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Non-linear dynamics and chaos in the Spanish stock market

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Author Info
Ignacio Olmeda (Universidad de Alcalá)
Joaquin Pérez (Universidad de Alcalá)
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File URL: ftp://ftp.funep.es/InvEcon/paperArchive/May1995/v19i2a3.pdf
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Publisher Info
Article provided by Fundación SEPI in its journal Investigaciones Economicas.

Volume (Year): 19 (1995)
Issue (Month): 2 (May)
Pages: 217-248
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:iec:inveco:v:19:y:1995:i:2:p:217-248

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Postal: Investigaciones Economicas Fundación SEPI Quintana, 2 (planta 3) 28008 Madrid Spain
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Baillie, Richard T & Bollerslev, Tim, 1989. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 297-305, July.
    Other versions:
  2. repec:att:wimass:198816 is not listed on IDEAS
  3. Hinich, Melvin J & Patterson, Douglas M, 1985. "Evidence of Nonlinearity in Daily Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(1), pages 69-77, January.
  4. Robinson, P M, 1991. "Consistent Nonparametric Entropy-Based Testing," Review of Economic Studies, Blackwell Publishing, vol. 58(3), pages 437-53, May. [Downloadable!] (restricted)
  5. Frank, Murray Z. & Stengos, Thanasis, 1988. "Some evidence concerning macroeconomic chaos," Journal of Monetary Economics, Elsevier, vol. 22(3), pages 423-438. [Downloadable!] (restricted)
  6. Frank, Murray & Stengos, Thanasis, 1989. "Measuring the Strangeness of Gold and Silver Rates of Return," Review of Economic Studies, Blackwell Publishing, vol. 56(4), pages 553-67, October. [Downloadable!] (restricted)
  7. Ramsey, James B & Sayers, Chera L & Rothman, Philip, 1990. "The Statistical Properties of Dimension Calculations Using Small Data Sets: Some Economic Applications," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(4), pages 991-1020, November. [Downloadable!] (restricted)
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  8. repec:att:wimass:199520 is not listed on IDEAS
  9. Brock, William A. & Sayers, Chera L., 1988. "Is the business cycle characterized by deterministic chaos?," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 71-90, July. [Downloadable!] (restricted)
  10. Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation, Yale University, revised Sep 1987. [Downloadable!]
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  11. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," Journal of Business, University of Chicago Press, vol. 62(3), pages 311-37, July. [Downloadable!] (restricted)
  12. Baillie, R.T. & Degennaro, R.P., 1988. "Stock Returns And Volatility," Papers 8803, Michigan State - Econometrics and Economic Theory.
  13. Frank, Murray Z & Stengos, Thanasis, 1988. " Chaotic Dynamics in Economic Time-Series," Journal of Economic Surveys, Blackwell Publishing, vol. 2(2), pages 103-33.
  14. Jess Benhabib, 1996. "On Cycles and Chaos in Economics," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 1(1), pages 1-2. [Downloadable!] (restricted)
  15. Diebold, Francis X. & Rudebusch, Glenn D., 1991. "On the power of Dickey-Fuller tests against fractional alternatives," Economics Letters, Elsevier, vol. 35(2), pages 155-160, February. [Downloadable!] (restricted)
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  16. LeBaron, Blake, 1992. "Some Relations between Volatility and Serial Correlations in Stock Market Returns," Journal of Business, University of Chicago Press, vol. 65(2), pages 199-219, April. [Downloadable!] (restricted)
  17. DeJong, David N, et al, 1992. "Integration versus Trend Stationarity in Time Series," Econometrica, Econometric Society, vol. 60(2), pages 423-33, March. [Downloadable!] (restricted)
  18. repec:att:wimass:19902 is not listed on IDEAS
  19. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
  20. Chung-Ming Kuan & Halbert White, 1992. "Artificial Neural Networks: An Econometric Perspective," University of California at San Diego, Economics Working Paper Series 92-11, Department of Economics, UC San Diego.
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  21. Hsieh, David A, 1991. " Chaos and Nonlinear Dynamics: Application to Financial Markets," Journal of Finance, American Finance Association, vol. 46(5), pages 1839-77, December. [Downloadable!] (restricted)
  22. Tung Liu & Clive Granger & Walter P. Heller, 1991. "Using the Correlation Exponent to Decide if an Economic Series is Chaotic," University of California at San Diego, Economics Working Paper Series 91-21, Department of Economics, UC San Diego.
  23. Frank, Murray & Gencay, Ramazan & Stengos, Thanasis, 1988. "International chaos?," European Economic Review, Elsevier, vol. 32(8), pages 1569-1584, October. [Downloadable!] (restricted)
  24. Brock, William A & Baek, Ehung G, 1991. "Some Theory of Statistical Inference for Nonlinear Science," Review of Economic Studies, Blackwell Publishing, vol. 58(4), pages 697-716, July. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Fernando Fernandez-Rodriguez & Simon Sosvilla-Rivero & Maria Dolores Garcia-Artiles, 1997. "Using nearest neighbour predictors to forecast the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 21(1), pages 75-91, January. [Downloadable!]
  2. Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, . "Technical analysis in the Madrid stock exchange," Studies on the Spanish Economy 23, FEDEA. [Downloadable!]
    Other versions:
  3. Evzen Kocenda, 2003. "An Alternative to the BDS Test: Integration Across The Correlation Integral," Econometrics 0301004, EconWPA. [Downloadable!]
    Other versions:
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