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“Chaos” in futures markets? A nonlinear dynamical analysis
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Cited by:
- 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.
- Karapanagiotidis, Paul, 2013. "Empirical evidence for nonlinearity and irreversibility of commodity futures prices," MPRA Paper 56801, University Library of Munich, Germany.
- Piotr Fiszeder & Witold Orzeszko, 2012. "Nonparametric Verification of GARCH-Class Models for Selected Polish Exchange Rates and Stock Indices," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(5), pages 430-449, November.
- Mishra, Ritesh Kumar & Sehgal, Sanjay & Bhanumurthy, N.R., 2011.
"A search for long-range dependence and chaotic structure in Indian stock market,"
Review of Financial Economics, Elsevier, vol. 20(2), pages 96-104, May.
- Ritesh Kumar Mishra & Sanjay Sehgal & N.R. Bhanumurthy, 2011. "A search for long‐range dependence and chaotic structure in Indian stock market," Review of Financial Economics, John Wiley & Sons, vol. 20(2), pages 96-104, May.
- Karapanagiotidis, Paul, 2014. "Dynamic modeling of commodity futures prices," MPRA Paper 56805, University Library of Munich, Germany.
- Ignacio Olmeda & Joaquin Pérez, 1995. "Non-linear dynamics and chaos in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 19(2), pages 217-248, May.
- Blake LeBaron, 1994. "Chaos and Nonlinear Forecastability in Economics and Finance," Finance 9411001, University Library of Munich, Germany.
- 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.
- 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.
- Graham Newell & Maurice Peat & Max Stevenson, 1996. "Testing for Evidence of Nonlinear Structure in Australian Real Estate Market Returns," Working Paper Series 61, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- 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.
- 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.
- Marisa Faggini & Bruna Bruno & Anna Parziale, 2019. "Does Chaos Matter in Financial Time Series Analysis?," International Journal of Economics and Financial Issues, Econjournals, vol. 9(4), pages 18-24.
- Rosser, J. Jr. & Ahmed, Ehsan & Hartmann, Georg C., 2003. "Volatility via social flaring," Journal of Economic Behavior & Organization, Elsevier, vol. 50(1), pages 77-87, January.
- Tapia Cortez, Carlos A. & Hitch, Michael & Sammut, Claude & Coulton, Jeff & Shishko, Robert & Saydam, Serkan, 2018. "Determining the embedding parameters governing long-term dynamics of copper prices," Chaos, Solitons & Fractals, Elsevier, vol. 111(C), pages 186-197.
- John Francis Diaz & Jo-Hui Chen, 2017. "Testing for Long-memory and Chaos in the Returns of Currency Exchange-traded Notes (ETNs)," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(4), pages 1-2.
- Chatrath, Arjun & Adrangi, Bahram & Dhanda, Kanwalroop Kathy, 2002. "Are commodity prices chaotic?," Agricultural Economics, Blackwell, vol. 27(2), pages 123-137, August.
- Panas, Epaminondas & Ninni, Vassilia, 2000. "Are oil markets chaotic? A non-linear dynamic analysis," Energy Economics, Elsevier, vol. 22(5), pages 549-568, October.
- Costas Siriopoulos & Alexandros Leontitsis, 2002. "Nonlinear Noise Estimation in International Capital Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(1), pages 43-63, March.
- Anning Wei & Raymond M. Leuthold, 1998. "Long Agricultural Futures Prices: ARCH, Long Memory, or Chaos Processes?," Finance 9805001, University Library of Munich, Germany.
- Ali Moeini & Mehdi Ahrari & Saeed Sadat Madarshahi3, 2007. "Investigating Chaos in Tehran Stock Exchange Index," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 12(1), pages 103-120, winter.
- C. A. Tapia Cortez & J. Coulton & C. Sammut & S. Saydam, 2018. "Determining the chaotic behaviour of copper prices in the long-term using annual price data," Palgrave Communications, Palgrave Macmillan, vol. 4(1), pages 1-13, December.
- 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.
- Barrett, Christopher B. & Li, Jau-Rong & Thilmany, Dawn D., 1997. "The Fallacy of Nearby Contract Commodity Futures Price Analysis: Intramarket Futures Contracts are not Identically Distributed," 1997 Annual Meeting, July 13-16, 1997, Reno\ Sparks, Nevada 35873, Western Agricultural Economics Association.
- Barkoulas, John T. & Chakraborty, Atreya & Ouandlous, Arav, 2012. "A metric and topological analysis of determinism in the crude oil spot market," Energy Economics, Elsevier, vol. 34(2), pages 584-591.
- Li, Xiaoliang & Li, Bo & Liu, Li, 2023. "Stability and dynamic behaviors of a limited monopoly with a gradient adjustment mechanism," Chaos, Solitons & Fractals, Elsevier, vol. 168(C).