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Economic And Financial Data As Nonlinear Processes

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Author Info
Ramsey, James B.
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File URL: http://econ.as.nyu.edu/docs/IO/9395/RR88-30.pdf
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Paper provided by C.V. Starr Center for Applied Economics, New York University in its series Working Papers with number 88-30.

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Length: 60 pages
Date of creation: 1988
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Handle: RePEc:cvs:starer:88-30

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Postal: C.V. Starr Center, Department of Economics, New York University, 19 W. 4th Street, 6th Floor, New York, NY 10012
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Web page: http://econ.as.nyu.edu/object/econ.cvstarr.html
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Postal: C.V. Starr Center, Department of Economics, New York University, 19 W. 4th Street, 6th Floor, New York, NY 10012
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Keywords: financial market ; econometrics;

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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. Ramsey, J.B. & Sayers, C.L. & Rothman, P., 1988. "The Statistical Properties Of Dimension Calculations Using Small Data Sets: Some Economic Applications," Papers 15, Houston - Department of Economics.
    Other versions:
  2. 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.
  3. Hinich, Melvin J. & Patterson, Douglas M., 1985. "Identification of the coefficients in a non-linear : time series of the quadratic type," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 269-288. [Downloadable!] (restricted)
  4. Ramsey, James B. & Yuan, Hsiao-Jane, 1987. "The Statistical Properties of Dimension Calculations Using Small Data Sets," Working Papers 87-20, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
  5. repec:att:wimass:199520 is not listed on IDEAS
  6. 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)
  7. 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)
  8. Frank, Murray Z. & Stengos, Thanasis, 1988. "Some evidence concerning macroeconomic chaos," Journal of Monetary Economics, Elsevier, vol. 22(3), pages 423-438. [Downloadable!] (restricted)
  9. 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)
  10. Brock, W. A., 1986. "Distinguishing random and deterministic systems: Abridged version," Journal of Economic Theory, Elsevier, vol. 40(1), pages 168-195, October. [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. Albu, Lucian-Liviu, 2006. "Non-linear models: applications in economics," MPRA Paper 3100, University Library of Munich, Germany. [Downloadable!]
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