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Continuous Time Model Estimation

Chiarella, Carl; Gao, Shenhuai - Finance Discipline Group, Business School - 2004

This paper introduces an easy to follow method for continuous time model estimation. It serves as an introduction on how to convert a state space model from continuous time to discrete time, how to decompose a hybrid stochastic model into a trend model plus a noise model, how to estimate the...

Persistent link: https://www.econbiz.de/10004970481

Keynesian macrodynamics and the Phillips curve : an estimated model for the US economy

Chen, Pu; Chiarella, Carl; Flaschel, Peter; Semmler, Willi - In: Quantitative and empirical analysis of nonlinear …, (pp. 229-284). 2006

Persistent link: https://www.econbiz.de/10003324045

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

Keynesian macrodynamics and the Phillips curve. : An estimated baseline macromodel for the US economy

Chen, Pu; Chiarella, Carl; Flaschel, Peter; Semmler, Willi - 2006

Persistent link: https://www.econbiz.de/10003304136

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

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

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

Humps in the volatility structure of the crude oil futures market : new evidence

Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - In: Energy economics 40 (2013), pp. 989-1000

Persistent link: https://www.econbiz.de/10010355994

Heterogeneous expectations in asset pricing : empirical evidence from the S&P500

Chiarella, Carl; He, Xue-zhong; Zwinkels, Remco C. J. - 2014

Persistent link: https://www.econbiz.de/10010349280

Humps in the volatility structure of the crude oil futures market

Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - 2012

Persistent link: https://www.econbiz.de/10009564452

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