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Distinguishing random and deterministic systems: Abridged version

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Cited by:

  1. Kevin J. Dooley & Andrew H. Van de Ven, 1999. "Explaining Complex Organizational Dynamics," Organization Science, INFORMS, vol. 10(3), pages 358-372, June.
  2. Bunyamin Demir & Nesrin Alptekin & Yilmaz Kilicaslan & Mehmet Ergen & Nilgun Caglairmak Uslu, 2015. "Forecasting Agricultural Production: A Chaotic Dynamic Approach," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 1(1), pages 65-80, June.
  3. Paul Brockman & Mustafa Chowdhury, 1997. "Deterministic versus stochastic volatility: implications for option pricing models," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 499-505.
  4. 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.
  5. Luís Aguiar-Conraria, 2003. "The adequacy of the traditional Econometric approach to non-linear Cycles," Notas Económicas, Faculty of Economics, University of Coimbra, issue 17, pages 70-83, June.
  6. Stavros Degiannakis & Evdokia Xekalaki, 2007. "Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 149-171.
  7. Christian Haxholdt & Erik R. Larsen & Ann van Ackere, 2003. "Mode Locking and Chaos in a Deterministic Queueing Model with Feedback," Management Science, INFORMS, vol. 49(6), pages 816-830, June.
  8. Whang, Yoon-Jae & Linton, Oliver, 1999. "The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series," Journal of Econometrics, Elsevier, vol. 91(1), pages 1-42, July.
  9. Takala, Kari & Virén, Matti, 1995. "Testing nonlinear dynamics, long memory and chaotic behaviour with macroeconomic data," Bank of Finland Research Discussion Papers 9/1995, Bank of Finland.
  10. Catherine Araujo Bonjean, 1998. "Les marchés mondiaux des produits agricoles sont-ils efficients ?," Économie rurale, Programme National Persée, vol. 243(1), pages 8-15.
  11. Steven R. Cunningham, 1993. "Unit Root Testing: A Critique From Chaos Theory," Review of Financial Economics, John Wiley & Sons, vol. 3(1), pages 1-18, September.
  12. Takala, Kari & Virén, Matti, 1993. "Testing nonlinearities with Finnish historical time series," Research Discussion Papers 15/1993, Bank of Finland.
  13. Mahajan, Arvind & Wagner, Andrew J., 1999. "Nonlinear dynamics in foreign exchange rates," Global Finance Journal, Elsevier, vol. 10(1), pages 1-23.
  14. Mizrach Bruce, 2005. "A Video Interview of Buz Brock," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(1), pages 1-5, March.
  15. H K K Tung & M C S Wong, 2009. "Financial risk forecasting with nonlinear dynamics and support vector regression," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 60(5), pages 685-695, May.
  16. Aura Reggiani & Thomas de Graaff & Peter Nijkamp, 2001. "Resilience: An Evolutionary Approach to Spatial Economic Systems," Tinbergen Institute Discussion Papers 01-100/3, Tinbergen Institute.
  17. Szpiro, George G., 1997. "Noise in unspecified, non-linear time series," Journal of Econometrics, Elsevier, vol. 78(2), pages 229-255, June.
  18. Dhifaoui, Zouhaier & Kortas, Hedi & Ammou, Samir Ben, 2009. "Multiscale Lyapunov exponent for 2-microlocal functions," Chaos, Solitons & Fractals, Elsevier, vol. 42(5), pages 2675-2687.
  19. Frédéric Lordon, 1995. "Cycles et chaos dans un modèle hétérodoxe de croissance endogène," Revue Économique, Programme National Persée, vol. 46(6), pages 1405-1432.
  20. Dominique, C-Rene, 2009. "Could Markets' Equilibrium Sets Be Fractal Attractors?," MPRA Paper 13624, University Library of Munich, Germany.
  21. 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.
  22. Takala, Kari & Virén, Matti, 1995. "Testing nonlinear dynamics, long memory and chaotic behaviour with macroeconomic data," Research Discussion Papers 9/1995, Bank of Finland.
