Using the Correlation Dimension to Detect non-linear dynamics

The standardised residuals from GARCH models fitted to three stock indices of the Athens Stock Exchange are examined for evidence of chaotic behaviour. In each case the correlation dimension is calculated for a range of embedding dimensions. The results do not support the hypothesis of chaotic behaviour; it appears that each set of residuals is iid.

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Year of publication:	2004-11
Authors:	Panagiotidis, Theodore ; Chappell, David
Institutions:	School of Business and Economics, Loughborough University
Subject:	Non-linear Dynamics \| Stock Indices \| Chaos \| Correlation Dimension

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Series:	Discussion Paper Series.
Type of publication:	Book / Working Paper
Classification:	C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005570236