The detection of chaotic behaviors in commodities, stock markets and weather data is usually complicated by large noise perturbation inherent to the underlying system. It is well known, that predictions, from pure deterministic chaotic systems can be accurate mainly in the short term. Thus, it...

The detection of chaotic behaviors in commodities, stock markets and weather data is usually complicated by large noise perturbation inherent to the underlying system. It is well known, that predictions, from pure deterministic chaotic systems can be accurate mainly in the short term. Thus, it...

The possibility of confusing long memory behavior with structural changes need to specify what kind of long memory behavior is concerned in literature and applications. One attraction of long memory models is that they imply different long run predictions and effects of shocks to conventional...

This paper focuses on the use of dynamical chaotic systems in Economics and Finance. In these fields, researchers employ different methods from those taken by mathematicians and physicists. We discuss this point. Then, we present statistical tools and problems which are innovative and can be...

We propose a novel methodology for forecasting chaotic systems which is based on exploiting the information conveyed by the local Lyapunov ex- ponent of a system. We show how our methodology can improve forecast- ing within the attractor and illustrate our results on the Lorenz system.

In this paper, we compre the time fresuency deconvolution method with the wavelets method. We apply our results on several dynamical systems and show the capability of the wavelet's method to reconstruct the attractor of a chaotic time series? We de-noise different data sets in order to rebuilt...

In ESTAR models it is usually quite difficult to obtain parameter estimates, as it is discussed in the literature. The problem of properly distinguishing the transition function in relation to extreme parameter combinations often leads to getting strongly biased estimators. This paper proposes a...

A novel procedure to test for unit root in a nonlinear framework is proposed by first introducing a new model – the MT-STAR model – which has similar properties as the ESTAR model but reduces the effects of the identification problem and can also account for cases where the adjustment...