Looking for systematic approach to select chaos tests
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Publication:2425964
DOI10.1016/j.amc.2007.08.070zbMath1133.91532OpenAlexW2086279438MaRDI QIDQ2425964
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
largest Lyapunov exponentsurrogate data methodchaos mathematical definitionchaos teststhe BDS testthe close returns test
Related Items (4)
High level chaos in the exchange and index markets ⋮ Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system ⋮ Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis ⋮ Chaos measure dynamics in a multifactor model for financial market predictions
Cites Work
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- Chaotic analysis of the foreign exchange rates
- Determining Lyapunov exponents from a time series
- Measuring the strangeness of strange attractors
- Martingales, nonlinearity, and chaos
- A practical method for calculating largest Lyapunov exponents from small data sets
- Estimating the Lyapunov Exponent of a Chaotic System With Nonparametric Regression
- Chaos: A statistical perspective
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