-
1
-
-
0002047422
-
The chaotic behavior of foreign exchange rates
-
Aczel, A. D. and Josephy, N. H. (1991). The chaotic behavior of foreign exchange rates. American Economist, 35, 16-24.
-
(1991)
American Economist
, vol.35
, pp. 16-24
-
-
Aczel, A.D.1
Josephy, N.H.2
-
2
-
-
0016355478
-
A new look at statistical model identification
-
Akaike, H. (1974). A new look at statistical model identification. IEEE transactions on automatic control, 19, 716-723.
-
(1974)
IEEE Transactions on Automatic Control
, vol.19
, pp. 716-723
-
-
Akaike, H.1
-
3
-
-
0001965896
-
Chaos: significance, mechanism, and economic applications
-
Baumol, W. J. and Benhabib, J. (1989). Chaos: significance, mechanism, and economic applications. Journal of Economic Perspectives, 3, 77-105.
-
(1989)
Journal of Economic Perspectives
, vol.3
, pp. 77-105
-
-
Baumol, W.J.1
Benhabib, J.2
-
4
-
-
85013908950
-
Is there a term structure of futures volatility? Reevaluating the Samuelson hypothesis
-
Winter
-
Bessembinder, H., Coughenour, J. F., Seguin, P. J. and Smoller, M. M. (1996). Is there a term structure of futures volatility? Reevaluating the Samuelson hypothesis. Journal of Derivatives, Winter, 45-58.
-
(1996)
Journal of Derivatives
, pp. 45-58
-
-
Bessembinder, H.1
Coughenour, J.F.2
Seguin, P.J.3
Smoller, M.M.4
-
5
-
-
84978592267
-
Chaos' in futures markets? A nonlinear dynamical analysis
-
Blank, S. C. (1991). 'Chaos' in futures markets? A nonlinear dynamical analysis. Journal of Futures Markets, 11, 711-728.
-
(1991)
Journal of Futures Markets
, vol.11
, pp. 711-728
-
-
Blank, S.C.1
-
6
-
-
84993865825
-
Market statistics and technical analysis: the role of volume
-
Blume, L., Easley, D., and O'Hara, M. (1994). Market statistics and technical analysis: the role of volume. Journal of Finance, 49, 153-181.
-
(1994)
Journal of Finance
, vol.49
, pp. 153-181
-
-
Blume, L.1
Easley, D.2
O'Hara, M.3
-
7
-
-
0002910335
-
Relative strength: further positive evidence
-
Bohan, J. (1981). Relative strength: further positive evidence. Journal of Portfolio Management, Fall, 36-39.
-
(1981)
Journal of Portfolio Management
, pp. 36-39
-
-
Bohan, J.1
-
8
-
-
42449156579
-
Generalized autoregressive conditional heteroskedasticity
-
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-327.
-
(1986)
Journal of Econometrics
, vol.31
, pp. 307-327
-
-
Bollerslev, T.1
-
9
-
-
46149128981
-
Distinguishing random and deterministic systems
-
Brock W. A. (1986). Distinguishing random and deterministic systems. Journal of Economic Theory, 40, 168-195.
-
(1986)
Journal of Economic Theory
, vol.40
, pp. 168-195
-
-
Brock, W.A.1
-
10
-
-
0002750160
-
Theorems on distinguishing deterministic and random systems
-
W. Barnett, E. Berndt, and H. White (Eds.), Cambridge: Cambridge University Press
-
Brock W. A. and Dechert W. (1988). Theorems on distinguishing deterministic and random systems. In W. Barnett, E. Berndt, and H. White, Dynamic Econometric Modelling, Proceedings of the Third Austin Symposium. Cambridge: Cambridge University Press.
-
(1988)
Dynamic Econometric Modelling, Proceedings of the Third Austin Symposium
-
-
Brock, W.A.1
Dechert, W.2
-
12
-
-
0003566244
-
-
Cambridge, Massachusetts: MIT Press
-
Brock, W. A., Hsieh, D. A. and LeBaron, B. (1993). Nonlinear Dynamics, Chaos, and Instability: Statistical Theory and Economic Evidence. MIT Press, Cambridge, Massachusetts.
