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 1 2 20 506
A Behavioural Model of Investor Sentiment in Limit Order Markets 0 0 0 126 0 1 9 314
A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility 0 0 0 187 0 0 9 440
A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework 0 0 0 375 1 1 21 1,004
A Complete Stochastic Volatility Model in the HJM Framework 0 0 0 302 0 0 12 673
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 0 445 0 1 15 1,505
A Dynamic Analysis of Cournot Duopoly in Imperfectly Competitive Product and Factor Markets 0 0 0 55 0 0 2 202
A Dynamic Analysis of Moving Average Rules 0 0 0 498 0 3 26 1,546
A Dynamic Analysis of Moving Average Rules 0 0 2 654 1 1 11 2,068
A Dynamic Analysis of Moving Average Rules 0 0 0 134 0 3 24 538
A Dynamic Analysis of Speculation Across Two Markets 0 0 0 80 0 11 17 253
A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market 0 0 0 102 1 2 15 282
A Dynamic Heterogeneous Beliefs CAPM 0 0 0 133 0 1 16 297
A Dynamical Analysis of Moving Average Rules 0 0 0 9 0 0 13 1,655
A Framework for CAPM with Heterogenous Beliefs 0 0 0 219 0 0 9 510
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 1 1 13 494
A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models 0 0 1 279 1 1 17 826
A Model of Monetary Growth for a Small Open Economy 0 0 0 54 1 2 5 120
A Modern View on Merton's Jump-Diffusion Model 0 0 5 197 4 4 27 512
A Non-Stationary Asset Pricing Model under Heterogeneous Expectations 0 0 0 0 0 0 6 219
A Preference Free Partial Differential Equation for the Term Structure of Interest Rates 0 0 0 153 1 1 7 643
A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models 0 0 0 0 0 0 5 349
A Survey of Models for the Pricing of Interest Rate Derivatives 0 0 0 0 1 1 6 187
A Survey of Non-linear Methods for No-arbitrage Bond Pricing 0 0 0 88 0 1 3 136
A Survey of the Integral Representation of American Option Prices 0 0 1 350 2 2 24 743
A simple microstructure model of double auction markets 0 0 0 0 0 1 15 524
Adaptive Rational Expectations in Models of Monetary Dynamics 0 0 0 83 0 0 6 212
Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis 0 0 0 134 2 2 11 368
Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis 0 0 1 136 0 2 14 335
American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach 0 0 0 557 0 12 24 1,355
An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies 0 0 0 234 0 2 10 688
An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies 0 0 0 0 0 0 20 381
An Analysis of American Options Under Heston Stochastic Volatility and Jump-Diffusion Dynamics 0 0 1 162 1 3 18 377
An Evolutionary CAPM Under Heterogeneous Beliefs 0 0 0 94 1 8 24 244
An Implementation of the Shirakawa Jump-Diffusion Term Structure Model 0 0 0 1 0 0 6 239
Applying Disequilibrium Growth Theory: Debt Effects and Debt Deflation 0 0 0 303 0 0 12 1,110
Approximate Hedging of Options under Jump-Diffusion Processes 0 0 0 21 1 1 13 98
Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems 0 0 0 79 0 0 4 244
Asset Price Dynamics among Heterogeneous Interacting Agents 0 0 0 0 1 1 13 326
Asset Price and Wealth Dynamics Under Heterogeneous Expectations 0 0 0 220 0 1 14 515
Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents 0 0 0 178 0 0 15 473
Asset Price and Wealth Dynamics under Heterogeneous Expectations 0 0 0 74 1 2 12 800
Asset price and wealth dynamics in a financial market with heterogeneous agents 0 0 0 0 1 1 10 303
Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model 0 0 0 53 0 0 11 235
Business Confidence and Macroeconomic Dynamics in a Nonlinear Two-Country Framework with Aggregate Opinion Dynamics 0 0 0 43 0 0 7 179
Classes of Interest Rate Models Under the HJM Framework 0 0 1 410 1 2 14 1,220
Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data 0 0 1 3,682 1 4 28 10,659
Continuous Time Model Estimation 0 0 0 447 0 0 13 1,279
Credit Derivative Pricing with Stochastic Volatility Models 0 0 0 64 1 3 23 237
