Carl Chiarella

Personal Home Page

http://datasearch.uts.edu.au/business/finance/staff/StaffDetails.cfm?UnitStaffId=394

Articles in Scholarly Journals [Incomplete List]

  1. Intertemporal asset allocation when the underlying factors are unobservable
    Computational Economics, vol. 29, no. 3-4, pp. 383–418, 2007
  2. Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework
    Journal of Economic Behavior & Organization, vol. 62, no. 3, pp. 408–427, 2007
  3. International Journal of Theoretical and Applied Finance, vol. 10, no. 1, p. 155, 2007
  4. The Singapore Economic Review, vol. 51, no. 3, p. 365, 2006
  5. A re-evaluation of adaptive expectations in light of global nonlinear dynamic analysis
    Journal of Economic Behavior & Organization, vol. 60, no. 4, pp. 526–552, 2006
  6. An analysis of the cobweb model with boundedly rational heterogeneous producers
    Journal of Economic Behavior & Organization, vol. 61, no. 4, pp. 750–768, 2006
  7. My chaotic career—from billiard balls to economic dynamics and financial markets
    Chaos, Solitons & Fractals, vol. 29, no. 3, pp. 517–519, 2006
  8. A behavioral asset pricing model with a time-varying second moment
    Chaos, Solitons & Fractals, vol. 29, no. 3, pp. 535–555, 2006
  9. “Dynamic Modelling in Economics and Finance” in honour of Professor Carl Chiarella
    Chaos, Solitons & Fractals, vol. 29, no. 3, pp. 515–516, 2006
  10. The volatility of the instantaneous spot interest rate implied by arbitrage pricing—A dynamic Bayesian approach?
    Automatica, vol. 42, no. 8, pp. 1381–1393, 2006
  11. The feedback channels in macroeconomics: analytical foundations for structural econometric model building
    Central European Journal of Operations Research, vol. 14, no. 3, pp. 261–288, 2006
  12. The Multifactor Nature of the Volatility of Futures Markets
    Computational Economics, vol. 27, no. 2-3, pp. 163–183, 2006
  13. A dynamic analysis of moving average rules?
    Journal of Economic Dynamics and Control, vol. 30, no. 9-10, pp. 1729–1753, 2006
  14. Asset price and wealth dynamics in a financial market with heterogeneous agents
    Journal of Economic Dynamics and Control, vol. 30, no. 9-10, pp. 1755–1786, 2006
  15. Keynesian dynamics and the wage–price spiral: A baseline disequilibrium model
    Journal of Macroeconomics, vol. 28, no. 1, pp. 90–130, 2006
  16. Moving average rules as a source of market instability
    Physica A: Statistical and Theoretical Physics, vol. 370, no. 1, pp. 12–17, 2006
  17. Cournot oligopolies with product differentiation under uncertainty
    Computers & Mathematics with Applications, vol. 50, no. 3-4, pp. 413–424, 2005
  18. A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models
    European Journal of Operational Research, vol. 161, no. 2, pp. 325–336, 2005
  19. Evaluation of American strangles
    Journal of Economic Dynamics and Control, vol. 29, no. 1-2, pp. 31–62, 2005
  20. MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES
    Mathematical Finance, vol. 15, no. 1, pp. 61–97, 2005
  21. On the stability of price-adjusting oligopolies with incomplete information
    International Journal of Systems Science, vol. 36, no. 8, pp. 501–507, 2005
  22. The Dynamic Interaction of Speculation and Diversification
    Applied Mathematical Finance, vol. 12, no. 1, pp. 17–52, 2005
  23. International Game Theory Review, vol. 6, no. 3, p. 343, 2004
  24. International Game Theory Review, vol. 6, no. 3, p. 391, 2004
  25. The value of the S&P 500?A macro view of the stock market adjustment process
    Global Finance Journal, vol. 15, no. 2, pp. 171–196, 2004
  26. Dynamic oligopolies without full information and with continuously distributed time lags
    Journal of Economic Behavior & Organization, vol. 54, no. 4, pp. 495–511, 2004
  27. A stability analysis of the perfect foresight map in nonlinear models of monetary dynamics
    Chaos, Solitons & Fractals, vol. 21, no. 2, pp. 371–386, 2004
  28. The asymptotic behavior of dynamic producer-consumer systems
    Mathematical and Computer Modelling, vol. 39, no. 11-12, pp. 1297–1312, 2004
  29. Dynamics of beliefs and learning under aL-processes — the heterogeneous case
