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Determinism in Financial Time Series
Small, Michael; Tse, Chi - In: Studies in Nonlinear Dynamics & Econometrics 7 (2003) 3, pp. 1134-1134
address two specific questions: "Masked by stochasticity, do financial data exhibit deterministic nonlinearity?", and "If so … fixings, and the USD-JPY exchange rate. For each data set we apply surrogate data methods and nonlinearity tests to quantify … linear noise or conditional heteroskedastic models and that there therefore exists detectable deterministic nonlinearity that …
Persistent link: https://www.econbiz.de/10005246284
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How Big is Big Enough? Justifying Results of the iid Test Based on the Correlation Integral in the Non-Normal World
Briatka, Lubos - Center for Economic Research and Graduate Education and … - 2006
Kocenda (2001) introduced the test for nonlinear dependencies in time series data based on the correlation integral. The idea of the test is to estimate the correlation dimension by integrating over a range of proximity parameter epsilon. However, there is an unexplored avenue if one wants to...
Persistent link: https://www.econbiz.de/10005086611
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A test of nonlinear dependencies
Kočenda, Evžen - In: Politická ekonomie 2000 (2000) 6
proposed alternative (henceforth the K2K test) extends and generalizes the widely known BDS test. By its construction, it … order to evaluate performance of the K2K test relative to the BDS test. The results are favorable for the K2K test. …
Persistent link: https://www.econbiz.de/10005258078
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Endogenous Business Cycles in the Ramsey Growth Model
Gomes, Orlando - In: Zagreb International Review of Economics and Business 9 (2006) 2, pp. 13-36
The Ramsey model is an analytical structure aimed at explaining intertemporal optimal growth. As a consequence, business cycles cannot be generated resorting to this structure, unless one introduces some source of inefficiency. Our central argument is that firms forecast future demand using a...
Persistent link: https://www.econbiz.de/10005808520
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Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power
Kocenda, Evzen; Briatka, Lubos - EconWPA - 2004
This paper builds on Kočenda (2001) and extends it in two ways. First, two new intervals of the proximity parameter ε (over which the correlation integral is calculated) are specified. For these ε- ranges new critical values for various lengths of the data sets are introduced and through...
Persistent link: https://www.econbiz.de/10005407903
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Nonlinear Dynamics of the Russian Stock Market in Problems of Risk Management
Borusyak, K. - In: Journal of the New Economic Association (2011) 11, pp. 85-105
. Estimation of Lyapunov exponents for a number of Russian stock prices and indices suggests the absense of low-dimensional chaos …
Persistent link: https://www.econbiz.de/10010617736
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Complexity of agricultural commodity cycle: a chaotic time series analysis
Sakai, Kenshi; Managi, Shunsuke; Demura, Katsuhiko - In: International Journal of Agricultural Resources, … 3 (2004) 3/4, pp. 266-287
Most empirical investigations of agricultural markets have been conducted using linear models. Therefore, nonlinear dynamic patterns of the market cannot be predicted based on these models under any circumstances. Consequently, little is known about the role of nonlinear dynamics and the whether...
Persistent link: https://www.econbiz.de/10010816449
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What drives the German hog price cyle? Diagnostic modelling of a nonlinear dynamic system
Berg, Ernst; Huffaker, Ray - European Association of Agricultural Economists - EAAE - 2014
We investigated causal factors driving German hog-price dynamics with an innovative ‘diagnostic’ modeling approach. Hog-price cycles are conventionally attributed to randomly-generated behavior best modeled stochastically—most recently as randomly-shifting sinusoidal oscillations....
Persistent link: https://www.econbiz.de/10011125182
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An Alternative to the BDS Test: Integration Across The Correlation Integral
Kocenda, Evzen - EconWPA - 2003
This paper extends and generalizes the BDS test presented by Brock, Dechert, Scheinkman, and LeBaron (1996). In doing … suggested alternative to the BDS test. The results are favorable for the suggested alternative. …
Persistent link: https://www.econbiz.de/10005119218
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Determinism in Financial Time Series
Small, Michael; Tse, Chi - In: Studies in Nonlinear Dynamics & Econometrics 7 (2007) 3, pp. 1134-1134
address two specific questions: "Masked by stochasticity, do financial data exhibit deterministic nonlinearity?", and "If so … fixings, and the USD-JPY exchange rate. For each data set we apply surrogate data methods and nonlinearity tests to quantify … linear noise or conditional heteroskedastic models and that there therefore exists detectable deterministic nonlinearity that …
Persistent link: https://www.econbiz.de/10004966269