-
2
-
-
0002208533
-
The aggregation-theoretic monetary aggregates are chaotic and have strange attractors: An econometric application of mathematical chaos
-
W. Barnett, E. Berndt, & H. White. Cambridge: Cambridge University Press. Chap. 11
-
Barnett W., Chen P. The aggregation-theoretic monetary aggregates are chaotic and have strange attractors: an econometric application of mathematical chaos. Barnett W., Berndt E., White H. Dynamic econometric modeling. 1988;199-243 Cambridge University Press, Cambridge. Chap. 11.
-
(1988)
Dynamic Econometric Modeling
, pp. 199-243
-
-
Barnett, W.1
Chen, P.2
-
3
-
-
0000375581
-
A conditionally heteroskedastic time series model for speculative prices and rates of return
-
Bollerslev T. A conditionally heteroskedastic time series model for speculative prices and rates of return. Review of Economics and Statistics. 9:1987;542-547.
-
(1987)
Review of Economics and Statistics
, vol.9
, pp. 542-547
-
-
Bollerslev, T.1
-
4
-
-
0042179751
-
Distinguishing random and deterministic systems: Abridged version
-
Brock W.A. Distinguishing random and deterministic systems: abridged version. Economic Studies. 48:1986;459-467.
-
(1986)
Economic Studies
, vol.48
, pp. 459-467
-
-
Brock, W.A.1
-
5
-
-
0003621624
-
-
Madison, WI: Department of Economics, University of Wisconsin
-
Brock W.A., Dechert W.D., Scheinkman J.A. A test for independence based on the correlation dimension. 1987;Department of Economics, University of Wisconsin, Madison, WI.
-
(1987)
A Test for Independence Based on the Correlation Dimension
-
-
Brock, W.A.1
Dechert, W.D.2
Scheinkman, J.A.3
-
6
-
-
0003566244
-
-
Cambridge, MA: MIT Press
-
Brock W.A., Hsieh D.A., LeBaron B. Nonlinear dynamics, chaos and instability: statistical theory and economic evidence. 1991;MIT Press, Cambridge, MA.
-
(1991)
Nonlinear Dynamics, Chaos and Instability: Statistical Theory and Economic Evidence
-
-
Brock, W.A.1
Hsieh, D.A.2
Lebaron, B.3
-
7
-
-
0002962834
-
Is the business cycle characterized by deterministic chaos?
-
Brock W.A., Sayers C.L. Is the business cycle characterized by deterministic chaos? Journal of Monetary Economics. 22:1988;71-90.
-
(1988)
Journal of Monetary Economics
, vol.22
, pp. 71-90
-
-
Brock, W.A.1
Sayers, C.L.2
-
9
-
-
0004312052
-
Daily stock returns on the Taiwan Stock Exchange
-
Chyi Y.-L. Daily stock returns on the Taiwan Stock Exchange. Applied Financial Economics. 7:1997;619-634.
-
(1997)
Applied Financial Economics
, vol.7
, pp. 619-634
-
-
Chyi, Y.-L.1
-
10
-
-
85071343664
-
A test for independence based on the correlation dimension
-
Dechert W., Scheinkman J.A., LeBaron B. A test for independence based on the correlation dimension. Econometric Reviews. 15:1996;197-235.
-
(1996)
Econometric Reviews
, vol.15
, pp. 197-235
-
-
Dechert, W.1
Scheinkman, J.A.2
Lebaron, B.3
-
12
-
-
0038799301
-
Non-linearity and exchange rates
-
Fernandes M. Non-linearity and exchange rates. Journal of Forecasting. 17:1998;497-512.
-
(1998)
Journal of Forecasting
, vol.17
, pp. 497-512
-
-
Fernandes, M.1
-
13
-
-
70350321098
-
Measuring the strangeness of gold and silver rates of return
-
Frank M., Stengos T. Measuring the strangeness of gold and silver rates of return. Review of Economic Studies. 56:1989;553-567.
-
(1989)
Review of Economic Studies
, vol.56
, pp. 553-567
-
-
Frank, M.1
Stengos, T.2
-
15
-
-
0042680953
-
Detecting linear and nonlinear dependence in stock returns: New methods derived from chaos theory
-
Gilmore C.G. Detecting linear and nonlinear dependence in stock returns: new methods derived from chaos theory. Journal of Business Finance and Accounting. 23:1996;1357-1377.
-
(1996)
Journal of Business Finance and Accounting
, vol.23
, pp. 1357-1377
-
-
Gilmore, C.G.1
-
16
-
-
22444455689
-
Topological analysis of chaotic dynamical systems
-
Gilmore R. Topological analysis of chaotic dynamical systems. Review of Modern Physics. 70:1998;1455-1530.
-
(1998)
Review of Modern Physics
, vol.70
, pp. 1455-1530
-
-
Gilmore, R.1
-
17
-
-
40749093037
-
Measuring the strangeness of strange attractors
-
Grassberger P., Procaccia I. Measuring the strangeness of strange attractors. Physica D. 9:1983;189-208.