    Journal of Economic Dynamics and Control, vol. 27, no. 3, pp. 503–531, 2003
  30. On the attractivity of a class of homogeneous dynamic economic systems
    Nonlinear Analysis, vol. 52, no. 6, pp. 1617–1636, 2003
  31. A game theoretical partially cooperative model of international fishing with time delay
    Chaos, Solitons & Fractals, vol. 18, no. 3, pp. 549–560, 2003
  32. Nonlinear Phillips curves, complex dynamics and monetary policy in a Keynesian macro model
    Chaos, Solitons & Fractals, vol. 18, no. 3, pp. 613–634, 2003
  33. Bounded continuously distributed delays in dynamic oligopolies
    Chaos, Solitons & Fractals, vol. 18, no. 5, pp. 977–993, 2003
  34. A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework
    Asia-Pacific Financial Markets, vol. 10, no. 2-3, pp. 87–127, 2003
  35. The jump component of the volatility structure of interest rate futures markets: An international comparison
    Journal of Futures Markets, vol. 23, no. 12, pp. 1125–1158, 2003
  36. Introduction to Selected Proceedings from Quantitative Methods in Finance 2002
    Quantitative Finance, vol. 3, no. 1, pp. C5–C5, 2003
  37. Computational Economics, vol. 22, no. 2/3, pp. 213–223, 2003
  38. Computational Economics, vol. 22, no. 2/3, pp. 113–138, 2003
  39. Review of Derivatives Research, vol. 6, no. 2, pp. 129–155, 2003
  40. HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER
    Macroeconomic Dynamics, vol. 7, no. 4, pp. 503–536, 2003
  41. Computational Economics, vol. 19, no. 1, pp. 95–132, 2002
  42. The asymptotic behavior of dynamic rent-seeking games
    Computers & Mathematics with Applications, vol. 43, no. 1-2, pp. 169–178, 2002
  43. Speculative behaviour and complex asset price dynamics: a global analysis
    Journal of Economic Behavior & Organization, vol. 49, no. 2, pp. 173–197, 2002
  44. Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
    Finance and Stochastics, vol. 5, no. 2, pp. 237–257, 2001
  45. Asset price and wealth dynamics under heterogeneous expectations
    Quantitative Finance, vol. 1, no. 5, pp. 509–526, 2001
  46. Asset price dynamics in a financial market with fundamentalists and chartists
    Discrete Dynamics in Nature and Society, vol. 6, no. 2, pp. 69–99, 2001
  47. On filtering in Markovian term structure
    Advances in Applied Probability, vol. 33, no. 4, pp. 794–809, 2001
  48. High order disequilibrium growth dynamics: Theoretical aspects and numerical features
    Journal of Economic Dynamics and Control, vol. 24, no. 5-7, pp. 935–963, 2000
  49. Evaluation of American option prices in a path integral framework using Fourier?Hermite series expansions
    Journal of Economic Dynamics and Control, vol. 23, no. 9-10, pp. 1387–1424, 1999
  50. Annals of Operations Research, vol. 89, pp. 21–34, 1999
  51. Annals of Operations Research, vol. 89, pp. 35–59, 1999
  52. Preface to the special section on modelling and control of national and regional economies
    Control Engineering Practice, vol. 5, no. 4, pp. 517–518, 1997
  53. Real and monetary cycles in models of Keynes-Wicksell type
    Journal of Economic Behavior & Organization, vol. 30, no. 3, pp. 327–351, 1996
  54. An analysis of the complex dynamic behaviour of nonlinear oligopoly models with time delays
    Chaos, Solitons & Fractals, vol. 7, no. 12, pp. 2049–2065, 1996
  55. An integrative approach to 2D-macromodels of growth, price and inventory dynamics
    Chaos, Solitons & Fractals, vol. 7, no. 12, pp. 2105–2133, 1996
  56. The dynamics of speculative behaviour
    Annals of Operations Research, vol. 37, no. 1, pp. 101–123, 1992
  57. An example of diabetes compartment modelling
    Mathematical Modelling, vol. 7, no. 9-12, pp. 1239–1244, 1986
  58. The cournot-nash and cooperative solutions in the harvesting of a fish stock
    Rivista di Matematica per le Scienze Economiche e Sociali, vol. 8, no. 2, pp. 93–101, 1985
  59. On the Economics of International Fisheries
    International Economic Review, vol. 25, no. 1, p. 85, 1984
  60. On the Evaluation of Integrals Related to the Error Function
    Mathematics of Computation, vol. 22, no. 101, p. 137, 1968