The aim of this paper is to illustrate how the stability of a stochastic dynamic system is measured using the Lyapunov exponents. Specifically, we use a feedforward neural network to estimate these exponents as well as asymptotic results for this estimator to test for unstable (chaotic)...

The aim of this article is to demonstrate how the change in actual and potential market risks in the Dow Jones Industrial Average (DJIA) during the 2-year period 2007 to 2008 can be analysed with the help of (<italic>λ</italic>, <italic>σ</italic> -super-2)-analysis. In the empirical analysis, the average of the Lyapunov...

By using a novel approach in this paper, ([lambda],[sigma]2)-analysis, we have found that electricity prices most of the time have increased in stability and decreased in volatility when the Nordic power market has expanded and the degree of competition has increased. That electricity prices at...

This paper uses U.S. monthly industrial production employment data between 1964 and 2000 to examine the dynamic labor adjustments of production workers and nonproduction workers in both the short and long-run. The results from the short-run analysis show that the dynamic adjustment of production...

In this paper we investigate the out-of-sample forecasting ability of feedforward and recurrent neural networks based on empirical foreign exchange rate data. A two-step procedure is proposed to construct suitable networks, in which networks are selected based on the predictive stochastic...

This article examines the growth attributes of manufacturing industries in China for the sample period of 1999–2007. The output growth of manufacturing industries classified under four groups and four regions is decomposed into four components of input growth, scale effect, technical progress,...