 0 0 3 54
Real and monetary cycles in models of Keynes-Wicksell type 0 0 0 35 0 0 0 133
STOCK‐FLOW INTERACTIONS, DISEQUILIBRIUM MACROECONOMICS AND THE ROLE OF ECONOMIC POLICY 0 0 0 0 0 0 4 179
Small traders in currency futures markets 0 1 2 5 0 1 4 31
Some Numerical Explorations of the Keynes-Metzler-Goodwin Monetary Growth Model 0 0 0 0 0 0 0 167
Speculative behaviour and complex asset price dynamics: a global analysis 0 0 0 116 0 1 1 315
Stabilizing an unstable economy: On the choice of proper policy measures 0 0 0 50 0 0 3 217
Stochastic correlation and risk premia in term structure models 0 0 0 5 0 0 0 57
Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data 0 0 0 353 0 0 3 1,299
Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability 0 0 0 40 0 0 4 163
Structural contagion and vulnerability to unexpected liquidity shortfalls 0 0 0 18 0 1 1 92
THE DYNAMICS OF KEYNESIAN MONETARY GROWTH 0 1 1 40 0 1 3 120
THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES 0 0 1 3 0 0 2 25
THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING 0 0 0 3 0 0 2 25
THE LONG RUN OUTCOMES AND GLOBAL DYNAMICS OF A DUOPOLY GAME WITH MISSPECIFIED DEMAND FUNCTIONS 0 0 0 3 0 0 1 18
The Dynamic Interaction of Speculation and Diversification 0 0 0 59 1 1 2 250
The Fiscal Cost of Financial Instability 0 0 0 41 0 0 1 137
The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method 0 0 0 26 0 0 0 147
The Multifactor Nature of the Volatility of Futures Markets 0 0 0 28 0 0 1 132
The Return–Volatility Relation in Commodity Futures Markets 0 2 3 9 0 2 9 84
The bifurcation of probability distributions in a non-linear rational expectations model of monetary economy 0 0 0 19 0 2 4 85
The birth of limit cycles in Cournot oligopoly models with time delays 0 0 0 0 0 0 1 42
The cobweb model: Its instability and the onset of chaos 0 0 0 190 1 1 3 520
The dynamic behaviour of asset prices in disequilibrium: a survey 0 0 0 45 0 2 3 153
The dynamic behaviour of workers' enterprises 0 0 0 4 0 1 1 26
The feedback channels in macroeconomics: analytical foundations for structural econometric model building 0 0 0 18 0 0 0 71
The financial instability hypothesis: A stochastic microfoundation framework 1 1 1 139 1 1 4 413
The impact of heterogeneous trading rules on the limit order book and order flows 1 1 4 23 1 3 12 98
The jump component of the volatility structure of interest rate futures markets: An international comparison 0 0 0 0 0 1 1 24
The limit distribution of evolving strategies in financial markets 0 0 0 13 1 1 2 59
The reduction of forward rate dependent volatility HJM models to Markovian form: pricing European bond options 0 0 0 0 1 1 4 4
The representation of American options prices under stochastic volatility and jump-diffusion dynamics 0 0 0 11 0 0 0 49
The stochastic bifurcation behaviour of speculative financial markets 0 0 0 9 0 0 3 50
The value of the S&P 500--A macro view of the stock market adjustment process 0 1 1 90 0 2 4 240
The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach 0 0 0 43 0 0 1 179
Time-varying beta: a boundedly rational equilibrium approach 0 0 0 14 0 0 1 129
Transformation of Heath?Jarrow?Morton models to Markovian systems 0 0 2 118 0 0 5 411
Volatility swaps and volatility options on discretely sampled realized variance 0 1 1 28 0 3 4 100
“Animal spirits” and bank’s lending behaviour, a disequilibrium approach 1 1 1 6 2 3 6 53
Total Journal Articles 10 19 72 5,301 27 87 322 20,004
2 registered items for which data could not be found

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Derivative Security Pricing 0 0 1 1 1 2 8 50
Financial Assets, Debt and Liquidity Crises 0 0 0 0 0 0 3 89
Financial Assets, Debt and Liquidity Crises 0 0 0 0 0 0 3 56
Foundations for a Disequilibrium Theory of the Business Cycle 0 0 0 0 0 2 8 160
Foundations for a Disequilibrium Theory of the Business Cycle 0 0 0 0 0 2 3 84
Nonlinear Oligopolies 0 0 0 1 0 0 3 18
Sustainable Asset Accumulation and Dynamic Portfolio Decisions 0 0 0 0 0 0 2 40
The Dynamics of Keynesian Monetary Growth 0 0 0 0 0 0 0 82
The Dynamics of Keynesian Monetary Growth 0 0 0 0 0 0 0 92
The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches 0 1 3 48 0 1 6 175
Total Books 0 1 4 50 1 7 36 846

