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Searching for chaos on low frequency

Author

Listed:
  • Nicolas Wesner

    (MODEM Université Paris X Nanterre)

Abstract

A new method for detecting low dimensional chaos in small sample sets is presented. The method is applied to financial data on low frequency (annual and monthly) for which few observations are available.

Suggested Citation

  • Nicolas Wesner, 2004. "Searching for chaos on low frequency," Economics Bulletin, AccessEcon, vol. 3(1), pages 1-8.
    • Handle: RePEc:ebl:ecbull:eb-03c10007
    as

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    File URL: http://www.accessecon.com/pubs/EB/2004/Volume3/EB-03C10007A.pdf
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    References listed on IDEAS

    as
    1. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
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    Cited by:

    1. Marian Gidea & David Quaid, 2005. "On Wesner's method of searching for chaos on low frequency," Economics Bulletin, AccessEcon, vol. 3(42), pages 1-8.

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    More about this item

    Keywords

    low dimensional chaos;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G1 - Financial Economics - - General Financial Markets

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