Determinants of Corporate Capital Structure: Australian Evidence 0 0 0 410 2 2 17 1,332
Developments in Nonlinear Economic Dynamics: Past, Present and Future 0 0 0 87 1 1 8 207
Disequilibrium Growth Theory: Foundations, Synthesis, Perspectives 0 0 1 77 0 1 6 250
Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case 0 0 1 46 0 0 16 245
Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case 0 0 0 46 2 2 10 303
Estimating Behavioural Heterogeneity Under Regime Switching 0 0 0 90 1 1 6 293
Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach 0 0 0 87 1 1 14 323
Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets 0 0 2 377 0 1 13 1,009
Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm 0 0 0 89 0 0 14 357
Estimation of the Volatility Structure of the Fixed Income Market 0 0 0 4 0 0 7 162
Evaluation of American Strangles 0 0 0 107 0 1 7 308
Evaluation of American Strangles 0 0 0 149 0 0 9 1,303
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 14 385
Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions 0 0 0 7 2 2 8 367
Exchange Options Under Jump-Diffusion Dynamics 0 0 0 116 0 0 14 294
Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers 0 0 0 111 1 3 14 807
Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers 0 0 0 0 0 1 13 297
Filtering Equity Risk Premia From Derivative Prices 0 2 3 157 0 2 6 468
Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model 0 0 0 89 0 0 11 332
Hedge Portfolios in Markets with Price Discontinuities 0 0 0 75 2 2 23 265
Heterogeneity, Market Mechanisms, and Asset Price Dynamics 0 0 1 293 1 7 22 660
Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker 0 0 0 182 0 1 15 503
Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model 0 0 0 419 1 2 13 1,264
Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model 0 0 0 69 0 1 12 290
Heterogeneous Expectations and Exchange Rate Dynamics 0 0 2 98 1 3 22 204
Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework 0 0 0 114 0 0 11 354
Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500 0 0 0 85 0 0 76 315
Humps in the Volatility Structure of the Crude Oil Futures Market 0 0 1 65 0 2 19 250
Infering Forward Looking Financial Market Risk Premia from Derivatives Prices 0 0 0 70 0 0 5 526
Interacting Two-Country Business Fluctuations 0 0 0 61 0 0 8 332
Interacting Two-Country Business Fluctuations 0 0 0 35 0 0 13 180
Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework 0 0 0 147 0 1 15 568
Intertemporal Asset Allocation with Inflation-Indexed Bonds 0 0 0 0 0 0 14 225
Intertemporal Investment Strategies Under Inflation Risk 0 0 2 226 3 3 18 922
Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models 0 0 0 116 0 0 19 400
Investigating Nonlinear Speculation in Cattle, Corn, and Hog Futures Markets using Logistic Smooth Transition Regression Models 0 0 0 0 0 0 16 21
Investigating Time-Efficient Methods to Price Compound Options in the Heston Model 0 0 0 20 2 2 8 99
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 0 0 0 12 17
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 2 0 0 11 24
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 14 0 1 16 117
Investigation nonlinear speculation in cattle, corn, and hog futures markets using logistics smooth transition regression models 0 0 0 0 0 0 3 7
Issues in Evaluating Multifactor Options in a PDE Framework 0 0 0 1 0 0 10 265
Keynes-Metzler-Goodwin Model Building: The Closed Economy 0 0 1 228 0 0 13 733
Keynesian AD-AS, Quo Vadis? 0 0 0 152 1 2 13 557
Keynesian Disequilibrium Dynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations 0 0 0 117 0 0 12 403
Keynesian Dynamics and the Wage Price Spiral. A Baseline Disequilibrium Approach 0 0 0 110 0 1 15 519
Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model 0 0 0 143 0 0 8 599
Keynesian Dynamics and the Wage-Price Spiral:Estimating a Baseline Disequilibrium Approach 0 0 1 111 0 0 19 621
Keynesian Dynamics and the Wage-Price Spiral:Estimating and Analyzing a Baseline Disequilibrium Approach 0 0 0 95 0 0 16 362
