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Chaos in East European Black-Market Exchange Rates

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Author Info

  • Serletis, A.
  • Gogas, P.

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

Paper provided by Calgary - Department of Economics in its series Papers with number 9708.

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Length: 17 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:fth:calgar:9708

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Postal: THE UNIVERSITY OF CALGARY, DEPARTMENT OF ECONOMICS, 2500 UNIVERSITY DRIVE N.W. CALGARY ALBERTA CANADA T2N 1N4.
Phone: (403) 220-5857
Fax: (403) 282-5262
Web page: http://econ.ucalgary.ca/
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Related research

Keywords: EXCHANGE RATE ; BLACK MARKET;

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Cited by:
  1. William A. Barnett & Alfredo Medio & Apostolos Serletis, 1997. "Nonlinear and Complex Dynamics in Economics," Econometrics 9709001, EconWPA.
  2. 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.
  3. William Barnett & Yijun He, 2012. "Unsolved Econometric Problems In Nonlinearity, Chaos, And Bifurcation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201231, University of Kansas, Department of Economics, revised Sep 2012.
  4. 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.
  5. 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.
  6. William Barnett & Apostolos Serletis & Demitre Serletis, 2005. "Nonlinear and Complex Dynamics in Real Systems," GE, Growth, Math methods 0509002, EconWPA.
  7. 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.
  8. 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.
  9. 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.
  10. William Barnett & Apostolos Serletis, 2012. "Martingales, Nonlinearity, And Chaos," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201225, University of Kansas, Department of Economics, revised Sep 2012.
  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. 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.

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  1. Теорија хаоса in Wikipedia (Serbian)
  2. Θεωρία του χάους in Wikipedia (Greek)
  3. Teori kekacauan in Wikipedia (Malay)

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