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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 A. Barnett & Apostolos Serletis, 1998. "Martingales, Nonlinearity, and Chaos," Econometrics, EconWPA 9805003, EconWPA.
  2. Evzen Kocenda, 2001. "An Alternative To The Bds Test: Integration Across The Correlation Integral," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 20(3), pages 337-351.
  3. Borusyak, K., 2011. "Nonlinear Dynamics of the Russian Stock Market in Problems of Risk Management," Journal of the New Economic Association, New Economic Association, New Economic Association, issue 11, pages 85-105.
  4. William Barnett & Apostolos Serletis & Demitre Serletis, 2005. "Nonlinear and Complex Dynamics in Real Systems," GE, Growth, Math methods, EconWPA 0509002, EconWPA.
  5. Barnett, William A. & Serletis, Apostolos & Serletis, Demitre, 2012. "Nonlinear and Complex Dynamics in Economics," MPRA Paper 41245, University Library of Munich, Germany.
  6. 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.
  7. 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, Elsevier, vol. 20(2), pages 96-104, May.
  8. William A. Barnett & Yijun He, 2000. "Unsolved Econometric Problems in Nonlinearity, Chaos, and Bifurcation," Macroeconomics, EconWPA 0004021, EconWPA.
  9. 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.
  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. Marisa Faggini, 2011. "Chaotic Time Series Analysis in Economics: Balance and Perspectives," Working papers, Former Department of Economics and Public Finance "G. Prato", University of Torino 25, Former Department of Economics and Public Finance "G. Prato", University of Torino.

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  1. Teori kekacauan in Wikipedia Malay ne '')
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  3. Теорија хаоса in Wikipedia Serbian ne '')

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