Search Results - subject:"Nonlinear dynamics"

Statistical properties of a heterogeneous asset price model with time-varying second moment

Chiarella, Carl; He, Xue-zhong; Wang, Duo - 2004

Persistent link: https://www.econbiz.de/10002554408

Stock price clustering and discreteness : the "compass rose" and complex dynamics

Vorlow, Costantinos E. (contributor) - 2004

randomization scheme used in the detection of nonlinear dynamics [48], both the compass rose and phase plot patterns disappear [53 … Economic Chaos: A Challenge to Econometric Practice and Nonlinear Tests’. In: R. H. Day and P. Chen (eds.): Nonlinear dynamics … nonlinear dynamics, Textbooks in mathematical sciences. New York: Springer-Verlag. [30] Koppl, R. and C. Nardone: 2001, ‘The …

Persistent link: https://www.econbiz.de/10002723360

The Markov-switching multi-fractal model of asset returns : GMM estimation and linear forecasting of volatility

Lux, Thomas (contributor) - 2004 - [Elektronische Ressource],rev

Multi-fractal 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/10002468813

The good, the bad, and the ugly : an inquiry into the causes and nature of credit cycles

Matsuyama, Kiminori - 2004

Persistent link: https://www.econbiz.de/10002469485

Estimating Nonlinear Dynamic Equilibrium Economies : A Likelihood Approach

Fernández-Villaverde, Jesús; Rubio-Ramírez, Juan … - 2004

This paper presents a framework to undertake likelihood-based inference in nonlinear dynamic equilibrium economies. We develop a Sequential Monte Carlo algorithm that delivers an estimate of the likelihood function of the model using simulation methods. This likelihood can be used for parameter...

Persistent link: https://www.econbiz.de/10014073894

Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos

Shintani, Mototsugu; Linton, Oliver - London School of Economics (LSE) - 2003

This paper derives the asymptotic distribution of the nonparametric neural network estimator of the Lyapunov exponent in a noisy system. Positivity of the Lyapunov exponent is an operational definition of chaos. We introduce a statistical framework for testing the chaotic hypothesis based on the...

Persistent link: https://www.econbiz.de/10010746476