This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Nonlinear Dynamics and Stock Returns

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Scheinkman, Jose A
LeBaron, Blake

Additional information is available for the following registered author(s):

Abstract

Simple deterministic systems are capable of generating chaotic output that "mimics" the output of stochastic systems. For this reason, algorithms have been developed to distinguish between these two alternatives. These algorithms and related statistical tests are also useful in detecting the presence of nonlinear dependence in time series. In this article, the authors apply these procedures to stock returns and find evidence that indicates the presence of nonlinear dependence on weekly returns from the Center for Research in Security Prices value-weighted index. Copyright 1989 by the University of Chicago.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.jstor.org/fcgi-bin/jstor/listjournal.fcg/00219398/.61-.67
File Format: application/pdf
File Function: full text
Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 62 (1989)
Issue (Month): 3 (July)
Pages: 311-37
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ucp:jnlbus:v:62:y:1989:i:3:p:311-37

Contact details of provider:
Postal: The University of Chicago Press, Journals Division, P.O. Box 37005 Chicago, IL 60637
Web page: http://www.journals.uchicago.edu/JB/home.html

Order Information:
Web: http://www.journals.uchicago.edu/JB/home.html

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

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.)
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.
Statistics
Access and download statistics

Did you know? All full texts are decentralized with the publishers, none reside on this server, thus making it possible to offer this service for free to all parties.

This page was last updated on 2009-11-6.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.