Reconciling econophysics with macroeconomic theory

Physica A: Statistical Mechanics and its Applications

Volumn 282, Issue 1, 2000, Pages 325-335

  Richards, Gordon R ^a  

^a Millenium Engineering and Integration   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

DIFFERENTIAL EQUATIONS; FINANCE; FRACTALS; MARKETING; MATHEMATICAL MODELS; PHYSICS; PROBABILITY DISTRIBUTIONS;

ECONOPHYSICS; MACROECONOMIC THEORY;

ECONOMICS;

EID: 0033725918     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(00)00112-6     Document Type: Article

References (34)

1. Mandelbrot B. Fractals and Scaling in Finance. 1997;Springer, New York.
2. Mantegna R.N., Stanley H.E. Scaling behavior in the dynamics of an economic index. Nature. 376:1995;46.
3. Mantegna R.N., Stanley H.E. Turbulence and financial markets. Nature. 383:1996;587.
4. Mantegna R.N., Stanley H.E. Stock market dynamics and turbulence: parallel analysis of fluctuations phenomena. Physica. A 239:1997;255.
5. Mantegna R.N., Stanley H.E. Physics investigation of financial markets. Mallamace F., Stanley H. Proceedings of the International School of Physics. 1998;473 IOS Press, Amsterdam.
6. Schmitt F., Schertzer D., Lovejoy S. Multifractal analysis of foreign exchange data. Appl. Stochastic Models Data Anal. 15:1999;29.
7. Mantegna R.N., Stanley H.E. An Introduction to Econophysics: Correlations and Complexity in Finance. 1999;Cambridge University Press, Cambridge.
8. Ghashghaie S., Breymann W., Peinke J., Talkner P., Dodge Y. Turbulent cascades in foreign exchange markets. Nature. 381:1996;767.
9. Levich R. Empirical studies of exchange rates, price behavior, rate determination and market efficiency. Jones R.W., Kenen P.B. Handbook of International Economics:1985;Elsevier, Amsterdam.
10. Baillie R.T., Bollerslev T., Mikkelsen H.O. Fractionally integrated generalized autoregressive heteroskedasticity. J. Econometrics. 73:1996;3.
11. Bollerslev T., Mikkelsen H.O. Modeling and pricing long memory in stock market volatility. J. Econometrics. 73:1996;151.
12. Gallant A.R., Hsu C.T., Tauchen G. Using daily range data to calibrate volatility diffusions and extract the forward integrated variance. Rev. Econom. Statist. 81:1999;617.
13. Lorenz H.W. International trade and the possible occurrence of chaos. Econom. Lett. 47:1987;413.
14. H.M. Anderson, J.B. Ramsey, U.S. and Canadian industrial production indices as coupled oscillators, Manuscript, C.V. Starr Center for Applied Economics, New York University, 1999.
15. Anderson H.M., Vahid F. Testing multiple equations systems for common nonlinear components. J. Econometrics. 84:1998;1.
16. Schertzer D., Lovejoy S., Lavallee D., Schmitt F. Universal hard multifractal turbulence: theory and observations. Sagdeev R., Frisch U., Hussain F., Moisdeev S., Erokin N. Nonlinear Dynamics of Structures. 1991;213 World Scientific Press, New York.
17. Schertzer D., Lovejoy S., Schmitt F., Chigirinskaya Y., Marsan D. Multifractal cascade dynamics and turbulent intermittency. Fractals. 5:1997;427.
18. Schertzer D., Lovejoy S. Scaling nonlinear variability in geodynamics: multiple singularities, observables and universality classes. Schertzer D., Lovejoy S. Nonlinear Variability and Geophysics, Scaling and Fractals. 1991;41 Kluwer, Dordrecht, Netherlands.
19. Beran J. Statistical methods for data with long-range dependence. Statist. Sci. 7:1992;404.
20. Lavallee S., Lovejoy X., Schertzer D., Schmitt F. On the determination of universal multifractal parameters in turbulence. Moffatt H.K. Dynamics of Fluids and Plasmas. 1992;463 Kluwer Academic Publishers, Amsterdam.
21. Lavallee D., Schertzer D., Lovejoy S. On the determination of the codimension function. Schertzer D., Lovejoy S. Nonlinear Variability and Geophysics, Scaling and Fractals. 1991;99 Kluwer, Dordrecht, Netherlands.
22. Schmitt F., Lavallee D., Schertzer D., Lovejoy S. Empirical determination of universal multifractal exponents in turbulent velocity fields. Phys. Rev. Lett. 68:1992;305.
23. Schmitt F., Schertzer D., Lovejoy S., Brunet Y. Estimation of universal multifractal indices for atmospheric turbulent velocity fields. Fractals. 1:1993;568.
24. G.R. Richards, The fractal structure of exchange rates: measurement and forecasting, J. International Financial Markets, Institutions and Money 10 (2000), in press.
25. Perron P. Test consistency and varying sample frequency. Econometric Theory. 7:1991;341.
26. Kalman R.E. A new approach to linear filtering and prediction problems. Trans. ASME J. Basic Eng. D 83:1960;35.
27. Campbell J.Y., Lo A.W., MacKinlay A.C. The Econometrics of Financial Markets. 1997;Princeton University Press, Princeton, NJ.
28. Engle R. Autoregressive conditional heteroskedasticity, with estimates of the variance of United Kingdom inflation. Econometrica. 50:1982;987.
29. Bollerslev T. Generalized autoregressive conditional heteroskedasticity. J. Econometrics. 31:1986;307.
30. Nelson D.B. Conditional heteroskedasticity in asset returns, a new approach. Econometrica. 52:1991;347.
31. Hamilton J.D. A new approach to the economic analysis of nonstationary time series subject to changes in regime. Econometrica. 57:1989;357.
32. Hamilton J.D. Specification testing in Markov-switching time series models. J. Econometrics. 70:1994;127.
33. Gray S.F. Modeling the conditional distribution of interest rates as a regime-switching process. J. Financial Econom. 42:1996;27.
34. Terasvirta T. Specification, estimation and evaluation of smooth-transition autoregressive models. J. Am. Statist. Assoc. 89:1994;208.