In this paper, we further analyse the rich dynamic properties of the noisy chaotic model developed by Kyrtsou (International Journal of Bifurcation and Chaos, 2005) considering homoskedastic errors, in the aim to derive information about possible linkages between noisy chaotic dynamics and ARCH...

In this work we employ the Recurrence Quantification Analysis (RQA) framework, effective in discovering evidence of non-linear determinism and complex dynamics in short, noisy and irregular signals. We apply RQA to a set of US macroeconomic time series and simulated sequences in order to provide...

In this paper, we discuss a number of univariate tests for independence and hidden nonlinear deterministic structure, and apply these tests to the Canadian exchange rate, using daily data over a 30-year period from January 2, 1973 to February 14, 2003