Distinguishing between stochastic and deterministic behavior in high frequency foreign exchange rate returns: Can non-linear dynamics help forecasting?

International Journal of Forecasting

Volumn 12, Issue 4, 1996, Pages 465-473

  Cecen, A Aydin ^a   Erkal, Cahit ^b,c  

^a CENTRAL MICHIGAN UNIVERSITY   (United States)

^b Oklahoma School of Science and Mathematics   (United States)

^c University of Oklahoma   (United States)

Author keywords

Correlation dimension; GARCH model; Low dimensional chaos

Indexed keywords

EID: 0030525288     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0169-2070(96)00686-3     Document Type: Article

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