Consistent estimation to determine the embedding dimension in financial data; with an application to the dollar/deutschmark exchange rate

To detect chaos on observational data, we first need to know the embedding dimension. We propose a consistent approach to estimate this dimension using the theoretical work of Bosq and Guegan (1994) and we apply the results to real financial data.

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Year of publication:	1997
Authors:	Guegan, Dominique ; Leorat, Guillaume
Published in:	The European Journal of Finance. - Taylor & Francis Journals, ISSN 1351-847X. - Vol. 3.1997, 3, p. 231-242
Publisher:	Taylor & Francis Journals
Keywords:	Dimension Of Correlation Dynamical Systems Embedding Dimension Kernel Estimates Lyapunov Exponents Non-PARAMETRIC Estimation

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005471936