Assessing nonlinear structures in real exchange rates using recurrence plot strategies

DOI10.1016/S0167-2789(02)00625-5MaRDI QIDQ700846zbMATH OpenFDO

Authors Jorge Belaire-Franch, Dulce Contreras, Lorena Tordera-Lledó

Publication date 9 October 2002

Published in Physica D (Search for Journal in Brave)

zbMATH Keywords

purchasing power paritydeterministic chaosrecurrence quantification analysis

Mathematics Subject Classification ID

Trade models (91B60)

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Cites work

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• Determining Lyapunov exponents from a time series
• Distinguishing random and deterministic systems: Abridged version
• Exceptional events as evidence for determinism
• Martingales, nonlinearity, and chaos
• Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos
• Testing for nonlinearity in time series: the method of surrogate data
• The Claude Bernard Lecture, 1989 - Deterministic chaos: the science and the fiction
• The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series
• Topological analysis of chaotic dynamical systems

Cited in

(11)

• Application of symbolic recurrence to experimental data, from firearm prevalence to fish swimming
• Pattern analysis of the nonparametric kernel regression method in foreign exchange markets
• Transfer entropy on symbolic recurrences
• scientific article; zbMATH DE number 1368823 (Why is no real title available?)
• Recurrence quantity analysis based on matrix eigenvalues
• Application of nonlinear time series analysis techniques to high-frequency currency exchange data
• RECURRENCE PLOT AND RECURRENCE QUANTIFICATION ANALYSIS TECHNIQUES FOR DETECTING A CRITICAL REGIME.
• Recurrence plots and Shannon entropy for a dynamical analysis of asynchronisms in noninvasive mechanical ventilation
• Episodic nonlinearity in leading global currencies
• Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes
• Increase of order in seismic processes around large reservoir induced by water level periodic variation

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