Keynesian Macrodynamics and the Phillips Curve. An Estimated Baseline Macromodel for the U.S. Economy 0 0 0 241 1 2 33 790
Keynesian Monetary Growth Dynamics: The Missing Prototype 0 0 0 33 0 0 9 140
Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates 0 0 0 84 2 3 12 318
Learning and Evolution of Trading Strategies in Limit Order Markets 0 0 0 94 0 0 13 245
Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics 1 1 1 178 2 2 13 633
Limit Distribution of Evolving Strategies in Financial Markets 0 0 0 39 0 1 12 126
Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility 0 0 0 42 0 0 7 161
McKean's Methods Applied to American Call Options on Jump-Diffusion Processes 0 0 0 291 1 2 6 811
McKean’s Method applied to American Call Options on Jump-Diffusion Processes 0 0 0 0 0 2 14 316
Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices 0 0 0 120 0 1 12 489
Modeling the Currency Forward Risk Premium: Theory and Evidence 0 0 1 426 1 2 16 1,686
Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios 0 0 0 38 0 1 6 113
Modelling and Estimating the Forward Price Curve in the Energy Market 1 1 2 253 2 2 12 614
Modelling the "Animal Spirits" of Bank's Lending Behaviour 0 0 1 160 0 1 17 400
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 8 329
Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model 0 0 0 117 1 2 17 355
Modelling the Value of the S&P 500 - A System Dynamics Perspective 1 1 1 503 2 2 11 1,000
Monetary Policy and Debt Deflation: Some Computational Experiments 0 0 0 103 0 1 18 156
Monetary Policy and Debt Deflation: Some Computational Experiments 0 0 0 109 0 2 10 177
Monetary and Fiscal Policy Under Nonlinear Exchange Rate Dynamics 0 0 0 46 0 1 12 232
Nonlinear Phillips Curves, Complex Dynamics and Monetary Policy in a Keynesian Macro Model 0 0 0 105 2 2 14 305
Nonlinear Phillips Curves, the Emergence of Complex Dynamics and the Role of Monetary Policy Rules 0 0 0 0 0 0 5 151
Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility 0 0 0 0 1 1 2 653
Numerical Methods for American Spread Options under Jump Diffusion Processes 0 0 0 0 0 0 9 679
On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models 0 1 2 67 0 1 13 240
On Filtering in Markovian Term Structure Models (An Approximation Approach) 0 0 0 65 0 1 9 254
On Market Games with Misspecified Demand Functions: Long Run Outcomes and Global Dynamics 0 0 0 9 0 0 4 148
Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications 0 0 1 91 0 0 9 237
Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions 0 0 0 291 0 1 17 616
Output and Interest Rates. Jump Variable and Phase Diagram Switching Methodologies 0 0 0 0 0 1 13 1,418
Output and the Term Structure of Interest Rates: Ways Out of th Jump-Variable Conundrum 0 0 0 99 1 1 12 353
Output, Financial Markets and Growth 0 0 0 76 1 3 9 215
PRICE DYNAMICS AND DIVERSIFICATION UNDER HETEROGENEOUS EXPECTATIONS 0 0 0 0 1 3 6 133
Particle Filters for Markov Switching Stochastic Volatility Models 0 0 0 122 0 1 25 291
Price Flexibility and Debt Dynamics in a High Order AS-AD Model 0 0 0 70 0 2 8 368
Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines 0 0 0 249 2 2 8 843
Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions 0 0 0 258 1 2 7 574
Pricing American Options on Jump-Diffusion Processes using Fourier-Hermite Series Expansions 0 0 0 2 0 2 7 545
Pricing American Options under Regime Switching Using Method of Lines 0 0 0 39 1 2 15 115
Pricing American Options under Stochastic Volatility 0 0 0 3 0 0 13 452
Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics 0 0 0 0 0 0 7 387
Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time 1 1 2 173 2 2 22 465
Real-Financial Interaction: A Reconsideration of the Blanchard Model with a State-of-Market Dependent Reaction Coefficient 0 0 1 101 0 1 10 382
Real-Financial Interaction: Implications of Budget Equations and Capital Accumulation 0 0 0 91 1 2 11 548
