The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms
Author
Abstract
Suggested Citation
DOI: 10.2202/1558-3708.1018
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Shintani, Mototsugu & Linton, Oliver, 2004.
"Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos,"
Journal of Econometrics, Elsevier, vol. 120(1), pages 1-33, May.
- Linton, Oliver & Shintani, Mototsugu, 2002. "Nonparametric neutral network estimation of lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics 58170, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Mototsugu Shintani, 2002. "Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series 434, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Oliver Linton & Mototsugu Shintani, 2003. "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series 455, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Mototsugu Shintani & Oliver Linton, 2003. "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," Vanderbilt University Department of Economics Working Papers 0309, Vanderbilt University Department of Economics.
- Shintani, Mototsugu & Linton, Oliver, 2002. "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics 2093, London School of Economics and Political Science, LSE Library.
- Shintani, Mototsugu & Linton, Oliver, 2003. "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics 2097, London School of Economics and Political Science, LSE Library.
- Bask, Mikael & Liu, Tung & Widerberg, Anna, 2007.
"The stability of electricity prices: Estimation and inference of the Lyapunov exponents,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 565-572.
- Bask, Mikael & Liu, Tung & Widerberg, Anna, 2006. "The stability of electricity prices: estimation and inference of the Lyapunov exponents," Bank of Finland Research Discussion Papers 9/2006, Bank of Finland.
- Mikael Bask & Tung Liu & Anna Widerberg, 2006. "The Stability of Electricity Prices: Estimation and Inference of the Lyapunov Exponent," Working Papers 200603, Ball State University, Department of Economics, revised Apr 2006.
- Simón Sosvilla-Rivero & Fernando Fernández-Rodriguez & Julián Andrada-Félix, 2005.
"Testing chaotic dynamics via Lyapunov exponents,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 911-930.
- Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, "undated". "Testing Chaotic Dynamics via Lyapunov Exponents," Working Papers 2000-07, FEDEA.
- repec:zbw:bofrdp:2007_020 is not listed on IDEAS
- Bask, Mikael & Widerberg, Anna, 2009.
"Market structure and the stability and volatility of electricity prices,"
Energy Economics, Elsevier, vol. 31(2), pages 278-288, March.
- Bask, Mikael & Widerberg, Anna, 2008. "Market Structure and the Stability and Volatility of Electricity Prices," Working Papers in Economics 327, University of Gothenburg, Department of Economics.
- Anagnostidis, Panagiotis & Emmanouilides, Christos J., 2015. "Nonlinearity in high-frequency stock returns: Evidence from the Athens Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 473-487.
- Bask, Mikael, 2010.
"Measuring potential market risk,"
Journal of Financial Stability, Elsevier, vol. 6(3), pages 180-186, September.
- Bask, Mikael, 2007. "Measuring potential market risk," Bank of Finland Research Discussion Papers 20/2007, Bank of Finland.
- Maus, A. & Sprott, J.C., 2013. "Evaluating Lyapunov exponent spectra with neural networks," Chaos, Solitons & Fractals, Elsevier, vol. 51(C), pages 13-21.
- Bask, Mikael, 2010.
"Measuring potential market risk,"
Journal of Financial Stability, Elsevier, vol. 6(3), pages 180-186, September.
- Bask, Mikael, 2007. "Measuring potential market risk," Research Discussion Papers 20/2007, Bank of Finland.
More about this item
Keywords
Lyapunov exponents; embedded dynamics;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:sndecm:v:1:y:1996:i:3:n:2. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no bibliographic references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.