On Nonlinear, Stochastic Dynamics in Economic and Financial Time Series
نویسندگان
چکیده
منابع مشابه
On non-linear, stochastic dynamics in economic and financial time series
The search for deterministic chaos in economic and financial time series has attracted much interest over the past decade. However, clear evidence of chaotic structures is usually prevented by large random components in the time series. In the first part of this paper we show that even if a sophisticated algorithm estimating and testing the positivity of the largest Lyapunov exponent is applied...
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ژورنال
عنوان ژورنال: Studies in Nonlinear Dynamics and Econometrics
سال: 2000
ISSN: 0000-0000,1081-1826
DOI: 10.1162/108118200750387973