Real-Financial Interaction: Integrating Supply Side Wage-Price Dynamics and the Stock Market 0 0 0 47 0 1 4 204
Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics 0 0 4 114 1 1 15 286
Small Traders in Currency Futures Markets 0 0 0 62 0 0 7 196
Solving the Price-Earnings Puzzle 0 0 0 124 0 0 14 420
Speculative Behaviour and Complex Asset Price Dynamics 0 0 0 1 0 1 17 268
Stability Analysis of a High-Dimensional Macrodynamic Model of Real-Financial Interaction: A Cascade of Matrices Approach 0 0 1 111 1 2 18 391
Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning 0 0 0 47 1 1 10 172
Stabilizing an unstable economy: on the choice of proper policy measures 0 0 0 92 0 0 13 302
State Variables and the Affine Nature of Markovian HJM Term Structure Models 0 0 0 213 0 0 8 602
Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment 0 0 0 144 0 0 12 453
Stochastic Correlation and Risk Premia in Term Structure Models 0 0 0 76 0 0 13 211
Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability 0 0 0 43 0 0 10 123
Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming 0 0 0 1 2 3 21 477
THE EVALUATION OF MULTIASSET EUROPEAN AND AMERICAN OPTIONS VIA FOURIER HERMITE SERIES EXPANSIONS 0 0 0 0 1 1 6 812
THE VALUATION OF AMERICAN EXCHANGE OPTIONS UNDER 0 0 0 3 1 1 10 532
The Birth of Limit Cycles in Cournot Oligopoly Models with Time Delays 0 0 0 35 0 1 11 182
The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags 0 0 0 4 0 0 4 134
The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology 0 0 1 390 1 5 19 926
The Dynamics of Speculative Behaviour 2 2 7 323 5 6 28 731
The Dynamics of the Cobweb when Producers are Risk Averse Learners 0 0 0 30 0 1 13 144
The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques 0 0 0 180 1 2 10 471
The Evaluation Of Barrier Option Prices Under Stochastic Volatility 0 0 0 161 1 1 13 369
The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach 0 0 0 119 0 0 12 396
The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines 0 0 0 213 0 0 13 592
The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching 0 0 0 64 0 10 18 184
The Financial Instability Hypothesis: A Stochastic Microfoundation Framework 0 0 0 172 1 2 20 349
The History of the Quantitative Methods in Finance Conference Series. 1992-2007 0 0 0 152 0 0 3 364
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 0 158 0 1 41 474
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 0 38 0 1 16 182
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 0 21 0 3 21 106
The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method 0 0 0 90 1 9 15 381
The Interaction of the Financing and Investment Decisions: Preliminary Results in the Australian Context 0 0 0 85 1 1 6 458
The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison 0 0 0 176 0 0 10 523
The Macrodynamics of Debt Deflation 0 0 0 427 1 1 10 1,057
The Multifactor Nature of the Volatility of the Eurodollar Futures Market 0 0 0 284 1 1 12 938
The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions 0 0 0 0 1 1 9 345
The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option 0 0 0 181 0 0 13 598
The Return-Volatility Relation in Commodity Futures Markets 0 0 1 201 0 7 21 319
The Stochastic Dynamics of Speculative Prices 0 0 0 99 0 8 14 326
The Structure of Keynesian Macrodynamics: A Framework for Future Research 0 0 0 130 1 2 10 245
The Valuation of Multiple Asset American Options under Jump Diffusion Processes 0 0 0 4 0 0 9 411
The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach 0 0 0 285 1 1 12 838
The Volatility Structure of the Fixed Income Markets under the HJM Framework 0 0 0 0 1 2 15 181
The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach 0 0 0 197 1 1 8 989
Time-Varying Beta: A Boundedly Rational Equilibrium Approach 0 0 0 101 0 1 17 285
Towards Applied Disequilibrium Growth Theory: I The Starting Model 0 0 0 46 0 0 6 133
Towards Applied Disequilibrium Growth Theory: II Intensive Form and Steady State Analysis of the Model 0 0 0 43 0 0 9 240
