The Euro/Dollar exchange rate: chaotic or non-chaotic? A continuous time model with heterogeneous beliefs

DOI10.1016/J.JEDC.2011.11.008MaRDI QIDQ433381zbMATH OpenOpenAlexFDO

Authors Daniela Federici, Giancarlo Gandolfo

Publication date 13 July 2012

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2011.11.008

zbMATH Keywords

chaosexchange ratecontinuous time econometricsjerk equation

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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• Chaos in foreign exchange markets: A sceptical view
• Chaotic behaviour in exchange-rate series. First results for the Peseta- U.S. Dollar case
• Chaotic exchange rate dynamics redux
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• Econometric Estimation of Stochastic Differential Equation Systems
• Expectations and chaotic dynamics: empirical evidence on exchange rates
• Extraction of dynamical equations from chaotic data
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
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• On complex behavior and exchange rate dynamics
• STRUCTURAL NONLINEAR CONTINUOUS-TIME MODELS IN ECONOMETRICS
• Sensitivity analysis in continuous time econometric models
• Stability Analysis of Continuous-Time Macroeconometric Systems
• The correlation dimension of returns with stochastic volatility
• Time series properties of an artificial stock market

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(3)

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