  23. 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.
  24. Takala, Kari & Virén, Matti, 1993. "Testing nonlinearities with Finnish historical time series," Bank of Finland Research Discussion Papers 15/1993, Bank of Finland.
  25. Mayer-Foulkes David, 2000. "A Generalized Fast Algorithm for BDS-Type Statistics," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 4(1), pages 1-7, April.
  26. Elena Olmedo & Ricardo Gimeno & Lorenzo Escot & Ruth Mateos, 2007. "Convergencia y Estabilidad de los Tipos de Cambio Europeos: Una Aplicación de Exponentes de Lyapunov," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 44(129), pages 91-108.
  27. Bonache, Adrien, 2008. "Les ventes de produits innovants à la mode sont-elles chaotiques? Le cas des ventes de Game Boy au Japon [Are innovative and fashion goods sales chaotic? The case of Game Boy sales in Japan]," MPRA Paper 12964, University Library of Munich, Germany.
  28. repec:zbw:bofrdp:1995_009 is not listed on IDEAS
  29. Evzen Kocenda, 2001. "An Alternative To The Bds Test: Integration Across The Correlation Integral," Econometric Reviews, Taylor & Francis Journals, vol. 20(3), pages 337-351.
  30. Mototsugu Shintani & Oliver Linton, 2003. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(1), pages 331-357, February.
  31. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
  32. Luis A. Aguirre & Antonio Aguirre, 1997. "A tutorial introduction to nonlinear dynamics in economics," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 7(2), pages 9-47.
  33. Ayan Bhattacharya & Rudra Sensarma, 2013. "Non-linearities in Emerging Financial Markets: Evidence from India," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 165-175, July.
  34. Schittenkopf Christian & Dorffner Georg & Dockner Engelbert J., 2000. "On Nonlinear, Stochastic Dynamics in Economic and Financial Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 4(3), pages 1-23, October.
  35. Kampouridis, Michael & Chen, Shu-Heng & Tsang, Edward, 2012. "Market fraction hypothesis: A proposed test," International Review of Financial Analysis, Elsevier, vol. 23(C), pages 41-54.
  36. Orzeszko, Witold, 2008. "The new method of measuring the effects of noise reduction in chaotic data," Chaos, Solitons & Fractals, Elsevier, vol. 38(5), pages 1355-1368.
  37. Marisa Faggini, 2011. "Chaotic Time Series Analysis in Economics: Balance and Perspectives," Working papers 25, Former Department of Economics and Public Finance "G. Prato", University of Torino.
  38. Mayer-Foulkes, David, 1995. "A statistical correlation dimension," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 277-293, September.
  39. Oliver Moritz, 2001. "Is the German Stock Market Chaotic ? Some NEGM- and BDS-test results for the DAX," CeNDEF Workshop Papers, January 2001 3A.2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  40. Hommes, Cars H., 1995. "A reconsideration of Hicks' non-linear trade cycle model," Structural Change and Economic Dynamics, Elsevier, vol. 6(4), pages 435-459, December.
  41. Panas, E., 2001. "Long memory and chaotic models of prices on the London Metal Exchange," Resources Policy, Elsevier, vol. 27(4), pages 235-246, December.
  42. repec:dau:papers:123456789/3188 is not listed on IDEAS
  43. Marco Pangallo, 2020. "Synchronization of endogenous business cycles," Papers 2002.06555, arXiv.org, revised Sep 2024.
  44. Adrangi, Bahram & Chatrath, Arjun & Dhanda, Kanwalroop Kathy & Raffiee, Kambiz, 2001. "Chaos in oil prices? Evidence from futures markets," Energy Economics, Elsevier, vol. 23(4), pages 405-425, July.
  45. Nasir M. Khilji, 1994. "Nonlinear Dynamics and Chaos: Application to Financial Markets in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 33(4), pages 1417-1429.
