A positive Lyapunov exponent in Swedish exchange rates?

DOI10.1016/S0960-0779(02)00083-8MaRDI QIDQ1419065zbMATH OpenFDO

Authors Mikael Bask

Publication date 14 January 2004

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0960-0779(02)00083-8

zbMATH Keywords

blockwise bootstrap procedurechaotic dynamics

Mathematics Subject Classification ID

Recommendations

• Testing chaotic dynamics via Lyapunov exponents.
• Chaos in foreign exchange markets: A sceptical view
• Chaos in East European black market exchange rates
• Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos
• On complex behavior and exchange rate dynamics

Cites work

• A practical method for calculating largest Lyapunov exponents from small data sets
• A test for independence based on the correlation dimension
• Bootstrap methods: another look at the jackknife
• Chaos and nonlinear forecastability in economics and finance
• Chaotic behaviour in exchange-rate series. First results for the Peseta- U.S. Dollar case
• Characterizing the Degree of Stability of Non-linear Dynamic Models
• Distinguishing random and deterministic systems: Abridged version
• scientific article; zbMATH DE number 3810550 (Why is no real title available?)
• scientific article; zbMATH DE number 854585 (Why is no real title available?)
• IS CHAOS GENERIC IN ECONOMIC DATA?
• Martingales, nonlinearity, and chaos
• Testing chaotic dynamics via Lyapunov exponents.
• The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series
• The jackknife and the bootstrap for general stationary observations

Cited in

(7)

• On complex behavior and exchange rate dynamics
• Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis
• Interest rate rules, endogenous cycles, and chaotic dynamics in open economies
• The Euro/Dollar exchange rate: chaotic or non-chaotic? A continuous time model with heterogeneous beliefs
• Chaotic time series analysis in economics: balance and perspectives
• Multiscale Lyapunov exponent for 2-microlocal functions
• Chaotic analysis of the foreign exchange rates

This page was built for publication: A positive Lyapunov exponent in Swedish exchange rates?

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1419065)