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Chaos in East European Black-Market Exchange Rates

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Author Info
Serletis, A.
Gogas, P.

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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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Publisher 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.
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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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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

Cited by:
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  1. William A. Barnett & Alfredo Medio & Apostolos Serletis, 1997. "Nonlinear and Complex Dynamics in Economics," Econometrics 9709001, EconWPA. [Downloadable!]
  2. William Barnett & Apostolos Serletis & Demitre Serletis, 2005. "Nonlinear and Complex Dynamics in Real Systems," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200517, University of Kansas, Department of Economics, revised Sep 2005. [Downloadable!]
    Other versions:
  3. William A. Barnett & Apostolos Serletis, 1998. "Martingales, Nonlinearity, and Chaos," Econometrics 9805003, EconWPA. [Downloadable!]
    Other versions:
  4. Evzen Kocenda, 2003. "An Alternative to the BDS Test: Integration Across The Correlation Integral," Econometrics 0301004, EconWPA. [Downloadable!]
    Other versions:
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This page was last updated on 2009-11-20.

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