Can nominal exchange rates be characterized by deterministic chaos? To answer this question, a statistical framework utilizing a blockwise bootstrap procedure is used to test for the presence of a positive Lyapunov exponent in an observed stochastic time series (Bask and Gencay, 1998). Daily...

non-linear dynamic models may be characterized and studied, where the degree of stability is defined by the effects of exogenous shocks on the evolution of the observed stochastic system. This type of stability concept is frequently of interest in economics, e.g., in real business cycle theory....

This thesis consists of four papers. The first three deal with deterministic chaos in exchange rate series whereas the fourth deals with technical analysis in the foreign exchange market. Paper [i] (

Can nominal exchange rates be characterised by deterministic chaos? To answer this question, a statistical framework utilising blockwise bootstrap was used to test for the presence of a positive Lyapunov exponent in a time series. In most cases, the null hypothesis of a non-positive Lyapunov...