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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
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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
Persistent link: https://www.econbiz.de/10010345899
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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
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Investigating the nature of nonlinearity in Indian Exchange Traded Funds (ETFs)
Madhavan, Vinodh - In: Managerial finance 40 (2014) 4, pp. 395-415
Persistent link: https://www.econbiz.de/10010344093
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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
Persistent link: https://www.econbiz.de/10010127780
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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 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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Nonlinear and Complex Dynamics in Real Systems
Barnett, William; Serletis, Apostolos; Serletis, Demitre - EconWPA - 2005
we provide a review of the literature with respect to fluctuations in real systems and chaos. In doing so, we contrast … distinguishing between stochastic and deterministic behavior. Moreover, we look at the issue of where and when the ideas of chaos …
Persistent link: https://www.econbiz.de/10005125638
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Nonlinear and Complex Dynamics in Real Systems
Barnett, William; Serletis, Apostolos; Serletis, Demitre - Department of Economics, University of Kansas - 2005
we provide a review of the literature with respect to fluctuations in real systems and chaos. In doing so, we contrast … distinguishing between stochastic and deterministic behavior. Moreover, we look at the issue of where and when the ideas of chaos …
Persistent link: https://www.econbiz.de/10005106588