Expectations and chaotic dynamics: empirical evidence on exchange rates

DOI10.1016/J.ECONLET.2007.05.023MaRDI QIDQ1934705zbMATH OpenOpenAlexFDO

Authors Marcelo Resende, Rodrigo M. Zeidan

Publication date 29 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2007.05.023

zbMATH Keywords

exchange ratesLyapunov exponentexpectationsdeterministic chaos

Mathematics Subject Classification ID

Strange attractors, chaotic dynamics of systems with hyperbolic behavior (37D45) Dynamical systems in optimization and economics (37N40) Economic dynamics (91B55)

Recommendations

• On complex behavior and exchange rate dynamics
• Chaos in foreign exchange markets: A sceptical view
• Chaotic exchange rate dynamics redux
• Chaos in East European black market exchange rates
• scientific article; zbMATH DE number 1368823

Cites work

• A practical method for calculating largest Lyapunov exponents from small data sets
• An algorithm for the \(n\) Lyapunov exponents of an \(n\)-dimensional unknown dynamical system
• Chaotic behaviour in exchange-rate series. First results for the Peseta- U.S. Dollar case
• Chaotic exchange rate dynamics redux
• Determining Lyapunov exponents from a time series

Cited in

(8)

• ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY
• ABSENCE OF CHAOS AND 1/f SPECTRA, BUT EVIDENCE OF TAR NONLINEARITIES, IN THE CANADIAN EXCHANGE RATE
• A post Keynesian framework of exchange rate determination: a dynamical approach
• The Euro/Dollar exchange rate: chaotic or non-chaotic? A continuous time model with heterogeneous beliefs
• Chaotic analysis of the foreign exchange rates
• Numerical exploration of Kaldorian macrodynamics: Enhanced stability and predominance of period doubling and chaos with flexible exchange rates
• On complex behavior and exchange rate dynamics
• Chaotic exchange rate dynamics redux

This page was built for publication: Expectations and chaotic dynamics: empirical evidence on exchange rates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1934705)