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An evolutionary CAPM under heterogeneous beliefs
Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong; Li, Kai - In: Annals of Finance 9 (2013) 2, pp. 185-215
persistent volatility characterized by significantly decaying autocorrelations of, and positive correlation between, price … volatility and trading volume. Copyright Springer-Verlag Berlin Heidelberg 2013 …
Persistent link: https://www.econbiz.de/10010866548
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An Evolutionary CAPM Under Heterogeneous Beliefs
Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong; Li, Kai - Finance Discipline Group, Business School - 2012
persistent volatility characterized by significantly decaying autocorrelations of, and positive correlation between, price … volatility and trading volume. …
Persistent link: https://www.econbiz.de/10010643371
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The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach
Chiarella, Carl; To, Thuy-Duong - Finance Discipline Group, Business School - 2005
This paper seeks to estimate a multifactor volatility model so as to describe the dynamics of interest rate markets … a multifactor volatility model also eliminates the need to include a jump component, the existence of which would create …
Persistent link: https://www.econbiz.de/10004984533
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The Multifactor Nature of the Volatility of Futures Markets
Chiarella, Carl; Tô, Thuy-Duong - In: Computational Economics 27 (2006) 2, pp. 163-183
Persistent link: https://www.econbiz.de/10005701691
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Transformation of Heath-Jarrow-Morton models to Markovian systems
Bhar, Ramaprasad; Chiarella, Carl - 1995
Persistent link: https://www.econbiz.de/10000951349
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The estimation of the Heath-Jarrow-Morton model by use of Kalman filtering techniques
Bhar, Ramaprasad; Chiarella, Carl - 1995
Persistent link: https://www.econbiz.de/10000951350
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Interest rate futures : estimation of volatility parameters in an arbitrage-free framework
Bhar, Ramaprasad; Chiarella, Carl - 1995
Persistent link: https://www.econbiz.de/10000951351
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Estimating the term structure of volatility in futures yield : a maximum likelihood approach
Bhar, Ramaprasad; Chiarella, Carl - 1995
Persistent link: https://www.econbiz.de/10000951352
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Evaluation of derivative security prices in the Heath Jarrow-Morton framework as path integrals using fast fourier transform techniques
Chiarella, Carl; Hassan, Nadima el - 1997
Persistent link: https://www.econbiz.de/10000985681
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Learning dynamics in a nonlinear stochastic model of exchange rate
Chiarella, Carl; Khomin, Alexander - 1996
Persistent link: https://www.econbiz.de/10001376973