A Note on Resampling the Integration Across the Correlation Integral with Alternative Ranges

Econometric Reviews

Volumn 22, Issue 4, 2003, Pages 337-349

  Belaire Franch, Jorge ^a  

^a UNIVERSITY OF VALENCIA   (Spain)

Author keywords

Chaos; Exchange rates; Ko enda's test; Nonlinear dynamics; Random permutation

Indexed keywords

EID: 1542498427     PISSN: 07474938     EISSN: None     Source Type: Journal    
DOI: 10.1081/ETC-120025892     Document Type: Article

References (8)

1. Brock, W., Dechert, D., Scheickman, J., LeBaron, B. (1996). A test for independence based on the correlation dimension. Econometric Reviews 15:197-235.
2. Brock, W., Hsieh, D., LeBaron B. (1991). Nonlinear Dynamics, Chaos and Instability: Statistical Theory and Economic Evidence. Cambridge, Massachusetts: The MIT Press.
3. Grassberger, P., Procaccia, I. (1983). Measuring the strangeness of strange attractors. Physica D 9:189-208.
4. Hsieh, D. A., LeBaron, B. (1988). Finite sample properties of the BDS statistic, University of Chicago and University of Wisconsin-Madison. In: Brock, W., Hsieh, D., LeBaron B., ed. Nonlinear Dynamics, Chaos and Instability: Statistical Theory and Economic Evidence. Cambridge, Massachusetts: The MIT Press.
5. Kanzler, L. (1999). Very fast and correctly sized estimation of the BDS statistic. Unpublished Manuscript. Christ Church and Department of Economics, University of Oxford (http://www2.gol.com/users/kanzler).
6. Kočenda, E. (2001). An alternative to the BDS test: integration across the correlation integral. Econometric Reviews 20:337-351.
7. Kugler, P., Lenz, C. (1990). Sind Wechselkursfluktuationen zufullig oder chaotisch? Schweizerische Zeitschrift für Volkswirtschaft und Statistik 126(2):113-128.
8. Kugler, P., Lenz, C. (1993). Chaos, ARCH and the foreign exchange market: empirical results from weekly data. Rivista Internationale di Scienze Economiche e Commerciali 40(2):127-140