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Chaos Tests For Time Series

Author

Listed:
  • Dumitru Ciobanu

    (University of Craiova Faculty of Economics and Business Administration)

Abstract

Chaos Theory aims to find the underlying order from apparently random data. Every economic process produce one or many time series. Determining if the process is or not chaotic may supply valuable information about how to deal with that process. There is no single test that identify chaos, so to say that a system is chaotic is better to perform more tests.

Suggested Citation

  • Dumitru Ciobanu, 2012. "Chaos Tests For Time Series," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 2(40), pages 159-166.
    • Handle: RePEc:aio:aucsse:v:2:y:2012:i:40:p:159-166
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    File URL: http://feaa.ucv.ro/AUCSSE/0040v2-018.pdf
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    References listed on IDEAS

    as
    1. Ashkenazy, Y., 1999. "The use of generalized information dimension in measuring fractal dimension of time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 271(3), pages 427-447.
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    More about this item

    Keywords

    Chaos tests; time series; Lyapunov Exponent; exchange rate;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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