Sergio Da Silva

English

Research Papers in Economics

A New Kind of Science,

A theory of exchange rate determination,

Aggregate spending and the terms of trade: is there a Laursen-Metzler effect?,

An Introduction to Econophysics, Correlations and Complexity in Finance,

Analytic approach to the problem of convergence of truncated Lévy flights towards the Gaussian stochastic process,

Asset pricing under endogenous expectations in an artificial stock market, in:

Autocorrelation as a source of truncated Lévy flights in foreign exchange rates,

Banking on currency forecasts: how predictable is change in money?,

Business cycles and the exchange rate regime: some international evidence,

Chaos, fractional kinetics, and anomalous transport,

Chaotic exchange rate dynamics redux,

Chartists, fundamentalists and the demand for dollars, in:

Classroom guide to the equilibrium exchange rate model,

Common stochastic trends in a system of exchange rates,

Complexity and the economy,

Currency prices, terms of trade, and interest rates: a general equilibrium asset-pricing, cash-in-advance approach,

Dewachter Chaos in the Dornbusch model of the exchange rate,

Empirical exchange rate models of the seventies: do they fit out of sample?

Empirical research on nominal exchange rates,

Exchange rate dynamics redux,

Exchange Rate Economics,

Exchange rate economics:

Exchange Rate Theory: Chaotic Models of Foreign Exchange Markets,

Exchange rates and fundamentals: evidence on long-horizon predictability,

Expectations and exchange rate dynamics,

Explanations of exchange rate volatility and other empirical regularities in some popular models of the foreign exchange market,

Exponentially damped Lévy flights,

Exponentially damped Lévy flights, multiscaling, and exchange rates,

Fiscal Policies and Growth in the World Economy, Third Edition,

Fixing exchange rates: a virtual quest for fundamentals, CEPR Discussion Papers No.

How to beat the random walk: an empirical model of real exchange rates,

Inductive reasoning and bounded rationality,

Interest rates and currency prices in a two-country world,

Introducing false EUR and false EUR exchange rates,

Inverse cubic law for the distributions of stock price variations,

Liquidity and exchange rates,

Low q-moment multifractal analysis of gold price, Dow-Jones industrial average and BGL-USD exchange rate,

Maximum likelihood estimation and diagnostics for stable distributions,

Microstructure theory and the foreign exchange market, Federal Reserve Bank of St.

Mr Keynes and the classics: a suggested interpretation,

Multi-affine analysis of typical currency exchange rates,

Multi-scaling properties of truncated Lévy flights,

Multifractal analysis of foreign exchange data,

News and the foreign exchange market,

Oeuvres de Paul Lévy, Volume III, Eléments Aléatoires, Gauthiers-Villars,

On rational bubbles and fat tails,

On unit roots and the empirical modelling of exchange rates,

Perspectives on PPP and long-run real exchange rates,

Real and nominal exchange rate variability,

Robust test for unit roots in the foreign exchange rate market,

Scaling behavior in the dynamics of an economic index,

Scaling in the Norwegian stock market,

Scaling power laws in the Sao Paulo Stock Exchange,

Scaling properties of foreign exchange volatility,

Scaling, self-similarity and multifractality in FX markets,

Self-averaging phenomenon and multiscaling in Hong Kong stock market,

Similarities and differences between physics and economics,

Skidelsky on Keynes,

Some empirical evidence on the effects of shocks to monetary policy on exchange rates,

Speculative bubbles, crashes and rational expectations,

Speculative prices and popular models,

Statistical properties of the volatility of price fluctuations,

Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis,

Stochastic process with ultraslow convergence to a Gaussian: the truncated Lévy flight,

Stock market prices do not follow random walks: evidence from a simple specification test,

Stock prices and social dynamics,

The case for stabilizing exchange rates,

The current account and macroeconomic adjustment in the 1970s,

The economics of exchange rates,

The equilibrium approach to exchange rates, Federal Reserve

The flexible exchange rate system: experience and alternatives,

The Foreign Exchange Market: Theory and Econometric Evidence,

The Fractal Geometry of Nature, Freeman,

The General Theory of Employment, Interest,

The gradually truncated Lévy flight for systems with power-law distributions,

The gradually truncated Lévy flight: stochastic process for complex systems,

The Kalman-Lévy filter,

The Microstructure of Foreign Exchange Markets,

The new open economy macroeconomics: a survey,

The out-of-sample failure of empirical exchange rate models: sampling error or misspecifications?, in:

The Random Character of Stock Market Prices,

The role of foreign exchange intervention in a chaotic Dornbusch model,

The Self-Organizing

The variation of certain speculative prices,

Theorie de L’Addition des Variables Aleatoires, Gauthier-Villars,

Theorie de la speculation (PhD thesis in mathematics),

Toward a new paradigm in open economy modeling: where do we stand?, Federal Reserve Bank of St. Louis Review, May/June

Truncated Lévy laws and 2D turbulence,

Truncated Lévy walks and an emerging market economic index,

Was it real? The exchange rate-interest differential relation over the modern floating-rate period,

International Finance, Levy Distributions, and the Econophysics of Exchange Rates

http://128.118.178.162/eps/if/papers/0405/0405018.pdf

International Finance, Levy Distributions, and the Econophysics of Exchange Rates

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Research Papers in Economics