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On Nonlinear, Stochastic Dynamics in Economic and Financial Time Series
Schittenkopf, Christian; Dorffner, Georg; Dockner, … - In: Studies in Nonlinear Dynamics & Econometrics 4 (2000) 3
The search for deterministic chaos in economic and financial time series has attracted much interest over the past …
Persistent link: https://www.econbiz.de/10014620831
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On Nonlinear, Stochastic Dynamics in Economic and Financial Time Series
Schittenkopf, Christian; Dorffner, Georg; Dockner, Engelbert - In: Studies in Nonlinear Dynamics & Econometrics 4 (2000) 3, pp. 101-121
The search for deterministic chaos in economic and financial time series has attracted much interest over the past …
Persistent link: https://www.econbiz.de/10005459056
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A metric and topological analysis of determinism in the crude oil spot market
Barkoulas, John T.; Chakraborty, Atreya; Ouandlous, Arav - In: Energy economics 34 (2012) 2, pp. 584-591
Persistent link: https://www.econbiz.de/10009618680
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Testing for nonlinearity and chaos in economic time series with noise titration
Caraiani, Petre - In: Economics letters 120 (2013) 2, pp. 192-194
Persistent link: https://www.econbiz.de/10010127780
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Chaos and Fractal Impact on Economics
Díaz, Andrés Fernández - Facultad de Ciencias Económicas y Empresariales, … - 2015
chaos and the fractal geometry, we analyze the possibilities of application of these valuable tools to the different areas … areas: the existence of chaos in time series, and the eventual chaotic behaviour in the Capital Markets during the recent …
Persistent link: https://www.econbiz.de/10011273021
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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
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The algorithm of moving boxes to estimate Lyapunov exponents and the singularity spectrum
Oiwa, N.N.; Fiedler-Ferrara, N. - In: Physica A: Statistical Mechanics and its Applications 257 (1998) 1, pp. 460-464
The attractor in usual box-counting methods is partitioned with a fixed grid. We describe an algorithm whose boxes can move into the phase space and adapt to the geometry of the attractor. Lyapunov exponents and the singularity spectrum from time series are estimated using this algorithm.
Persistent link: https://www.econbiz.de/10010871710
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A Dynamic Factor Approach to Nonlinear Stability Analysis
Shintani, Mototsugu - Econometric Society - 2004
generate endogenous fluctuation or chaos …
Persistent link: https://www.econbiz.de/10005130249
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Assessing Chaos in Time Series: Statistical Aspects and Perspectives
Giannerini, Simone; Rosa, Rodolfo - In: Studies in Nonlinear Dynamics & Econometrics 8 (2004) 2, pp. 1215-1215
Chaos theory offers to time series analysis new perspectives as well as concepts and ideas that have a through … interval to the estimates of the MLCE. It is shown that in addition to answering the question of the presence of chaos, these …
Persistent link: https://www.econbiz.de/10005584868
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A Dynamic Factor Approach to Nonlinear Stability Analysis
Shintani, Mototsugu - Vanderbilt University Department of Economics - 2004
generate endogenous fluctuation or chaos. …
Persistent link: https://www.econbiz.de/10005595890