Chaos in German stock returns — New evidence from the 0–1 test

This paper applies the 0–1 test for chaos to returns from the German stock market, providing empirical evidence of chaotic structures in the returns of all DAX members. For noise reduction purposes, wavelet denoising is employed prior to the application of the 0–1 test.

MoreLess

Year of publication:	2012
Authors:	Webel, Karsten
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 115.2012, 3, p. 487-489
Publisher:	Elsevier
Subject:	0–1 test \| Chaos \| Stock returns \| Wavelet denoising

More details

Type of publication:	Article
Classification:	C01 - Econometrics ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041638