Looking for systematic approach to select chaos tests

DOI10.1016/J.AMC.2007.08.070MaRDI QIDQ2425964zbMATH OpenOpenAlexFDO

Authors P. Yousefpoor, H. Nojumi, Mohammad Shahrokh Esfahani

Publication date 17 April 2008

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2007.08.070

zbMATH Keywords

chaos mathematical definitionchaos testslargest Lyapunov exponentsurrogate data methodthe BDS testthe close returns test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Statistical methods; economic indices and measures (91B82)

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Cites work

• A practical method for calculating largest Lyapunov exponents from small data sets
• Chaos: A statistical perspective
• Chaotic analysis of the foreign exchange rates
• Determining Lyapunov exponents from a time series
• Estimating the Lyapunov Exponent of a Chaotic System With Nonparametric Regression
• scientific article; zbMATH DE number 44378 (Why is no real title available?)
• scientific article; zbMATH DE number 1516955 (Why is no real title available?)
• scientific article; zbMATH DE number 1849968 (Why is no real title available?)
• Martingales, nonlinearity, and chaos
• Measuring the strangeness of strange attractors

Cited in

(4)

• Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis
• Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system
• High level chaos in the exchange and index markets
• Chaos measure dynamics in a multifactor model for financial market predictions

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