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Chaos in East European black market exchange rates

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  • SERLETIS, APOSTOLOS
  • GOGAS, PERIKLIS

Abstract

In this paper we test for deterministic chaos in seven East European black market exchange rates, using Koedjik and Kool's (1992) monthly data from January 1955 through May 1990.

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Bibliographic Info

Article provided by Elsevier in its journal Research in Economics.

Volume (Year): 51 (1997)
Issue (Month): 4 (December)
Pages: 359-385

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Handle: RePEc:eee:reecon:v:51:y:1997:i:4:p:359-385

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Web page: http://www.elsevier.com/locate/inca/622941

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Cited by:
  1. William Barnett & Apostolos Serletis & Demitre Serletis, 2005. "Nonlinear and Complex Dynamics in Real Systems," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200517, University of Kansas, Department of Economics, revised Sep 2005.
  2. Musselwhite, Gary & Herath, Gamini, 2004. "A chaos theory interpretation of community perceptions of Australian forest policy," Forest Policy and Economics, Elsevier, vol. 6(6), pages 595-604, October.
  3. Barnett, William A. & Serletis, Apostolos, 2000. "Martingales, nonlinearity, and chaos," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 703-724, June.
  4. William A. Barnett & Alfredo Medio & Apostolos Serletis, 1997. "Nonlinear and Complex Dynamics in Economics," Econometrics 9709001, EconWPA.
  5. Marisa Faggini, 2011. "Chaotic Time Series Analysis in Economics: Balance and Perspectives," Working papers 25, Former Department of Economics and Public Finance "G. Prato", University of Torino.
  6. William A. Barnett & Yijun He, 2000. "Unsolved Econometric Problems in Nonlinearity, Chaos, and Bifurcation," Macroeconomics 0004021, EconWPA.
  7. Evzen Kocenda & Lubos Briatka, 2004. "Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power," CERGE-EI Working Papers wp235, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  8. Evzen Kocenda, 2001. "An Alternative To The Bds Test: Integration Across The Correlation Integral," Econometric Reviews, Taylor & Francis Journals, vol. 20(3), pages 337-351.
  9. Mishra, Ritesh Kumar & Sehgal, Sanjay & Bhanumurthy, N.R., 2011. "A search for long-range dependence and chaotic structure in Indian stock market," Review of Financial Economics, Elsevier, vol. 20(2), pages 96-104, May.
  10. Musselwhite, Gary & Herath, Gamini, 2007. "Chaos theory and assessment of forest stakeholder attitudes towards Australian forest policy," Forest Policy and Economics, Elsevier, vol. 9(8), pages 947-964, May.
  11. McKenzie, Michael D., 2001. "Chaotic behavior in national stock market indices: New evidence from the close returns test," Global Finance Journal, Elsevier, vol. 12(1), pages 35-53.
  12. Borusyak, K., 2011. "Nonlinear Dynamics of the Russian Stock Market in Problems of Risk Management," Journal of the New Economic Association, New Economic Association, issue 11, pages 85-105.

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This item is featured on the following reading lists or Wikipedia pages:
  1. Θεωρία του χάους in Wikipedia (Greek)
  2. Teori kekacauan in Wikipedia (Malay)
  3. Теорија хаоса in Wikipedia (Serbian)

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