-
(1983)
Physica D
, vol.9
, pp. 189-208
-
-
Grassberger, P.1
Procaccia, I.2
-
18
-
-
0002591468
-
A two-dimensional mapping with a strange attractor
-
Henon M. A two-dimensional mapping with a strange attractor. Communications in Mathematical Physics. 50:1976;69-77.
-
(1976)
Communications in Mathematical Physics
, vol.50
, pp. 69-77
-
-
Henon, M.1
-
19
-
-
84952520952
-
Modeling heteroscedasticity in daily foreign-exchange rates
-
Hsieh D.A. Modeling heteroscedasticity in daily foreign-exchange rates. Journal of Business and Economic Statistics. 7:1989;307-317.
-
(1989)
Journal of Business and Economic Statistics
, vol.7
, pp. 307-317
-
-
Hsieh, D.A.1
-
20
-
-
0000605911
-
Testing for nonlinearity in daily foreign exchange rate changes
-
Hsieh D.A. Testing for nonlinearity in daily foreign exchange rate changes. Journal of Business. 62:1989;339-368.
-
(1989)
Journal of Business
, vol.62
, pp. 339-368
-
-
Hsieh, D.A.1
-
21
-
-
84977719043
-
Chaos and nonlinear dynamics: Application to financial markets
-
Hsieh D.A. Chaos and nonlinear dynamics: application to financial markets. Journal of Finance. 46:1991;1839-1877.
-
(1991)
Journal of Finance
, vol.46
, pp. 1839-1877
-
-
Hsieh, D.A.1
-
22
-
-
0030641982
-
A multivariate GARCH model of risk premia in foreign exchange markets
-
Malliaropulos D. A multivariate GARCH model of risk premia in foreign exchange markets. Economic Modelling Journal. 14:1997;61-79.
-
(1997)
Economic Modelling Journal
, vol.14
, pp. 61-79
-
-
Malliaropulos, D.1
-
24
-
-
0002812609
-
A multifractal walk down Wall Street
-
Mandelbrot B.B. A multifractal walk down Wall Street. Scientific American. 280:1999;70-73.
-
(1999)
Scientific American
, vol.280
, pp. 70-73
-
-
Mandelbrot, B.B.1
-
25
-
-
0005673989
-
ARCH modelling of Australian bilateral exchange rate data
-
McKenzie M.D. ARCH modelling of Australian bilateral exchange rate data. Applied Financial Economics. 7:1997;147-164.
-
(1997)
Applied Financial Economics
, vol.7
, pp. 147-164
-
-
McKenzie, M.D.1
-
26
-
-
0001024141
-
Classification of strange attractors by integers
-
Mindlin G.B., Hou X.-J., Solari H.G., Gilmore R., Tufillaro N.B. Classification of strange attractors by integers. Physical Review Letters. 64:1990;2350-2353.
-
(1990)
Physical Review Letters
, vol.64
, pp. 2350-2353
-
-
Mindlin, G.B.1
Hou, X.-J.2
Solari, H.G.3
Gilmore, R.4
Tufillaro, N.B.5
-
27
-
-
49249151271
-
Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market
-
K. Brunner, Meltzer A. Amsterdam: North-Holland
-
Mussa M. Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market. Brunner K., Meltzer A. Carnegie-Rochester series on public policy. vol. 11:1979;9-57 North-Holland, Amsterdam.
-
(1979)
Carnegie-Rochester Series on Public Policy
, vol.11
, pp. 9-57
-
-
Mussa, M.1
-
28
-
-
51249168786
-
Testing for non-linear dependence in inter-war exchange rates
-
Peel D.A., Spreight A.E.H. Testing for non-linear dependence in inter-war exchange rates. Weltwirtschaftliches-Archiv. 130:1994;391-417.
-
(1994)
Weltwirtschaftliches-Archiv
, vol.130
, pp. 391-417
-
-
Peel, D.A.1
Spreight, A.E.H.2
-
32
-
-
84987490378
-
The stochastic properties of major Canadian exchange rates
-
Theodossiou P. The stochastic properties of major Canadian exchange rates. Financial Review. 29:1994;193-221.
-
(1994)
Financial Review
, vol.29
, pp. 193-221
-
-
Theodossiou, P.1
-
33
-
-
0043181963
-
-
Unpublished Ph.D. thesis, Department of Physics, Bryn Mawr College, Bryn Mawr, PA
-
Tufillaro, N.B. (1990). Chaotic themes from strings. Unpublished Ph.D. thesis, Department of Physics, Bryn Mawr College, Bryn Mawr, PA.
-
(1990)
Chaotic Themes from Strings
-
-
Tufillaro, N.B.1
-
34
-
-
0000428709
-
Relative rotation rates: Fingerprints for strange attractors
-
Tufillaro N.B., Solari H.G., Gilmore R. Relative rotation rates: fingerprints for strange attractors. Physical Review A. 41:1990;5717-5720.
-
(1990)
Physical Review a
, vol.41
, pp. 5717-5720
-
-
Tufillaro, N.B.1
Solari, H.G.2
Gilmore, R.3
|