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Application of bootstrap to detecting chaos in financial time series

Author

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  • Brzozowska-Rup, Katarzyna
  • Orłowski, Arkadiusz

Abstract

A moving blocks bootstrap procedure is used to investigate the dynamics of nominal exchange rates and the return rates of the US Dollar against the Polish Zloty. The problem if these financial time series exhibit chaotic behavior is undertaken. A possibility of detecting the presence of a positive Lyapunov exponent is studied.

Suggested Citation

  • Brzozowska-Rup, Katarzyna & Orłowski, Arkadiusz, 2004. "Application of bootstrap to detecting chaos in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 317-321.
    • Handle: RePEc:eee:phsmap:v:344:y:2004:i:1:p:317-321
    DOI: 10.1016/j.physa.2004.06.142
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    Citations

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    Cited by:

    1. Daniela Federici & Giancarlo Gandolfo, 2011. "The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic?," CESifo Working Paper Series 3420, CESifo.
    2. 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.
    3. 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.
    4. 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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