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A Generalized Fast Algorithm for BDS-Type Statistics
Mayer-Foulkes, David - In: Studies in Nonlinear Dynamics & Econometrics 4 (2007) 1, pp. 45-50
's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram …
Persistent link: https://www.econbiz.de/10004966222
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A Fast Algorithm for the BDS Statistic
LeBaron, Blake - In: Studies in Nonlinear Dynamics & Econometrics 2 (1997) 2, pp. 53-59
The BDS statistic has proved to be one of several useful nonlinear diagnostics. It has been shown to have good power …, extensive Monte Carlo results have proved it useful in relatively small samples. However, the BDS test is not trivial to … short paper presents a fast algorithm for the BDS statistic, and outlines how these speed improvements are achieved. Source …
Persistent link: https://www.econbiz.de/10005751410
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A Generalized Fast Algorithm for BDS-Type Statistics
Mayer-Foulkes, David - In: Studies in Nonlinear Dynamics & Econometrics 4 (2000) 1, pp. 45-50
's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram …
Persistent link: https://www.econbiz.de/10005584891
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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
Recently, a new test for nonlinearity and chaos was proposed, the noise titration technique. I discuss in this paper … assessments exist, both simulated and real data. Compared to other tests for nonlinearity and chaos I find that this approach …
Persistent link: https://www.econbiz.de/10010678806
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Etude de la dynamique non-linéaire des rentabilités de la bourse de Casablanca
RIANE, Nizare - Volkswirtschaftliche Fakultät, … - 2014
The preponderance of the linear approach in the stock market modeling is the result of the Frisch-Slutsky paradigm which implies that the market can only converge to an equilibrium point or diverge, according to a monotonic or oscillatory trajectory. Moreover, this description of reality is...
Persistent link: https://www.econbiz.de/10011156979
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Nonlinearity in investment grade Credit Default Swap (CDS) Indices of US and Europe: Evidence from BDS and close-returns tests
Madhavan, Vinodh - In: Global Finance Journal 24 (2013) 3, pp. 266-279
This paper is aimed at testing for nonlinearity and chaos in Investment Grade CDS indices of US and Europe. For this … exercise, the author has chosen the two most liquid indices, namely CDX.NA.IG (US) and iTraxx.Europe (Europe). BDS test (Brock …, Dechert, & Scheinkman, 1987) is employed to test for prevalence of nonlinearity in the US and European datasets. The author …
Persistent link: https://www.econbiz.de/10010729326
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A Time Series Analysis of U.K. Construction and Real Estate Indices
Belaire-Franch, Jorge; Opong, Kwaku - In: The Journal of Real Estate Finance and Economics 46 (2013) 3, pp. 516-542
chaos for the returns series. Further tests show that the source of nonlinearity is rather different. Hence, the … deviate from the null hypothesis of white noise. Moreover, we have found evidence of nonlinearity but strong evidence against …
Persistent link: https://www.econbiz.de/10010866953
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Investigating the nature of nonlinearity in Indian Exchange Traded Funds (ETFs)
Madhavan, Vinodh - In: Managerial Finance 40 (2014), pp. 395-415
to capturing all of the nonlinearity in Indian ETFs; and third, to test for chaos in Indian ETFs. Design … nonlinearity in all the ETFs was systematically investigated by subjecting the ETF data sets to a metric (BDS test) and a … employed to test for chaos in Indian ETFs. Findings -Test outcomes pertaining to a battery of nonlinearity tests indicate …
Persistent link: https://www.econbiz.de/10010814875
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Nonlinearity in high-frequency stock returns: Evidence from the Athens Stock Exchange
Anagnostidis, Panagiotis; Emmanouilides, Christos J. - In: Physica A: Statistical Mechanics and its Applications 421 (2015) C, pp. 473-487
higher-order stochastic nonlinearity. Rather, it is reminiscent of a random process. We conclude that the ACSPI data are … nonlinear; however, nonlinearity is attributed to persistent ARCH effects. …
Persistent link: https://www.econbiz.de/10011194068
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Dynamic analysis of heartbeat rate signals of epileptics using multidimensional phase space reconstruction approach
Su, Zhi-Yuan; Wu, Tzuyin; Yang, Po-Hua; Wang, Yeng-Tseng - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 10, pp. 2293-2305
The heartbeat rate signal provides an invaluable means of assessing the sympathetic–parasympathetic balance of the human autonomic nervous system and thus represents an ideal diagnostic mechanism for detecting a variety of disorders such as epilepsy, cardiac disease and so forth. The current...
Persistent link: https://www.econbiz.de/10010589476