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Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models
Röthig, Andreas; Chiarella, Carl - 2006
This article explores nonlinearities in the response of speculators' trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 to December 27, 2005, we reject linearity in all of these markets. Using smooth transition...
Persistent link: https://www.econbiz.de/10010266873
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Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models
Röthig, Andreas; Chiarella, Carl - 2006
Persistent link: https://www.econbiz.de/10003325225
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Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models
Röthig, Andreas (contributor); Chiarella, Carl (contributor) - 2006
Persistent link: https://www.econbiz.de/10003314013
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Optimal investment strategies under stochastic volatility : estimation and applications
Chiarella, Carl; Hsiao, Chih-ying - 2010
Persistent link: https://www.econbiz.de/10008663099
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Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models
Röthig, Andreas; Chiarella, Carl - In: The journal of futures markets 27 (2007) 8, pp. 719-737
Persistent link: https://www.econbiz.de/10003518512
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The dynamic behaviour of asset prices in disequilibrium : a survey
Chiarella, Carl; Dieci, Roberto; He, Xue-zhong - In: International journal of behavioural accounting and … 2 (2011) 2, pp. 101-139
Persistent link: https://www.econbiz.de/10009373611
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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
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Financial fragility and interacting units : an exercise
Chiarella, Carl; Giansante, Simone; Sordi, Serena; … - In: Decision theory and choices : a complexity approach, (pp. 117-126). 2010
Persistent link: https://www.econbiz.de/10009666315
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A behavioural model of investor sentiment in limit order markets
Chiarella, Carl; He, Xue-zhong; Shi, Lei; Wei, Lijian - 2014
Persistent link: https://www.econbiz.de/10010349284
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Limit distribution of evolving strategies in financial markets
Chiarella, Carl; Di Guilmi, Corrado - 2011
Persistent link: https://www.econbiz.de/10009564617