Martingales, nonlinearity, and chaos
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Publication:1978586
DOI10.1016/S0165-1889(99)00023-8zbMATH Open0953.91014OpenAlexW2147548387MaRDI QIDQ1978586FDOQ1978586
Apostolos Serletis, William A. Barnett
Publication date: 4 June 2000
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1889(99)00023-8
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Cites Work
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Cited In (22)
- Testing for nonlinearity and chaos in economic time series with noise titration
- Quantum model for the price dynamics: The problem of smoothness of trajectories
- Assessing nonlinear structures in real exchange rates using recurrence plot strategies
- Variance of entropy for testing time-varying regimes with an application to meme stocks
- Complexity measure by ordinal matrix growth modeling
- Complex economic dynamics: Chaotic saddle, crisis and intermittency
- Consumer preferences and demand systems
- Dynamics of the Shapovalov mid-size firm model
- Large portfolio losses in a turbulent market
- On complex behavior and exchange rate dynamics
- No evidence of chaos but some evidence of dependence in the US stock market.
- Study of irregular dynamics in an economic model: attractor localization and Lyapunov exponents
- Chaotic time series analysis in economics: Balance and perspectives
- A positive Lyapunov exponent in Swedish exchange rates?
- Pairs trading with topological data analysis
- A BAYESIAN CLASSIFICATION APPROACH TO MONETARY AGGREGATION
- Efficient goods inspection demand at ports: a comparative forecasting approach
- TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA
- NONLINEARITY IN THE CANADIAN AND U.S. LABOR MARKETS: UNIVARIATE AND MULTIVARIATE EVIDENCE FROM A BATTERY OF TESTS
- Looking for systematic approach to select chaos tests
- Testing for efficiency and non-linearity in market and natural time series
- Titration of chaos with added noise
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