Testing for deterministic nonlinear dependence in the australian dollar-US dollar exchange rate series

Tests are made for (deterministic) chaos on weekly data (from 01/13/87 to 06/02/93) for the spot-month futures exchange rate between the Australian dollar and the U.S. dollar. The Nychka, Ellner, Gallant and McCaffrey nonparametric test for positivity of the maximum Lyapunov exponent is used and successful detection of chaos is claimed.

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Year of publication:	1996
Authors:	Serletis, Apostolos ; Dormaar, Paul
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 3.1996, 4, p. 267-269
Publisher:	Taylor & Francis Journals

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

Persistent link: https://www.econbiz.de/10009195858