Towards Applied Disequilibrium Growth Theory: III Basic Partial Feedback Structures and Stability Issues 0 0 0 10 0 1 6 182
Towards Applied Disequilibrium Growth Theory: IV Numerical Investigations of the Core 18D Model 0 0 0 49 0 0 13 383
Towards Applied Disequilibrium Growth Theory: V Housing Investment Cycles, Private Debt Accumulation and Deflation 1 1 1 89 1 2 7 344
Towards Applied Disequilibrium Growth Theory: VI Substitution, Money-Holdings, Wealth-Effects and Further Extensions 0 0 0 50 0 1 10 353
Towards Applied Disequilibrium Growth Theory: VII Intensive Form and Steady State Calculation in the Case of Substitution 0 0 0 40 1 1 10 214
Transformation of Heath-Jarrow-Morton Models to Markovian Systems 0 0 1 218 0 0 22 603
Two Stochastic Volatility Processes - American Option Pricing 0 0 0 62 0 2 11 186
Type I Spurious Regression in Econometrics 0 0 0 163 2 2 10 601
Visual Modeling of Endogenous Fluctuations in Economic Dynamic Systems 0 1 1 73 0 2 6 195
Total Working Papers 7 11 57 28,092 101 278 2,577 100,911

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 1 13 428
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps 0 0 0 33 0 1 7 213
A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET 0 0 0 27 1 1 14 120
A GAME THEORETICAL MODEL OF INTERNATIONAL FISHING WITH TIME DELAY 0 0 0 0 0 0 3 13
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 0 0 6 20
A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence 0 0 0 32 0 1 14 125
A behavioral asset pricing model with a time-varying second moment 0 0 0 1 0 1 12 18
A behavioural model of investor sentiment in limit order markets 0 0 0 12 0 1 10 59
A dynamic analysis of moving average rules 0 0 0 216 0 2 15 684
A re-evaluation of adaptive expectations in light of global nonlinear dynamic analysis 0 0 0 22 0 1 8 112
A simulation analysis of the microstructure of double auction markets 1 4 18 301 2 8 53 594
A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models 0 0 0 47 0 0 10 206
APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES 0 0 0 1 0 0 13 36
Adaptively evolving expectations in models of monetarydynamics‐ The fundamentalists forward looking 0 0 0 1 0 1 5 19
American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach 0 0 0 57 0 1 8 182
An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models 0 0 0 41 0 0 6 196
An analysis of the cobweb model with boundedly rational heterogeneous producers 0 0 1 47 0 0 12 253
An analysis of the effect of noise in a heterogeneous agent financial market model 0 0 0 51 1 1 12 190
An evolutionary CAPM under heterogeneous beliefs 0 0 1 32 0 1 14 178
Asset Price Dynamics among Heterogeneous Interacting Agents 0 0 0 109 1 1 16 270
Asset price and wealth dynamics in a financial market with heterogeneous agents 0 0 1 87 0 0 14 277
Asset price and wealth dynamics under heterogeneous expectations 0 0 0 22 0 2 15 110
Asset price dynamics in a financial market with fundamentalists and chartists 0 0 0 4 0 5 8 20
Book Reviews 0 0 0 0 0 0 2 4
Book Reviews 0 0 0 1 1 1 7 15
Book reviews 0 0 0 7 1 1 11 71
CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS 0 0 0 2 0 1 5 26
Chasing trends at the micro-level: The effect of technical trading on order book dynamics 0 0 1 16 2 2 20 85
Competitive capitalism and cooperative labor management in a dynamic nutshell 0 0 0 40 1 1 11 298
Correction: Exchange Option under Jump-diffusion Dynamics 0 0 0 5 0 2 5 45
DYNAMICS OF NATURAL RATES OF GROWTH AND EMPLOYMENT 0 0 0 20 0 0 8 64
Do heterogeneous beliefs diversify market risk? 0 0 0 24 0 0 11 129
Does the market maker stabilize the market? 0 0 1 30 0 1 12 167
Dynamic monopoly with bounded continuously distributed delay 0 0 0 1 0 0 7 11
Dynamic oligopolies without full information and with continuously distributed time lags 0 0 0 19 0 0 8 81
Dynamics of beliefs and learning under aL-processes -- the heterogeneous case 0 0 1 48 0 0 12 241
