Application of bootstrap to detecting chaos in financial time series

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.

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Year of publication:	2004
Authors:	Brzozowska-Rup, Katarzyna ; Orłowski, Arkadiusz
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 344.2004, 1, p. 317-321
Publisher:	Elsevier
Subject:	Financial time series \| Chaos \| Lyapunov exponent \| Bootstrap

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011064026