Narrow search
Showing 1 - 10 of 707
Cover Image
A Fast Algorithm for the BDS Statistic
LeBaron, Blake - In: Studies in Nonlinear Dynamics & Econometrics 2 (1997) 2
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/10014620800
Cover Image
A Generalized Fast Algorithm for BDS-Type Statistics
Mayer-Foulkes, David - In: Studies in Nonlinear Dynamics & Econometrics 4 (2000) 1
'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/10014620826
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Nonparametric correlation integral–based tests for linear and nonlinear stochastic processes
Matilla-García, Mariano; Marín, Manuel Ruiz; Dore, … - In: Decisions in Economics and Finance 37 (2014) 1, pp. 181-193
The BDS test is the best-known correlation integral–based test, and it is now an important part of most standard … correctly sized estimation of the BDS statistic. Department of Economics, Oxford University, Oxford, <CitationRef CitationID …>. In practice, researchers usually compute the BDS statistic for different values of <InlineEquation ID="IEq4 …
Persistent link: https://www.econbiz.de/10010993494
Cover Image
Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets
Robles-Fernandez, M. Dolores; Nieto, Luisa; Fernandez, … - In: Studies in Nonlinear Dynamics & Econometrics 8 (2007) 4, pp. 1106-1106
This paper analyses the nonlinear dynamic behaviour of intraday returns in the Eurostoxx50 cash and futures index which, given their relatively recent appearance, have not yet been analysed. We find that both return series show nonlinear individual dynamics that cannot exclusively be explained...
Persistent link: https://www.econbiz.de/10004966109
Cover Image
Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets
Robles-Fernandez, M. Dolores; Nieto, Luisa; Fernandez, … - In: Studies in Nonlinear Dynamics & Econometrics 8 (2004) 4, pp. 1106-1106
This paper analyses the nonlinear dynamic behaviour of intraday returns in the Eurostoxx50 cash and futures index which, given their relatively recent appearance, have not yet been analysed. We find that both return series show nonlinear individual dynamics that cannot exclusively be explained...
Persistent link: https://www.econbiz.de/10005579862
Cover Image
The Future of Econometrics: Complex Econometrics and Implications in Time Series Analysis
Olmedo, Elena - In: International Journal of Innovation in the Digital … 7 (2016) 2, pp. 32-47
The author makes a deep revision of the main implications of Nonlinearity, Complexity and Chaos Theory in the analysis …
Persistent link: https://www.econbiz.de/10012045437
Cover Image
Why should economics give chaos theory another chance?
Beker, Víctor A. - In: Complexity in economics : cutting edge research, (pp. 205-223). 2014
Persistent link: https://www.econbiz.de/10011502412