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 3 180 0 1 8 570
Editorials 0 0 0 0 0 1 6 43
Estimating behavioural heterogeneity under regime switching 0 0 0 23 0 0 8 124
Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions 0 0 0 136 1 2 9 398
Evaluation of American strangles 0 0 0 61 1 2 8 238
Excessive exchange rate variability: A possible explanation using nonlinear economic dynamics 0 0 0 28 0 0 4 112
Exchange Options Under Jump-Diffusion Dynamics 0 0 1 24 0 2 11 120
Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives 0 0 0 57 0 1 12 314
Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market 0 0 0 30 0 0 6 119
Financial instability and debt deflation dynamics in a bottom-up approach 0 0 0 86 3 4 14 268
Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields 1 1 1 99 1 1 19 370
Foreword to the Special Issue of Computational Economics on Complex Dynamics in Economics and Finance 0 0 0 11 0 0 3 46
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model 0 0 0 320 0 0 11 1,204
HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER 0 0 0 46 0 0 17 206
Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model 0 0 0 146 0 0 15 516
Heterogeneous expectations and exchange rate dynamics 0 0 1 25 0 0 9 108
Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework 0 0 0 73 0 1 16 240
Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500 0 0 1 27 0 2 20 124
High order disequilibrium growth dynamics: Theoretical aspects and numerical features 0 0 0 26 0 2 8 106
Humps in the volatility structure of the crude oil futures market: New evidence 0 0 2 13 1 2 29 119
INTERACTING BUSINESS CYCLE FLUCTUATIONS: A TWO-COUNTRY MODEL 0 0 0 2 1 2 4 21
Inference on forward exchange rate risk premium: reviewing signal extraction methods 0 0 0 27 0 0 6 143
Inferring the Forward Looking Equity Risk Premium from Derivative Prices 0 0 0 224 1 2 6 766
Innovation and the transfer of technology: A leader-follower model 0 0 0 83 0 1 6 299
Interest rate futures: estimation of volatility parameters in an arbitrage-free framework 0 0 1 145 1 2 14 670
Intertemporal asset allocation when the underlying factors are unobservable 0 0 0 26 0 0 8 175
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 3 0 1 14 38
Keynesian Macrodynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations 0 0 0 21 1 3 19 185
Keynesian dynamics and the wage-price spiral: A baseline disequilibrium model 0 0 2 52 0 3 17 236
Keynesian monetary growth dynamicsin open economies 0 0 0 0 1 2 6 17
Learning, information processing and order submission in limit order markets 0 0 0 22 1 2 18 140
MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES 1 1 1 26 1 1 10 111
MONETARY POLICY AND DEBT DEFLATION: SOME COMPUTATIONAL EXPERIMENTS 0 0 0 27 1 1 13 84
Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies 0 0 0 36 0 1 10 155
Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model 0 0 1 46 0 1 9 166
Moving average rules as a source of market instability 0 0 0 10 0 0 7 79
On the Economics of International Fisheries 0 0 0 37 0 0 6 117
Option Valuation: Some Empirical Results 0 0 0 1 0 2 6 22
Perfect foresight models and the dynamic instability problem from a higher viewpoint 0 0 0 15 0 0 7 87
Preface 0 0 0 3 1 1 5 22
Pricing American options written on two underlying assets 0 0 0 12 0 0 7 53
Pricing range notes within Wishart affine models 0 0 0 8 1 4 13 67
Real and monetary cycles in models of Keynes-Wicksell type 0 0 0 35 1 3 8 141
STOCK‐FLOW INTERACTIONS, DISEQUILIBRIUM MACROECONOMICS AND THE ROLE OF ECONOMIC POLICY 0 0 0 0 0 1 9 188
Small traders in currency futures markets 0 0 0 5 0 0 2 33
Some Numerical Explorations of the Keynes-Metzler-Goodwin Monetary Growth Model 0 0 0 0 1 1 8 175
Speculative behaviour and complex asset price dynamics: a global analysis 0 0 0 116 0 0 5 320
Stabilizing an unstable economy: On the choice of proper policy measures 0 0 1 51 0 0 8 225
Stochastic correlation and risk premia in term structure models 0 0 0 5 0 0 12 69
Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data 0 0 0 353 2 2 16 1,315
Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability 0 0 0 40 0 1 11 174
Structural contagion and vulnerability to unexpected liquidity shortfalls 0 0 0 18 1 2 10 102
THE DYNAMICS OF KEYNESIAN MONETARY GROWTH 0 0 0 40 0 1 14 134
THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES 0 0 1 4 0 2 18 43
THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING 0 0 0 3 0 0 6 31
THE LONG RUN OUTCOMES AND GLOBAL DYNAMICS OF A DUOPOLY GAME WITH MISSPECIFIED DEMAND FUNCTIONS 0 0 0 3 1 1 20 38
The Dynamic Interaction of Speculation and Diversification 0 0 2 61 0 2 17 267
The Fiscal Cost of Financial Instability 0 0 2 43 0 0 13 150
The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method 0 0 0 26 0 0 6 153
The Multifactor Nature of the Volatility of Futures Markets 0 0 0 28 0 0 14 146
The Return–Volatility Relation in Commodity Futures Markets 0 0 1 10 0 0 21 105
The bifurcation of probability distributions in a non-linear rational expectations model of monetary economy 0 0 0 19 0 0 9 94
The birth of limit cycles in Cournot oligopoly models with time delays 0 0 0 0 0 1 13 55
The cobweb model: Its instability and the onset of chaos 1 1 3 193 1 1 10 530
The dynamic behaviour of asset prices in disequilibrium: a survey 0 0 1 46 0 2 15 168
The dynamic behaviour of workers' enterprises 0 0 0 4 0 0 2 28
The feedback channels in macroeconomics: analytical foundations for structural econometric model building 0 0 0 18 0 0 4 75
The financial instability hypothesis: A stochastic microfoundation framework 0 0 2 141 1 19 29 442
The impact of heterogeneous trading rules on the limit order book and order flows 0 0 3 26 1 1 15 113
The jump component of the volatility structure of interest rate futures markets: An international comparison 0 0 0 0 0 0 11 35
The limit distribution of evolving strategies in financial markets 0 0 1 14 1 2 15 74
The reduction of forward rate dependent volatility HJM models to Markovian form: pricing European bond options 0 0 0 0 0 1 8 12
The representation of American options prices under stochastic volatility and jump-diffusion dynamics 0 0 0 11 0 0 13 62
The stochastic bifurcation behaviour of speculative financial markets 0 0 1 10 0 0 22 72
The value of the S&P 500--A macro view of the stock market adjustment process 0 0 0 90 1 1 10 250
The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach 0 0 0 43 1 1 11 190
Time-varying beta: a boundedly rational equilibrium approach 0 0 0 14 0 0 12 141
Transformation of Heath?Jarrow?Morton models to Markovian systems 0 0 0 118 0 1 17 428
Volatility swaps and volatility options on discretely sampled realized variance 0 0 0 28 0 0 20 120
“Animal spirits” and bank’s lending behaviour, a disequilibrium approach 0 2 3 9 0 2 15 68
Total Journal Articles 4 9 59 5,360 39 136 1,320 21,324
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 0 1 1 4 21 71
Financial Assets, Debt and Liquidity Crises 0 0 0 0 1 1 6 95
Financial Assets, Debt and Liquidity Crises 0 0 0 0 0 0 2 58
Foundations for a Disequilibrium Theory of the Business Cycle 0 0 0 0 0 5 12 172
Foundations for a Disequilibrium Theory of the Business Cycle 0 0 0 0 0 0 5 89
Nonlinear Oligopolies 0 0 0 1 0 0 9 27
Sustainable Asset Accumulation and Dynamic Portfolio Decisions 0 0 0 0 0 0 6 46
The Dynamics of Keynesian Monetary Growth 0 0 0 0 0 0 5 97
The Dynamics of Keynesian Monetary Growth 0 0 0 0 0 0 8 90
The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches 0 0 1 49 2 2 7 182
Total Books 0 0 1 51 4 12 81 927

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 6 8
A Numerical Approach to Pricing American Call Options under SVJD 0 0 0 7 0 0 7 62
A Stochastic Model of Real-Financial Interaction with Boundedly Rational Heterogeneous Agents 0 0 0 0 0 0 3 4
AD-AS and the Phillips Curve: A Baseline Disequilibrium Model 0 0 0 0 0 0 3 6
Allowing for Stochastic Interest Rates in the Black–Scholes Model 0 0 0 0 1 2 16 33
