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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
is described by a nonlinear partial integro-differential equation with quadratic type nonlinearity coupled with the …
Persistent link: https://www.econbiz.de/10010896401
We investigate the “compass rose” patterns introduced by Crack and Ledoit (J. Finance 51(2)(1996) 751) as revealed in phase portraits (delay plots) of stock returns. The structures observed in these diagrams have been attributed mainly to price clustering and discreteness and the tick size....
Persistent link: https://www.econbiz.de/10011063370
The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and...
Persistent link: https://www.econbiz.de/10010591728
Persistent link: https://www.econbiz.de/10009396446
, however, pushed slightly above equilibrium in the short- to medium-run due to a sustained higher real wage level. …
Persistent link: https://www.econbiz.de/10009438087
growth, when taking into consideration mixed data sampling technique. Finally, it puts particular focus on nonlinearity and a …
Persistent link: https://www.econbiz.de/10014284449
that the relation is dynamic and heavily context-dependent with evidence of nonlinearity. The authors also find evidence …, this is the first study of the IO-EM relation to consider evidence of nonlinearity in the U.S. context, measuring changes …
Persistent link: https://www.econbiz.de/10014516395
We propose a statistical identification procedure for recursive structural vector autoregressive (VAR) models that present a nonlinear dependence (at least) at the contemporaneous level. By applying and adapting results from the literature on causal discovery with continuous additive noise...
Persistent link: https://www.econbiz.de/10014541779
In this dissertation three different economic issues have been analyzed. The firstissue is whether monetary policy rules can improve forecasting accuracy of inflation.The second is whether the preference of a central bank is symmetry or not. The last issueis whether the behavior of aggregate...
Persistent link: https://www.econbiz.de/10009465152