  46. Akhmet, Marat & Akhmetova, Zhanar & Fen, Mehmet Onur, 2014. "Chaos in economic models with exogenous shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 106(C), pages 95-108.
  47. Marco Pangallo, 2023. "Synchronization of endogenous business cycles," LEM Papers Series 2023/01, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  48. Barkoulas, John T., 2008. "Testing for deterministic monetary chaos: Metric and topological diagnostics," Chaos, Solitons & Fractals, Elsevier, vol. 38(4), pages 1013-1024.
  49. Brock, W.A. & Hommes, C.H., 1997. "Models of Compelxity in Economics and Finance," Working papers 9706, Wisconsin Madison - Social Systems.
  50. Takala, Kari & Viren, Matti, 1996. "Chaos and nonlinear dynamics in financial and nonfinancial time series: Evidence from Finland," European Journal of Operational Research, Elsevier, vol. 93(1), pages 155-172, August.
  51. G. Caginalp & D. Balenovich, 1994. "Market oscillations induced by the competition between value-based and trend-based investment strategies," Applied Mathematical Finance, Taylor & Francis Journals, vol. 1(2), pages 129-164.
  52. repec:zbw:bofrdp:1993_015 is not listed on IDEAS
  53. Tancrède Voituriez, 1998. "Dynamique non linéaire du marché mondial des huiles et des graisses," Économie rurale, Programme National Persée, vol. 243(1), pages 22-29.
  54. Czamanski, Daniel & Dormaar, Paul & Hinich, Melvin J. & Serletis, Apostolos, 2007. "Episodic nonlinearity and nonstationarity in Alberta's power and natural gas markets," Energy Economics, Elsevier, vol. 29(1), pages 94-104, January.
  55. Dechert,W.D., 2005. "The correlation integral and the independence of stochastic processes," Working papers 17, Wisconsin Madison - Social Systems.
  56. Ohashi, Alberto Masayoshi F ., 2001. "Instability and chaotic dynamics in stock returns," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 21(2), November.
  57. Olmedo, Elena, 2011. "Is there chaos in the Spanish labour market?," Chaos, Solitons & Fractals, Elsevier, vol. 44(12), pages 1045-1053.
  58. Arjun Chatrath & Bahram Adrangi & Todd Shank, 2001. "Nonlinear Dependence in Gold and Silver Futures: Is it Chaos?," The American Economist, Sage Publications, vol. 45(2), pages 25-32, October.
  59. Halkos, George & Tsilika, Kyriaki, 2014. "Nonlinear time series analysis of annual temperatures concerning the global Earth climate," MPRA Paper 59140, University Library of Munich, Germany.
  60. Chaudhry, Muhammad Imran & Miranda, Mario J., 2018. "Complex price dynamics in vertically linked cobweb markets," Economic Modelling, Elsevier, vol. 72(C), pages 363-378.
  61. Xu, Fei & Lai, Yongzeng & Shu, Xiao-Bao, 2018. "Chaos in integer order and fractional order financial systems and their synchronization," Chaos, Solitons & Fractals, Elsevier, vol. 117(C), pages 125-136.
  62. Larsen, Erik R. & Morecroft, John D. W. & Thomsen, Jesper S., 1999. "Complex behaviour in a production-distribution model," European Journal of Operational Research, Elsevier, vol. 119(1), pages 61-74, November.
  63. Chatrath, Arjun & Adrangi, Bahram & Dhanda, Kanwalroop Kathy, 2002. "Are commodity prices chaotic?," Agricultural Economics, Blackwell, vol. 27(2), pages 123-137, August.
  64. Panas, Epaminondas & Ninni, Vassilia, 2000. "Are oil markets chaotic? A non-linear dynamic analysis," Energy Economics, Elsevier, vol. 22(5), pages 549-568, October.
  65. Mills, Terence C., 1995. "Business cycle asymmetries and non-linearities in U.K. macroeconomic time series," Ricerche Economiche, Elsevier, vol. 49(2), pages 97-124, June.
