Application of bootstrap to detecting chaos in financial time series
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DOI: 10.1016/j.physa.2004.06.142
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Cited by:
- Daniela Federici & Giancarlo Gandolfo, 2011.
"The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic?,"
CESifo Working Paper Series
3420, CESifo.
- Daniela Federici & Giancarlo Gandolfo, 2011. "The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic?," DEGIT Conference Papers c016_035, DEGIT, Dynamics, Economic Growth, and International Trade.
- Federici, Daniela & Gandolfo, Giancarlo, 2012. "The Euro/Dollar exchange rate: Chaotic or non-chaotic? A continuous time model with heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 670-681.
- Kugiumtzis Dimitris, 2008. "Evaluation of Surrogate and Bootstrap Tests for Nonlinearity in Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-26, March.
- Vitaliy Vandrovych, 2005. "Study of Nonlinearities in the Dynamics of Exchange Rates: Is There Any Evidence of Chaos?," Computing in Economics and Finance 2005 234, Society for Computational Economics.
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Keywords
Financial time series; Chaos; Lyapunov exponent; Bootstrap;All these keywords.
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