Search Results - subject:"Nonlinear dynamics"

A new bispectral test for nonlinear serial dependence

Rusticelli, Elena; Ashley, Richard A.; Dagum, Estela Bee; … - 2006

, Department of Eco- nomics, University of Wisconsin at Madison. [10] Brock, W. A., Hsieh, D. A. and LeBaron, B. (1991). Nonlinear … Dynamics, Chaos, and Instability: Statistical Theory and Economic Evidence. MIT Press, Reading, Ma. [11] David, H. A. (1970 …

Persistent link: https://www.econbiz.de/10003617229

Frequency dependence in regression model coefficients : an alternative approach for modeling nonlinear dynamic relationships in time series

Ashley, Richard A. (contributor); … - 2006

equivalent to otherwise– unmodeled nonlinear dynamics in the relationship. Indeed, this example sug- gests that the frequency … detecting and quantifying nonlinear serial dependence in a single time series. Yet surely it isobvious that the nonlinear … dynamics of greatest interest from an economics perspective are usually multivariate in nature. Consequently, a new framework …

Persistent link: https://www.econbiz.de/10003617238

The Markov-Switching Multifractal Model of asset returns : GMM estimation and linear forecasting of volatility

Lux, Thomas (contributor) - 2006

Multifractal processes have recently been proposed as a new formalism for modelling the time series of returns in finance. The major attraction of these processes is their ability to generate various degrees of long memory in different powers of returns - a feature that has been found in...

Persistent link: https://www.econbiz.de/10003392192

A weak bifurcation theory for discrete time stochastic dynamical systems

Diks, Cees G. H.; Wagener, Florian Oskar Ottokar - 2006

This article presents a bifurcation theory of smooth stochastic dynamical systems that are governed by everywhere positive transition densities. The local dependence structure of the unique strictly stationary evolution of such a system can be expressed by the ratio of joint and marginal...

Persistent link: https://www.econbiz.de/10011349208

Numerical study of the oscillatory convergence to the attractor at the edge of chaos

Tonelli, R.; Coraddu, M. - In: The European Physical Journal B - Condensed Matter and … 50 (2006) 1, pp. 355-359

This paper compares three different types of “onset of chaos” in the logistic and generalized logistic map: the Feigenbaum attractor at the end of the period doubling bifurcations; the tangent bifurcation at the border of the period three window; the transition to chaos in the generalized...

Persistent link: https://www.econbiz.de/10009280832

Innovation dynamism and economic growth : a nonlinear perspective

Hirooka, Masaaki - 2006

Persistent link: https://www.econbiz.de/10002645265

Chapter 23 Heterogeneous Agent Models in Economics and Finance

Hommes, Cars H. - In: Handbook of computational economics : volume 2, …, (pp. 1109-1186). 2006

This chapter surveys work on dynamic heterogeneous agent models (HAMs) in economics and finance. Emphasis is given to simple models that, at least to some extent, are tractable by analytic methods in combination with computational tools. Most of these models are behavioral models with boundedly...

Persistent link: https://www.econbiz.de/10014024382

Innovation dynamism and economic growth : a nonlinear perspective

Hirooka, Masaaki - 2006

industries -- pt. 3. Nonlinear dynamics of innovation and knowledge transfer -- pt. 4. New insight into the economics of …

Persistent link: https://www.econbiz.de/10011852033

Capital Inflows, Inflation, and the Exchange Rate Volatility- An Investigation for Linear and Nonlinear Causal Linkages

Rashid, Abdul; Husain, Fazal - In: The Pakistan Development Review 52 (2013) 3, pp. 183-206

This paper empirically examines the effect of foreign capital inflows on domestic price levels, monetary expansion, and the exchange rate volatility for Pakistan using linear and nonlinear causality tests. The key message emerging from the analysis is that there is a significant inflationary...

Persistent link: https://www.econbiz.de/10011186278

Modeling, nonlinear dynamical analysis of a novel power system with random wind power and it's control

Chen, Diyi; Liu, Si; Ma, Xiaoyi - In: Energy 53 (2013) C, pp. 139-146

The stability problem of power networks becomes increasingly important since the rapid development and broad application of wind energy technology. We continue to lack a well-established mathematical model to describe and characterize power systems associated with wind power in essence of random...

Persistent link: https://www.econbiz.de/10010807409