Testing chaotic dynamics via Lyapunov exponents
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DOI: 10.1002/jae.805
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- Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, "undated". "Testing Chaotic Dynamics via Lyapunov Exponents," Working Papers 2000-07, FEDEA.
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Citations
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- Park, Joon Y. & Whang, Yoon-Jae, 2012. "Random walk or chaos: A formal test on the Lyapunov exponent," Journal of Econometrics, Elsevier, vol. 169(1), pages 61-74.
- Matilla-García, Mariano & Marín, Manuel Ruiz, 2010.
"A new test for chaos and determinism based on symbolic dynamics,"
Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 600-614, December.
- Mariano Matilla-García & Manuel Ruiz Marín, 2010. "A New Test for Chaos and Determinism based on Symbolic Dynamics," Post-Print hal-00911819, HAL.
- Bask, Mikael & Widerberg, Anna, 2009.
"Market structure and the stability and volatility of electricity prices,"
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- 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.
- 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.
- Belaire-Franch, Jorge, 2018.
"Exchange rates expectations and chaotic dynamics: A replication study,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 12, pages 1-9.
- Belaire-Franch, Jorge, 2018. "Exchange rates expectations and chaotic dynamics: A replication study," Economics Discussion Papers 2018-34, Kiel Institute for the World Economy (IfW Kiel).
- Bashkirtseva, Irina A. & Ryashko, Lev B. & Pisarchik, Alexander N., 2020. "Ring of map-based neural oscillators: From order to chaos and back," Chaos, Solitons & Fractals, Elsevier, vol. 136(C).
- Matilla-Garcia, Mariano, 2007. "A non-parametric test for independence based on symbolic dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 31(12), pages 3889-3903, December.
- Mariano Matilla-García & Manuel Ruiz Marín & Mohammed Dore & Rina Ojeda, 2014. "Nonparametric correlation integral–based tests for linear and nonlinear stochastic processes," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(1), pages 181-193, April.
- Loretta Mastroeni & Pierluigi Vellucci, 2016. ""Butterfly Effect" vs Chaos in Energy Futures Markets," Papers 1610.05697, arXiv.org.
- Demos, Guilherme & Da Silva, Sergio & Matsushita, Raul, 2015. "Some Statistical Properties of the Mini Flash Crashes," MPRA Paper 65473, University Library of Munich, Germany.
- Vogl, Markus, 2022. "Controversy in financial chaos research and nonlinear dynamics: A short literature review," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
- Resende, Marcelo & Zeidan, Rodrigo M., 2008. "Expectations and chaotic dynamics: Empirical evidence on exchange rates," Economics Letters, Elsevier, vol. 99(1), pages 33-35, April.
- Bask, Miia & Bask, Mikael, 2010. "Inequality Generating Processes and Measurement of the Matthew Effect," Working Paper Series 2010:19, Uppsala University, Department of Economics.
- repec:zbw:bofrdp:2007_020 is not listed on IDEAS
- 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.
- Matilla-Garcia, Mariano & Ruiz Marin, Manuel, 2008. "A non-parametric independence test using permutation entropy," Journal of Econometrics, Elsevier, vol. 144(1), pages 139-155, May.
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