Our objective in this paper is to identify the nature of the dependence or causal relationship that exists between US inflation and commodity prices using recent methods of linear cointegration, and non-linear Granger causality. The main contribution is the construction of a noisy chaotic...

In this paper, we discuss a number of univariate tests for independence and hidden nonlinear deterministic structure, and apply these tests to the Canadian exchange rate, using daily data over a 30-year period from January 2, 1973 to February 14, 2003

In this work we employ the Recurrence Quantification Analysis (RQA) framework, effective in discovering evidence of non-linear determinism and complex dynamics in short, noisy and irregular signals. We apply RQA to a set of US macroeconomic time series and simulated sequences in order to provide...

The objective of this paper is to examine causality and feedback relationships between primary commodity prices and US inflation. To this end, the bivariate noisy Mackey-Glass process recently developed by Kyrtsou and Labys (2006) has been applied to assess this relationship. Results obtained...

In this paper we introduce a new model, based on the synthesis of conditional copulas and Gaussian graphical models under a copula -- vine framework. The use of the copula vine permits each pair between the market and a stock to have their own dynamics. In that case the asset keeps its...

Intro -- PROGRESS IN FINANCIAL MARKETS RESEARCH -- PROGRESS IN FINANCIAL MARKETS RESEARCH -- LIBRARY OF CONGRESS CATALOGING-IN-PUBLICATION DATA -- CONTENTS -- EDITORIAL INTRODUCTION -- Chapter 1: LEARNING AND CONDITIONAL HETEROSCEDASTICITY IN ASSET RETURNS -- 1.1. Introduction -- 1.2. GARCH in...

We investigate for evidence of complex-deterministic dynamics in financial returns time series. By combining the Surrogate Data Analysis inferential framework with the MG-GARCH (Kyrtsou and Terraza, 2003) modelling approach, we examine whether the sequences are characterized by aperiodic and...