Narrow search
Showing 1 - 10 of 95
Cover Image
Nonlinearity in Exchange Rates and Forecasting
Moshiri, Saeed; Seifi, Forough - In: Iranian Economic Review 13 (2008) 1, pp. 83-105
and forecast. In this paper, a series of tests for nonlinearity and chaos in exchange rates is conducted using the daily … data on the market rates in Iran for the period 1991-2005. The tests for nonlinearity are BDS and ANN tests, and the tests … for chaos are autocorrelation and Lyapunov exponents. The tests results suggest that the exchange rates and their rates of …
Persistent link: https://www.econbiz.de/10010695806
Cover Image
Is there Chaos on the German Labor Market? / Ist der deutsche Arbeitsmarkt chaotisch?
Neugart, Michael - In: Jahrbücher für Nationalökonomie und Statistik 218 (1999) 5-6, pp. 658-673
test German labor market data for the null hypothesis of an i.i.d. process with the BDS test. As several processes … core to German labor market dynamics. Chaos does not occur.  … Arbeitsmarkt mit Hilfe des BDS Tests auf Nichtlinearitäten untersucht. Da der Nachweis deterministischer Nichtlinearitäten über den …
Persistent link: https://www.econbiz.de/10014608718
Cover Image
Asset price and wealth dynamics with heterogeneous expectations : a deterministic nonlinear structural model approach
Florian Heitger - 2010
Based on a classical financial market model different model variants known from the literature are discussed and analyzed, each focussing on modeling financial markets as a nonlinear dynamic system by introducing the formation of (heterogeneous) beliefs about future asset prices into the model...
Persistent link: https://www.econbiz.de/10009428980
Cover Image
The Good, the bad, and the ugly: an inquiry into the causes and nature of credit cycles
Matsuyama, Kiminori - 2004
This paper builds models of nonlinear dynamics in the aggregate investment and borrower net worth and uses them to study the causes and nature of endogenous credit cycles. The basic model has two types of projects: the Good and the Bad. The Bad is highly productive, but, unlike the Good, it...
Persistent link: https://www.econbiz.de/10010266314
Cover Image
The edge of chaos : financial booms, bubbles, crashes, and chaos
Cohen, Bernice - 1997
Persistent link: https://www.econbiz.de/10000596826
Cover Image
The forecast for precious metal indexes and precious metal ETFs : an artificial neural network analysis
Do Thi Van Trang - In: International journal of bonds and derivatives 1 (2015) 3, pp. 237-272
Persistent link: https://www.econbiz.de/10011434917
Cover Image
Dynamics of the Shapovalov mid-size firm model
Alexeeva, Tatyana A.; Barnett, William A.; Kuznecov, N. V. - 2020
Persistent link: https://www.econbiz.de/10012203234
Cover Image
Determinism in Financial Time Series
Small, Michael; Tse, Chi - In: Studies in Nonlinear Dynamics & Econometrics 7 (2003) 3, pp. 1134-1134
address two specific questions: "Masked by stochasticity, do financial data exhibit deterministic nonlinearity?", and "If so … fixings, and the USD-JPY exchange rate. For each data set we apply surrogate data methods and nonlinearity tests to quantify … linear noise or conditional heteroskedastic models and that there therefore exists detectable deterministic nonlinearity that …
Persistent link: https://www.econbiz.de/10005246284
Cover Image
The Good, The Bad, and The Ugly: An Inquiry into the Causes and Nature of Credit Cycles
Matsuyama, Kiminori - Center for Mathematical Studies in Economics and … - 2004
This paper builds models of nonlinear dynamics in the aggregate investment and borrower net worth and uses them to study the causes and nature of endogenous credit cycles. The basic model has two types of projects: the Good and the Bad. The Bad is highly productive, but, unlike the Good, it...
Persistent link: https://www.econbiz.de/10005252306
Cover Image
How Big is Big Enough? Justifying Results of the iid Test Based on the Correlation Integral in the Non-Normal World
Briatka, Lubos - Center for Economic Research and Graduate Education and … - 2006
Kocenda (2001) introduced the test for nonlinear dependencies in time series data based on the correlation integral. The idea of the test is to estimate the correlation dimension by integrating over a range of proximity parameter epsilon. However, there is an unexplored avenue if one wants to...
Persistent link: https://www.econbiz.de/10005086611