On complex behavior and exchange rate dynamics

[1]  Holger Kantz,et al.  Nonlinear Time Series Analysis , 2005 .

[2]  Mikael Bask,et al.  A positive Lyapunov exponent in Swedish exchange rates , 2002 .

[3]  Kerry Patterson,et al.  An Introduction to Applied Econometrics: A Time Series Approach , 2000 .

[4]  Ludwig Kanzler,et al.  Very Fast and Correctly Sized Estimation of the Bds Statistic , 1999 .

[5]  Ramazan Gençay,et al.  Testing chaotic dynamics via Lyapunov exponents , 1998 .

[6]  Apostolos Serletis,et al.  Chaos in East European black market exchange rates , 1997 .

[7]  Dimitris Kugiumtzis,et al.  Assessing different norms in nonlinear analysis of noisy time series , 1997 .

[8]  Gerald Kohers,et al.  Using nonlinear dynamics to test for market efficiency among the major U.S. stock exchanges , 1997 .

[9]  A. Lo,et al.  THE ECONOMETRICS OF FINANCIAL MARKETS , 1996, Macroeconomic Dynamics.

[10]  Mikael Bask,et al.  Dimensions and Lyapunov exponents from exchange rate series , 1996 .

[11]  Jon Vilasuso,et al.  Tests for Nonlinearity in EMS Exchange Rates , 1996 .

[12]  Cahit Erkal,et al.  Distinguishing between stochastic and deterministic behavior in foreign exchange rate returns: Further evidence , 1996 .

[13]  B. LeBaron.  Technical Trading Rule Profitability and Foreign Exchange Intervention , 1996 .

[14]  W. Enders.  Applied Econometric Time Series , 1994 .

[15]  H. Kantz.  A robust method to estimate the maximal Lyapunov exponent of a time series , 1994 .

[16]  Mingzhou Ding,et al.  Estimating correlation dimension from a chaotic time series: when does plateau onset occur? , 1993 .

[17]  Claire G. Gilmore,et al.  A new test for chaos , 1993 .

[18]  M. Rosenstein,et al.  A practical method for calculating largest Lyapunov exponents from small data sets , 1993 .

[19]  Clive W. J. Granger,et al.  Using the correlation exponent to decide whether an economic series is chaotic , 1992 .

[20]  Fernando Fernández-Rodríguez,et al.  Chaotic behaviour in exchange-rate series: First results for the Peseta—U.S. dollar case , 1992 .

[21]  D. Ruelle,et al.  Fundamental limitations for estimating dimensions and Lyapunov exponents in dynamical systems , 1992 .

[22]  David Hsieh.  Chaos and Nonlinear Dynamics: Application to Financial Markets , 1991 .

[23]  Edgar E. Peters.  Chaos and order in the capital markets , 1991 .

[24]  Edgar E. Peters.  A Chaotic Attractor For the S&P 500 , 1991 .

[25]  C. Dunis,et al.  Exchange Rate Forecasting , 1990 .

[26]  W. Brock,et al.  Is the business cycle characterized by deterministic chaos , 1988 .

[27]  David A. Hsieh,et al.  The statistical properties of daily foreign exchange rates: 1974–1983 , 1988 .

[28]  T. Bollerslev,et al.  Generalized autoregressive conditional heteroskedasticity , 1986 .

[29]  A. Wolf,et al.  Determining Lyapunov exponents from a time series , 1985 .

[30]  P. Grassberger,et al.  Measuring the Strangeness of Strange Attractors , 1983 .

[31]  Kenneth S. Rogoff,et al.  Exchange rate models of the seventies. Do they fit out of sample , 1983 .

[32]  J. McFarland,et al.  The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement--A Reply , 1982 .

[33]  M. Hinich.  Testing for Gaussianity and Linearity of a Stationary Time Series. , 1982 .

[34]  James P. Crutchfield,et al.  Geometry from a Time Series , 1980 .

[35]  T. Rao,et al.  A TEST FOR LINEARITY OF STATIONARY TIME SERIES , 1980 .

[36]  J. Dietrich,et al.  The Efficiency of the Market for Foreign Exchange under Floating Exchange Rates , 1978 .

[37]  E. Fama,et al.  EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* , 1970 .

[38]  D. Brillinger.  An Introduction to Polyspectra , 1965 .

[39]  Thanasis Stengos,et al.  Technical Trading Rules and the Size of the Risk Premium in Security Returns , 1997 .

[40]  Benoit B. Mandelbrot,et al.  Fractals and Scaling in Finance , 1997 .

[41]  A. Kirman,et al.  Nonlinear Dynamics and Economics , 1997 .

[42]  B. LeBaron,et al.  A test for independence based on the correlation dimension , 1996 .

[43]  P. D. Lima,et al.  Nuisance parameter free properties of correlation integral based statistics , 1996 .

[44]  William A. Barnett,et al.  An experimental design to compare tests of nonlinearity and chaos , 1996 .

[45]  Ramazan Gençay,et al.  The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms , 1996 .

[46]  Paolo Guarda,et al.  On the Detection of Nonlinearity in Foreign Exchange Data , 1995 .

[47]  Hans Dewachter,et al.  A chaotic model of the exchange rate: The role of fundamentalists and chartists , 1993 .

[48]  A. Gallant,et al.  Estimating the Lyapunov Exponent of a Chaotic System with Nonparametric Regression , 1992 .

[49]  R. Meese,et al.  Nonlinear, Nonparametric, Nonessential Exchange Rate Estimation , 1990 .

[50]  David Hsieh.  Testing for Nonlinear Dependence in Daily Foreign Exchange Rates , 1989 .

[51]  Douglas M. Patterson,et al.  Evidence of Nonlinearity in Daily Stock Returns , 1985 .

[52]  F. Takens.  Detecting strange attractors in turbulence , 1981 .

[53]  Michael L. Mussa,et al.  Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market , 1979 .