This paper employs Rescaled-range analysis; the Correlation Dimension test, and the BDS test, to analyze lengthy daily time series of financial data. Two equity and two commodity indices are examined. The results reject the hypothesis that the series are purely random, independent and...

This study employs Rescaled-range analysis; the Correlation Dimension test, and the BDS test, to analyse lengthy daily time series of financial data. Two equity and two commodity indices are examined. The results reject the hypothesis that the series are purely random, independent and...