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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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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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Interest rate futures : estimation of volatility parameters in an arbitrage-free framework
Bhar, Ramaprasad - In: Applied mathematical finance 4 (1997) 4, pp. 181-199
Persistent link: https://www.econbiz.de/10001238761
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Estimating the term structure of volatility in bond prices by use of Kalman filter methodology
Bhar, Ramaprasad - In: Advances in Pacific Basin financial markets 3 (1997), pp. 243-256
Persistent link: https://www.econbiz.de/10001243735
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Stock market, interest rate and output : a model and estimation for US time series data
Chiarella, Carl; Mittnik, Stefan; Semmler, Willi; Zhu, … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 6 (2002) 1
Persistent link: https://www.econbiz.de/10001790001
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Continuous time model estimation
Chiarella, Carl; Gao, Shenhuai - 2004
Persistent link: https://www.econbiz.de/10002610955
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The multifactor nature of the volatility of the eurodollar futures market
Chiarella, Carl; Tô, Thuy-duong - 2005
Persistent link: https://www.econbiz.de/10002721727
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The volatility structure of the fixed income market under the HJM framework : a nonlinear filtering approach
Chiarella, Carl; Hung, Hing; Tô, Thuy-duong - 2005
Persistent link: https://www.econbiz.de/10002721773