Search Results - subject:"Smooth Lyapunov Exponents"

Bask, Mikael - 2007

. Specifically, it is argued that the spectrum of smooth Lyapunov exponents can be utilized in what we call (??2)-analysis, which is …

Persistent link: https://www.econbiz.de/10012148009

Measuring potential market risk

Bask, Mikael - Suomen Pankki - 2007

. Specifically, it is argued that the spectrum of smooth Lyapunov exponents can be utilized in what we call (l, s2)-analysis, which …

Persistent link: https://www.econbiz.de/10005648975

The Stability and Volatility of Electricity Prices: An Illustration of (lambda, sigma-2) Analysis

Bask, Mikael; Widerberg, Anna - Nationalekonomiska institutionen, Handelshögskolan - 2007

The aim of this letter is to discuss and illustrate what we call (lambda, sigma-2)analysis, which is a method to distinguish between the stability of a stochastic dynamic system and the volatility of a variable generated by this system. It is also emphasized that this method is able to generate...

Persistent link: https://www.econbiz.de/10005651613

EMU and the Stability and Volatility of Foreign Exchange: Some Empirical Evidence

Bask, Mikael; de Luna, Xavier - Institutionen för Nationalekonomi, Umeå Universitet - 2001

shocks to these currencies. The stability measures are based on smooth Lyapunov exponents, while the volatility measures …

Persistent link: https://www.econbiz.de/10005652009