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Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios

Chiarella, Carl; Lo, Chi-Fai; Huang, Ming Xi - Finance Discipline Group, Business School - 2012

This article provides a generalized two-firm model of default correlation, based on the structural approach that incorporates interest rate risk. In most structural models default is driven by the firms' asset dynamics. In this article, a two-firm model of default is instead driven by the...

Persistent link: https://www.econbiz.de/10010643376

The limit distribution of evolving strategies in financial markets

Chiarella, Carl; Di Guilmi, Corrado - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 2, pp. 137-159

Persistent link: https://www.econbiz.de/10011313593

Limit distribution of evolving strategies in financial markets

Chiarella, Carl; Di Guilmi, Corrado - 2011

Persistent link: https://www.econbiz.de/10009564617

Limit Distribution of Evolving Strategies in Financial Markets

Chiarella, Carl - 2012

use of the maximum entropy approach to obtain an exponential type probability function for strategies, analogous to the …

Persistent link: https://www.econbiz.de/10013098981

Estimating behavioural heterogeneity under regime switching

Chiarella, Carl; He, Xue-zhong; Huang, Weihong; Zheng, … - In: Journal of economic behavior & organization : JEBO 83 (2012) 3, pp. 446-460

Persistent link: https://www.econbiz.de/10011584097

Particle filters for Markov switching stochastic volatility models

Yun, Bao; Chiarella, Carl; Kang, Boda - In: The Oxford handbook of computational economics and finance, (pp. 249-266). 2018

Persistent link: https://www.econbiz.de/10011952212

Approximating Heath-Jarrow-Morton non-Markovian term structure of interest rate models with Markovian systems

Bhar, Ramaprasad; Chiarella, Carl - 2000

Persistent link: https://www.econbiz.de/10001730596

On filtering in Markovian term structure models (an approximation approach)

Chiarella, Carl; Pasquali, Sara; Runggaldier, Wolfgang J. - 2001

Persistent link: https://www.econbiz.de/10001732804

Finite dimensional affine realisations of HJM models in terms of forward rates and yields

Chiarella, Carl; Kwon, Oh Kang - In: Review of derivatives research 6 (2003) 2, pp. 129-155

Persistent link: https://www.econbiz.de/10001857662

Modelling and estimating the forward price curve in the energy market

Chiarella, Carl; Chewlow, Les; King, Boda - 2009

Persistent link: https://www.econbiz.de/10008662359

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