-
(1993)
Nonlinear Dynamics, Chaos, and Instability: Statistical Theory and Economic Evidence
-
-
Brock, W.A.1
Hsieh, D.A.2
Lebaron, B.3
-
13
-
-
0002962834
-
Is the business cycle characterized by deterministic chaos?
-
Brock, W. A. and Sayers, C. L. (1988). Is the business cycle characterized by deterministic chaos? Journal of Monetary Economics, 22, 71-90.
-
(1988)
Journal of Monetary Economics
, vol.22
, pp. 71-90
-
-
Brock, W.A.1
Sayers, C.L.2
-
14
-
-
84977707376
-
Simple technical trading rules and the stochastic properties of stock returns
-
Brock, W., Lakonishok, J., and LeBaron, B. (1992). Simple technical trading rules and the stochastic properties of stock returns. Journal of Finance, 47, 1731-1764.
-
(1992)
Journal of Finance
, vol.47
, pp. 1731-1764
-
-
Brock, W.1
Lakonishok, J.2
Lebaron, B.3
-
15
-
-
0001774202
-
Eight relative strength methods compared
-
Brush, J. (1986). Eight relative strength methods compared. Journal of Portfolio Management, Fall, 21-28.
-
(1986)
Journal of Portfolio Management
, pp. 21-28
-
-
Brush, J.1
-
18
-
-
84867983259
-
-
CRB Commodity Yearbook, New York: John Wiley and Sons, Inc
-
CRB Commodity Yearbook (1998). KnightRidder Financial/Commodity Research Bureau, John Wiley and Sons, Inc., New York.
-
(1998)
KnightRidder Financial/Commodity Research Bureau
-
-
-
19
-
-
84978598115
-
Evidence of chaos in commodity futures prices
-
DeCoster, G. P., Labys, W. C. and Mitchell, D. W. (1992). Evidence of chaos in commodity futures prices. Journal of Futures Markets, 12, 291-305.
-
(1992)
Journal of Futures Markets
, vol.12
, pp. 291-305
-
-
Decoster, G.P.1
Labys, W.C.2
Mitchell, D.W.3
-
22
-
-
0000472488
-
Likelihood ratio statistics for autoregressive time series with a unit root
-
Dickey, D. A. and Fuller, W. A. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, 1057-1072.
-
Econometrica
, vol.49
, pp. 1057-1072
-
-
Dickey, D.A.1
Fuller, W.A.2
-
23
-
-
0000051984
-
Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation
-
Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987-1007.
-
(1982)
Econometrica
, vol.50
, pp. 987-1007
-
-
Engle, R.F.1
-
24
-
-
70350321098
-
Measuring the strangeness of gold and silver rates of return
-
Frank, M. and Stengos, T. (1989). Measuring the strangeness of gold and silver rates of return. Review of Economic Studies, 456, 553-567.
-
(1989)
Review of Economic Studies
, vol.456
, pp. 553-567
-
-
Frank, M.1
Stengos, T.2
-
25
-
-
40749093037
-
Measuring the strangeness of strange attractors
-
Grassberger, P. and Procaccia, I. (1983). Measuring the strangeness of strange attractors. Physica, 9, 189-208.
-
(1983)
Physica
, vol.9
, pp. 189-208
-
-
Grassberger, P.1
Procaccia, I.2
-
26
-
-
0000605911
-
Testing for nonlinear dependence in daily foreign exchange rates
-
Hsieh, D. A. (1989). Testing for nonlinear dependence in daily foreign exchange rates. Journal of Business, 62, 339-368.
-
(1989)
Journal of Business
, vol.62
, pp. 339-368
-
-
Hsieh, D.A.1
-
27
-
-
84977719043
-
Chaos and nonlinear dynamics: applications to financial markets
-
Hsieh, D. A. (1991). Chaos and nonlinear dynamics: applications to financial markets. Journal of Finance, 46, 1839-1876.
-
(1991)
Journal of Finance
, vol.46
, pp. 1839-1876
-
-
Hsieh, D.A.1
-
28
-
-
21144474654
-
Implications of nonlinear dynamics for financial risk management
-
Hsieh, D. A. (1993). Implications of nonlinear dynamics for financial risk management. Journal of Financial and Quantitative Analysis, 28, 41-64.
