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Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis

Citations

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Cited by:

  1. Djogbenou, Antoine & Inan, Emre & Jasiak, Joann, 2023. "Time-varying coefficient DAR model and stability measures for stablecoin prices: An application to Tether," Journal of International Money and Finance, Elsevier, vol. 139(C).
  2. 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.
  3. Bask, Mikael & Liu, Tung & Widerberg, Anna, 2007. "The stability of electricity prices: Estimation and inference of the Lyapunov exponents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 565-572.
  4. Bask, Miia & Bask, Mikael, 2014. "Social influence and the Matthew mechanism: The case of an artificial cultural market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 412(C), pages 113-119.
  5. Yao, Can-Zhong & Lin, Qing-Wen, 2017. "Recurrence plots analysis of the CNY exchange markets based on phase space reconstruction," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 584-596.
  6. Bask, Mikael, 2010. "Measuring potential market risk," Journal of Financial Stability, Elsevier, vol. 6(3), pages 180-186, September.
  7. 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.
  8. Arifovic, Jasmina & Gençay, Ramazan, 2001. "Using genetic algorithms to select architecture of a feedforward artificial neural network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(3), pages 574-594.
  9. Alexeeva, Tatyana A. & Kuznetsov, Nikolay V. & Mokaev, Timur N., 2021. "Study of irregular dynamics in an economic model: attractor localization and Lyapunov exponents," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
  10. 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.
  11. Shintani, Mototsugu, 2008. "A dynamic factor approach to nonlinear stability analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2788-2808, September.
  12. Simón Sosvilla-Rivero & Fernando Fernández-Rodriguez & Julián Andrada-Félix, 2005. "Testing chaotic dynamics via Lyapunov exponents," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 911-930.
  13. 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.
  14. Sandubete, Julio E. & Escot, Lorenzo, 2020. "Chaotic signals inside some tick-by-tick financial time series," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
  15. 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.
  16. 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.
  17. Shintani, Mototsugu & Linton, Oliver, 2004. "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," Journal of Econometrics, Elsevier, vol. 120(1), pages 1-33, May.
  18. Arifovic, Jasmina & Gencay, Ramazan, 2000. "Statistical properties of genetic learning in a model of exchange rate," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 981-1005, June.
  19. repec:zbw:bofrdp:2006_009 is not listed on IDEAS
  20. 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.
  21. Raphael Markellos & Costas Siriopoulos, 1997. "Diversification benefits in the smaller European stock markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 3(2), pages 142-153, May.
  22. Bask, Mikael & de Luna, Xavier, 2005. "EMU and the stability and volatility of foreign exchange: Some empirical evidence," Chaos, Solitons & Fractals, Elsevier, vol. 25(3), pages 737-750.
  23. Gencer, Murat & Unal, Gazanfer, 2016. "Testing Non-Linear Dynamics, Long Memory and Chaotic Behaviour of Energy Commodities," MPRA Paper 74115, University Library of Munich, Germany.
  24. Mikael Bask & Anna Widerberg, 2012. "Actual and potential market risks during the stock market turmoil 2007--2008," Applied Financial Economics, Taylor & Francis Journals, vol. 22(5), pages 339-349, March.
  25. repec:zbw:bofrdp:2007_020 is not listed on IDEAS
  26. Bask, Mikael & Liu, Tung & Widerberg, Anna, 2007. "The stability of electricity prices: Estimation and inference of the Lyapunov exponents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 565-572.
  27. Haim H. Bau & Yochanan Shachmurove, 2002. "Chaos Theory And Its Application," Penn CARESS Working Papers 6a7863cdd8e575c9e635b060c, Penn Economics Department.
  28. Bask, Mikael, 2010. "Measuring potential market risk," Journal of Financial Stability, Elsevier, vol. 6(3), pages 180-186, September.
  29. Anagnostidis, Panagiotis & Emmanouilides, Christos J., 2015. "Nonlinearity in high-frequency stock returns: Evidence from the Athens Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 473-487.
  30. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, "undated". "A New Test for Chaotic Dynamics Using Lyapunov Exponents," Working Papers 2003-09, FEDEA.
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