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A High-Dimensional Model of Real-Financial Market Interaction: The Cascade of Stable Matrices Approach 0 0 0 1 0 0 1 2
A Numerical Approach to Pricing American Call Options under SVJD 0 1 3 7 0 2 5 55
A Stochastic Model of Real-Financial Interaction with Boundedly Rational Heterogeneous Agents 0 0 0 0 0 0 1 1
AD-AS and the Phillips Curve: A Baseline Disequilibrium Model 0 0 0 0 0 0 1 3
Allowing for Stochastic Interest Rates in the Black–Scholes Model 0 0 0 0 0 0 1 17
American Call Options under Jump-Diffusion Processes 0 0 0 5 0 0 0 43
American Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics — The Transform Approach 0 0 0 5 0 0 0 32
An Adaptive Model of Asset Price and Wealth Dynamics in a Market with Heterogeneous Trading Strategies 0 0 0 0 0 0 1 4
An Asset Pricing Model with Adaptive Heterogeneous Agents and Wealth Effects 0 0 0 0 0 1 2 3
An Initial Attempt at Pricing an Option 0 0 0 0 0 0 0 3
Applying the General Pricing Framework 0 0 0 0 0 0 0 1
Asset Accumulation and Portfolio Decisions Under Inflation Risk 0 0 0 0 0 0 2 6
Asset Accumulation and Portfolio Decisions with Time Varying Asset Returns and Labor Income 0 0 0 0 0 0 0 4
Asset Accumulation with Estimated Low Frequency Movements of Asset Returns 0 0 0 0 0 1 3 6
Asset Price Dynamics and Diversification with Heterogeneous Agents 0 0 0 0 0 0 0 4
Change of Numeraire 0 0 0 0 0 0 5 29
Concave Oligopolies 0 0 0 0 0 1 1 2
Concluding Remarks 0 0 0 0 0 0 0 2
Conclusion 0 0 0 0 0 0 1 32
Continuous and Discrete Time Modeling 0 0 0 0 0 0 1 10
Dynamic Saving and Portfolio Decisions-Theory 0 0 0 0 0 0 1 8
Forecasting and Low Frequency Movements of Asset Returns 0 0 0 0 0 4 5 8
Fourier Cosine Expansion Approach 0 0 1 11 0 2 4 50
General Oligopolies 0 0 0 0 0 0 1 1
Interest Rate Derivatives: Multi-Factor Models 0 0 0 0 0 0 2 11
Interest Rate Derivatives: One Factor Spot Rate Models 0 0 0 0 0 2 3 8
Introduction 0 0 1 2 0 0 2 30
Introduction 0 0 0 0 1 1 2 5
Introduction 0 0 0 0 0 1 1 2
Ito’s Lemma and Its Applications 0 0 1 1 0 0 6 69
Jump-Diffusion Processes 0 0 0 0 0 1 1 13
Keynesian Macrodynamics and the Phillips Curve: An Estimated Model for the U.S. Economy 0 0 0 1 0 0 0 2
Learning in a Generalised Dornbusch Model of Exchange Rate Dynamics 0 0 0 0 0 0 0 3
Manipulating Stochastic Differential Equations and Stochastic Integrals 0 0 0 0 0 0 1 4
Modelling Interest Rate Dynamics 0 0 0 0 1 1 1 9
Modified and Extended Oligopolies 0 0 0 0 0 0 1 1
Oligopolies with Misspecified and Uncertain Price Functions, and Learning 0 0 0 0 0 0 0 1
On Filtering in Markovian Term Structure Models 0 0 0 1 0 0 0 21
Option Pricing Under Jump-Diffusion Processes 0 0 0 0 0 1 2 3
Overview and Directions for Future Research 0 0 0 0 0 1 1 2
Partial Differential Equation Approach Under Geometric Jump-Diffusion Process 0 0 0 0 0 0 0 6
Portfolio Modeling with Sustainability Constraints 0 0 0 0 0 0 2 6
Pricing Derivative Securities: A General Approach 0 0 0 0 0 0 4 62
Pricing Options Using Binomial Trees 0 0 0 0 0 0 1 7
Pricing the American Feature 0 0 0 0 0 0 1 5
Representation and Numerical Approximation of American Option Prices under Heston 0 0 1 9 0 0 2 33
Statistical Properties of a Heterogeneous Asset Pricing Model with Time-varying Second Moment 0 0 0 0 0 0 0 1
Stochastic Processes for Asset Price Modelling 0 0 0 0 0 1 1 8
Stochastic Volatility 0 0 0 0 0 0 0 4
The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags 0 0 0 0 0 0 2 3
The Classical Cournot Model 0 0 0 0 0 0 1 8
The Continuous Hedging Argument 0 0 0 0 0 0 0 7
The Evaluation of Discrete Barrier Options in a Path Integral Framework 0 0 0 0 1 1 3 7
The Heath–Jarrow–Morton Framework 0 0 0 0 0 0 3 14
The LIBOR Market Model 0 0 0 0 0 0 1 8
The Martingale Approach 0 0 0 0 0 0 0 7
The Merton and Heston Model for a Call 0 0 1 3 0 1 2 33
The Paradigm Interest Rate Option Problem 0 0 0 0 0 0 2 12
The Partial Differential Equation Approach Under Geometric Brownian Motion 0 0 0 0 0 1 3 9
The Stochastic Differential Equation 0 0 1 2 0 1 4 9
The Stock Option Problem 0 0 0 0 0 0 2 8
The macrodynamics of debt deflation 0 0 0 14 0 1 1 55
Volatility Smiles 0 0 0 0 0 0 1 5
Total Chapters 0 1 9 62 3 25 95 827

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-10-06