D-Index & Metrics Best Publications

D-Index & Metrics

Discipline name D-index D-index (Discipline H-index) only includes papers and citation values for an examined discipline in contrast to General H-index which accounts for publications across all disciplines. Citations Publications World Ranking National Ranking
Economics and Finance D-index 42 Citations 7,671 267 World Ranking 1058 National Ranking 30

Overview

What is he best known for?

The fields of study he is best known for:

  • Statistics
  • Finance
  • Mathematical analysis

His primary areas of investigation include Microeconomics, Asset, Mathematical economics, Econometrics and Capital asset pricing model. His Microeconomics research incorporates elements of Basis risk, Risk aversion, Trading strategy, Market maker and Market microstructure. His Asset study combines topics from a wide range of disciplines, such as Rational expectations, Instability and Simple.

His Mathematical economics research is multidisciplinary, incorporating perspectives in Stability, Forward rate, Applied mathematics and Nonlinear system. His Econometrics research includes elements of Empirical evidence, Stochastic process, Technical analysis, Markov chain and Empirical research. His Capital asset pricing model research incorporates themes from Present value and Bifurcation theory.

His most cited work include:

  • The dynamics of speculative behaviour (248 citations)
  • Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model (208 citations)
  • A simulation analysis of the microstructure of double auction markets (200 citations)

What are the main themes of his work throughout his whole career to date?

His primary areas of study are Econometrics, Volatility, Mathematical economics, Applied mathematics and Financial economics. His study in Econometrics is interdisciplinary in nature, drawing from both Financial market, Bond valuation, Interest rate and Futures contract. His biological study deals with issues like Capital asset pricing model, which deal with fields such as Asset.

Carl Chiarella focuses mostly in the field of Volatility, narrowing it down to matters related to Forward rate and, in some cases, Affine term structure model. His biological study spans a wide range of topics, including Stability and Nonlinear system. His research investigates the connection with Applied mathematics and areas like Free boundary problem which intersect with concerns in Integral equation.

He most often published in these fields:

  • Econometrics (34.01%)
  • Volatility (16.64%)
  • Mathematical economics (16.21%)

What were the highlights of his more recent work (between 2012-2021)?

  • Econometrics (34.01%)
  • Financial economics (13.46%)
  • Stochastic volatility (10.27%)

In recent papers he was focusing on the following fields of study:

Carl Chiarella spends much of his time researching Econometrics, Financial economics, Stochastic volatility, Applied mathematics and Volatility. His Econometrics research focuses on Capital asset pricing model in particular. Carl Chiarella has included themes like Limit order market, Order and Monetary economics in his Financial economics study.

In the field of Stochastic volatility, his study on Heston model overlaps with subjects such as Jump diffusion. His research in Applied mathematics tackles topics such as Partial differential equation which are related to areas like Stochastic process and Free boundary problem. His research investigates the connection between Portfolio and topics such as Asset that intersect with problems in Risk aversion.

Between 2012 and 2021, his most popular works were:

  • Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500 (42 citations)
  • Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market (26 citations)
  • An evolutionary CAPM under heterogeneous beliefs (26 citations)

In his most recent research, the most cited papers focused on:

  • Statistics
  • Finance
  • Mathematical analysis

His main research concerns Econometrics, Financial economics, Stochastic volatility, Volatility and Capital asset pricing model. Carl Chiarella integrates Econometrics with Affine transformation in his study. His Financial economics research includes themes of Market liquidity and Order.

His Volatility study combines topics in areas such as Microeconomics, Futures contract and Computation. The study incorporates disciplines such as Value and Carry in addition to Microeconomics. His work deals with themes such as Empirical evidence, Asset, Financial market, Maximum likelihood and Homoclinic orbit, which intersect with Capital asset pricing model.

This overview was generated by a machine learning system which analysed the scientist’s body of work. If you have any feedback, you can contact us here.

Best Publications

The dynamics of speculative behaviour

Carl Chiarella.
Annals of Operations Research (1992)

393 Citations

Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model

Carl Chiarella;Xue-Zhong He.
Computational Economics (2002)

301 Citations

A simulation analysis of the microstructure of double auction markets

Carl Chiarella;Giulia Iori.
Quantitative Finance (2002)

294 Citations

Nonlinear Oligopolies: Stability and Bifurcations

Gian Italo Bischi;Carl Chiarella;Michael Kopel;Ferenc Szidarovszky.
(2009)

294 Citations

The Dynamics of Keynesian Monetary Growth: Macro Foundations

Carl Chiarella;Peter Flaschel.
(2011)

259 Citations

The impact of heterogeneous trading rules on the limit order book and order flows

Carl Chiarella;Giulia Iori;Josep Perello.
Journal of Economic Dynamics and Control (2009)

255 Citations

Asset price and wealth dynamics under heterogeneous expectations

Carl Chiarella;Xuezhong He.
Quantitative Finance (2001)

244 Citations

Speculative behaviour and complex asset price dynamics: a global analysis

Carl Chiarella;Roberto Dieci;Laura Gardini.
Journal of Economic Behavior and Organization (2002)

222 Citations

Heterogeneity, Market Mechanisms, and Asset Price Dynamics

Carl Chiarella;Roberto Dieci;Xue-Zhong He.
Social Science Research Network (2009)

220 Citations

The cobweb model: Its instability and the onset of chaos

Carl Chiarella.
Economic Modelling (1990)

212 Citations

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