  66. Anning Wei & Raymond M. Leuthold, 1998. "Long Agricultural Futures Prices: ARCH, Long Memory, or Chaos Processes?," Finance 9805001, University Library of Munich, Germany.
  67. Cecen, A. Aydin & Erkal, Cahit, 1996. "Distinguishing between stochastic and deterministic behavior in high frequency foreign exchange rate returns: Can non-linear dynamics help forecasting?," International Journal of Forecasting, Elsevier, vol. 12(4), pages 465-473, December.
  68. McKenzie, Michael D., 2001. "Chaotic behavior in national stock market indices: New evidence from the close returns test," Global Finance Journal, Elsevier, vol. 12(1), pages 35-53.
  69. L. Ingber, 1993. "Statistical mechanics of combat and extensions," Lester Ingber Papers 93ce, Lester Ingber.
  70. Jin, Hyun Joung & Frechette, Darren L., 2002. "Fractal Geometry In Agricultural Cash Price Dynamics," 2002 Annual meeting, July 28-31, Long Beach, CA 19696, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  71. D. P. O'Brien, 1992. "Economists and Data," British Journal of Industrial Relations, London School of Economics, vol. 30(2), pages 253-285, June.
  72. Yankou Diasso, 2014. "Dynamique du prix international du coton : aléas, aversion au risque et chaos," Recherches économiques de Louvain, De Boeck Université, vol. 80(4), pages 53-86.
  73. Chaudhry, Muhammad Imran & Katchova, Ani & Miranda, Mario Javier, 2016. "Examining pricing mechanics in the poultry value chain - empirical evidence from Pakistan," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235953, Agricultural and Applied Economics Association.
  74. Thomas de Graaff & Raymond J.G.M. Florax & Peter Nijkamp & Aura Reggiani, 1998. "Diagnostic Tools for Nonlinearity in Spatial Models," Tinbergen Institute Discussion Papers 98-072/3, Tinbergen Institute.
  75. Baek, Khung G. & Brock, William A., 1989. "A Nonparametric Test For Independence Of A Multivariate Time Series," ISU General Staff Papers 198912010800001205, Iowa State University, Department of Economics.
  76. Gilmore, Claire G., 2001. "An examination of nonlinear dependence in exchange rates, using recent methods from chaos theory," Global Finance Journal, Elsevier, vol. 12(1), pages 139-151.
  77. Brooks, Chris & Hinich, Melvin J., 1999. "Cross-correlations and cross-bicorrelations in Sterling exchange rates," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 385-404, October.
  78. Nijkamp, Peter & Reggiani, Aura, 1995. "Non-linear evolution of dynamic spatial systems. The relevance of chaos and ecologically-based models," Regional Science and Urban Economics, Elsevier, vol. 25(2), pages 183-210, April.
  79. John Barkoulas & Christopher F. Baum & Atreya Chakraborty, 1996. "Nearest-Neighbor Forecasts of U.S. Interest Rates," Boston College Working Papers in Economics 313., Boston College Department of Economics, revised 01 Apr 2003.
  80. Isabelle Girerd-Potin & Ollivier Taramasco, 1994. "Les rentabilités à la bourse de Paris sont-elles chaotiques ?," Revue Économique, Programme National Persée, vol. 45(2), pages 215-238.
  81. Albu, Lucian-Liviu, 2006. "Non-linear models: applications in economics," MPRA Paper 3100, University Library of Munich, Germany.
  82. Sella Lisa, 2008. "Old and New Spectral Techniques for Economic Time Series," Department of Economics and Statistics Cognetti de Martiis. Working Papers 200809, University of Turin.
  83. Samet G nay, 2015. "Chaotic Structure of the BRIC Countries and Turkey's Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 515-522.
  84. Michele Boldrin, 1988. "Paths of Optimal Accumulation in Two-Sector Models," UCLA Economics Working Papers 464, UCLA Department of Economics.
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