American Call Options under Jump-Diffusion Processes 0 0 0 5 1 1 4 47
American Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics — The Transform Approach 0 0 1 6 1 1 9 41
An Adaptive Model of Asset Price and Wealth Dynamics in a Market with Heterogeneous Trading Strategies 0 0 0 0 0 0 5 9
An Asset Pricing Model with Adaptive Heterogeneous Agents and Wealth Effects 0 0 0 0 0 0 7 10
An Initial Attempt at Pricing an Option 0 0 0 0 1 1 11 14
Applying the General Pricing Framework 0 0 0 0 0 0 9 10
Asset Accumulation and Portfolio Decisions Under Inflation Risk 0 0 0 0 1 2 11 17
Asset Accumulation and Portfolio Decisions with Time Varying Asset Returns and Labor Income 0 0 0 0 0 0 9 13
Asset Accumulation with Estimated Low Frequency Movements of Asset Returns 0 0 0 0 0 0 4 10
Asset Price Dynamics and Diversification with Heterogeneous Agents 0 0 0 0 1 1 6 10
Change of Numeraire 0 0 0 0 0 0 7 36
Concave Oligopolies 0 0 0 0 0 0 3 5
Concluding Remarks 0 0 0 0 0 0 10 12
Conclusion 0 0 0 0 0 0 8 40
Continuous and Discrete Time Modeling 0 0 0 0 1 1 4 14
Dynamic Saving and Portfolio Decisions-Theory 0 0 0 0 0 0 7 15
Forecasting and Low Frequency Movements of Asset Returns 0 0 0 0 0 0 6 14
Fourier Cosine Expansion Approach 0 0 0 11 0 0 12 62
General Oligopolies 0 0 0 0 0 0 1 2
Interest Rate Derivatives: Multi-Factor Models 0 0 0 0 1 1 6 17
Interest Rate Derivatives: One Factor Spot Rate Models 0 0 0 0 1 1 12 20
Introduction 0 0 0 0 1 1 5 10
Introduction 0 0 0 2 1 1 2 32
Introduction 0 0 0 0 0 0 4 6
Ito’s Lemma and Its Applications 0 0 0 1 0 0 13 82
Jump-Diffusion Processes 0 0 0 0 0 0 5 18
Keynesian Macrodynamics and the Phillips Curve: An Estimated Model for the U.S. Economy 0 0 0 1 0 0 3 5
Learning in a Generalised Dornbusch Model of Exchange Rate Dynamics 0 0 0 0 1 1 7 10
Manipulating Stochastic Differential Equations and Stochastic Integrals 0 0 0 0 1 1 7 11
Modelling Interest Rate Dynamics 0 0 0 0 0 0 10 19
Modified and Extended Oligopolies 0 0 0 0 0 0 5 6
Oligopolies with Misspecified and Uncertain Price Functions, and Learning 0 0 0 0 0 0 5 6
On Filtering in Markovian Term Structure Models 0 0 0 1 0 0 5 26
Option Pricing Under Jump-Diffusion Processes 0 0 0 0 0 1 7 10
Overview and Directions for Future Research 0 0 0 0 1 1 6 8
Partial Differential Equation Approach Under Geometric Jump-Diffusion Process 0 0 0 0 0 0 5 11
Portfolio Modeling with Sustainability Constraints 0 0 0 0 1 2 8 14
Pricing Derivative Securities: A General Approach 0 0 0 0 0 2 12 74
Pricing Options Using Binomial Trees 0 0 0 0 0 0 9 16
Pricing the American Feature 0 0 0 0 0 0 12 17
Representation and Numerical Approximation of American Option Prices under Heston 0 0 0 9 1 3 13 46
Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms 0 0 0 0 0 0 4 4
Statistical Properties of a Heterogeneous Asset Pricing Model with Time-varying Second Moment 0 0 0 0 0 0 5 6
Stochastic Processes for Asset Price Modelling 0 0 0 0 0 0 7 15
Stochastic Volatility 0 0 0 0 0 1 14 18
The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags 0 0 0 0 0 0 4 7
The Classical Cournot Model 0 0 0 0 1 1 8 16
The Continuous Hedging Argument 0 0 0 0 0 0 7 14
The Evaluation of Discrete Barrier Options in a Path Integral Framework 0 0 0 0 0 0 4 11
The Heath–Jarrow–Morton Framework 0 0 0 0 0 1 12 26
The LIBOR Market Model 0 0 0 0 0 0 2 10
The Martingale Approach 0 0 0 0 0 0 7 14
The Merton and Heston Model for a Call 0 0 0 3 0 1 13 46
The Paradigm Interest Rate Option Problem 0 0 0 0 0 0 10 22
The Partial Differential Equation Approach Under Geometric Brownian Motion 0 0 0 0 0 0 6 15
The Stochastic Differential Equation 0 0 0 2 1 1 8 17
The Stock Option Problem 0 0 0 0 0 0 10 18
The macrodynamics of debt deflation 0 1 2 16 0 1 10 65
Volatility Smiles 0 0 0 0 1 1 10 15
Total Chapters 0 1 3 65 19 31 470 1,297

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

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-10-11