-
(1993)
Journal of Financial and Quantitative Analysis
, vol.28
, pp. 41-64
-
-
Hsieh, D.A.1
-
29
-
-
0004112276
-
Technical trading rules and regimes shifts in foreign exchange
-
University of Wisconsin, Social Sciences Research Institute
-
LaBaron, B. (1991). Technical trading rules and regimes shifts in foreign exchange. Working Paper. University of Wisconsin, Social Sciences Research Institute.
-
(1991)
Working Paper
-
-
LaBaron, B.1
-
32
-
-
38249023697
-
Application of nonlinear mapping theory to commodity price fluctuations
-
Lichtenberg, A. J. and Ujihara, A. (1988). Application of nonlinear mapping theory to commodity price fluctuations. Journal of Economic Dynamics and Control, 13, 225-246.
-
(1988)
Journal of Economic Dynamics and Control
, vol.13
, pp. 225-246
-
-
Lichtenberg, A.J.1
Ujihara, A.2
-
33
-
-
49049143455
-
Trends and random walks in macroeconomic time series
-
Neslon, C. and Plosser, C. (1982). Trends and random walks in macroeconomic time series. Journal of Monetary Economics, 10, 139-162.
-
(1982)
Journal of Monetary Economics
, vol.10
, pp. 139-162
-
-
Neslon, C.1
Plosser, C.2
-
34
-
-
0002477659
-
Exchange-traded options and CRISMA trading: who says technical analysis can't beat the market?
-
Pruitt, S. W., Maurice Tse, K. S. and White, R. E. (1989). Exchange-traded options and CRISMA trading: who says technical analysis can't beat the market? Journal of Portfolio Management, 55-56.
-
(1989)
Journal of Portfolio Management
, pp. 55-56
-
-
Pruitt, S.W.1
Maurice Tse, K.S.2
White, R.E.3
-
35
-
-
0002477659
-
The CRISMA trading system: who says technical analysis can't beat the market?
-
Pruitt, S. W. and White, R. E. (1988). The CRISMA trading system: who says technical analysis can't beat the market? Journal of Portfolio Management, 55-58.
-
(1988)
Journal of Portfolio Management
, pp. 55-58
-
-
Pruitt, S.W.1
White, R.E.2
-
37
-
-
0002677397
-
Proof that properly anticipated prices fluctuate randomly
-
Samuelson, P. A. (1965). Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 6, 41-63.
-
(1965)
Industrial Management Review
, vol.6
, pp. 41-63
-
-
Samuelson, P.A.1
-
38
-
-
0001376652
-
Nonlinear dynamics and stock returns
-
Scheinkman, J. and LeBaron, B. (1989). Nonlinear dynamics and stock returns. Journal of Business, 62, 311-337.
-
(1989)
Journal of Business
, vol.62
, pp. 311-337
-
-
Scheinkman, J.1
Lebaron, B.2
-
39
-
-
0004140144
-
On the numerical determination of the dimension of an attractor
-
Berlin: SpringerVerlag Publishing
-
Takens, F. (1984). On the numerical determination of the dimension of an attractor. In Dynamical Systems and Bifurcations, Lecture Notes in Mathematics. SpringerVerlag Publishing, Berlin.
-
(1984)
Dynamical Systems and Bifurcations, Lecture Notes in Mathematics
-
-
Takens, F.1
-
40
-
-
84978599450
-
Trading futures using a channels rule: a study of the predictive power of technical analysis with currency examples
-
Taylor, S. J. (1994). Trading futures using a channels rule: a study of the predictive power of technical analysis with currency examples. Journal of Futures Markets, 14, 215-235.
-
(1994)
Journal of Futures Markets
, vol.14
, pp. 215-235
-
-
Taylor, S.J.1
-
41
-
-
84978592295
-
Nonlinear dynamics of daily futures prices: conditional heteroskedasticity or chaos?
-
Yang, S., and Brorsen, B. W. (1993). Nonlinear dynamics of daily futures prices: conditional heteroskedasticity or chaos? Journal of Futures Markets, 13, 175-191.
-
(1993)
Journal of Futures Markets
, vol.13
, pp. 175-191
-
-
Yang, S.1
Brorsen, B.W.2
|