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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

The Good, The Bad, and The Ugly: An Inquiry into the Causes and Nature of Credit Cycles

Matsuyama, Kiminori - Center for Mathematical Studies in Economics and … - 2004

This paper builds models of nonlinear dynamics in the aggregate investment and borrower net worth and uses them to study the causes and nature of endogenous credit cycles. The basic model has two types of projects: the Good and the Bad. The Bad is highly productive, but, unlike the Good, it...

Persistent link: https://www.econbiz.de/10005252306

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

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

Complex Dynamics in a Bertrand Duopoly Game with Heterogeneous Players

Dubiel-Teleszyński, Tomasz - In: Central European Journal of Economic Modelling and … 2 (2010) 2, pp. 95-116

stability of the Nash equilibrium is demonstrated in the plane of the speeds of adjustment. Period doubling route to chaos is …

Persistent link: https://www.econbiz.de/10009395414

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

Expectations Driven Nonlinear Business Cycles

Grandmont, Jean-Michel - Cowles Foundation for Research in Economics, Yale University - 1992

The first part of the paper is a brief introduction to the concepts and methods used in recent endogenous business cycles models. Endogenous deterministic and stochastic fluctuations are bound to occur, under increasingly plausible assumptions, in models with individual optimization, market...

Persistent link: https://www.econbiz.de/10005196035

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

The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series

Whang, Yoon-Jae; Linton, Oliver - Cowles Foundation for Research in Economics, Yale University - 1997

This paper derives the asymptotic distribution of a smoothing-based estimator of the Lyapunov exponent for a stochastic time series under two general scenarios. In the first case, we are able to establish root-T consistency and asymptotic normality, while in the second case, which is more...

Persistent link: https://www.econbiz.de/10005593525

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