Deterministic Chaos in Exchange Rates?

Can nominal exchange rates be characterised by deterministic chaos? To answer this question, a statistical framework utilising blockwise bootstrap was used to test for the presence of a positive Lyapunov exponent in a time series. In most cases, the null hypothesis of a non-positive Lyapunov exponent characterising the time series was rejected.

MoreLess

Year of publication:	1997-12-15
Authors:	Bask, Mikael
Institutions:	Institutionen för Nationalekonomi, Umeå Universitet
Subject:	Deterministic chaos \| Dynamical systems \| Exchange rates \| Moving blocks bootstrap

More details

Series:	Umeå Economic Studies.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Umeå Economic Studies Number 453 12 pages
Classification:	F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005652022