Application of bootstrap to detecting chaos in financial time series

Physica A: Statistical Mechanics and its Applications

Volumn 344, Issue 1-2, 2004, Pages 317-321

  Brzozowska Rup, Katarzyna ^a   Orłowski, Arkadiusz ^b,c  

^a Wyzsza Szkola Handlowa im B M   (Poland)

^b INSTITUTE OF PHYSICS   (Poland)

^c WARSAW UNIVERSITY OF LIFE SCIENCES   (Poland)

Author keywords

Bootstrap; Chaos; Financial time series; Lyapunov exponent

Indexed keywords

CHAOS THEORY; ESTIMATION; FINANCE; FUNCTIONS; LYAPUNOV METHODS; PROBABILITY;

BOOTSTRAP; ECONOMETRIC APPLICATIONS; FINANCIAL TIME SERIES; LYAPUNOV EXPONENT;

TIME SERIES ANALYSIS;

EID: 5444256981     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.06.142     Document Type: Conference Paper

References (6)

1. B. Efron, R.J. Tibshirani, An Introduction to the Bootstrap, Chapman & Hall, New York, 1993.
2. B.F.J. Manly, Randomization, Bootstrap and Monte Carlo Methods in Biology, second ed., Chapman & Hall, London, 1998.
3. E. Mammen, When Does Bootstrap Work? Asymptotic Results and Simulations, Springer, New York, 1992.
4. M. Bask, A positive Lyapunov exponent in Swedish exchange rates?, Chaos, Solitons and Fractals 14 (2002) 1295-1304; M. Bask, R. Gençay, Testing chaotic dynamics via Lyapunov exponents, Physica D 114 (1998) 1-2; R. Gençay, A statistical framework for testing chaotic dynamics via Lyapunov exponents, Physica D 89 (1996) 261-266.
5. M. Bask, A positive Lyapunov exponent in Swedish exchange rates?, Chaos, Solitons and Fractals 14 (2002) 1295-1304; M. Bask, R. Gençay, Testing chaotic dynamics via Lyapunov exponents, Physica D 114 (1998) 1-2; R. Gençay, A statistical framework for testing chaotic dynamics via Lyapunov exponents, Physica D 89 (1996) 261-266.
6. M. Bask, A positive Lyapunov exponent in Swedish exchange rates?, Chaos, Solitons and Fractals 14 (2002) 1295-1304; M. Bask, R. Gençay, Testing chaotic dynamics via Lyapunov exponents, Physica D 114 (1998) 1-2; R. Gençay, A statistical framework for testing chaotic dynamics via Lyapunov exponents, Physica D 89 (1996) 261-266.