Using the Correlation Dimension to Detect non-linear dynamics
AbstractThe standardised residuals from GARCH models fitted to three stock indices of the Athens Stock Exchange are examined for evidence of chaotic behaviour. In each case the correlation dimension is calculated for a range of embedding dimensions. The results do not support the hypothesis of chaotic behaviour; it appears that each set of residuals is iid.
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Bibliographic InfoPaper provided by Department of Economics, Loughborough University in its series Discussion Paper Series with number 2004_17.
Date of creation: Nov 2004
Date of revision: Nov 2004
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More information through EDIRC
Non-linear Dynamics; Stock Indices; Chaos; Correlation Dimension.;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-07-25 (All new papers)
- NEP-ETS-2005-07-25 (Econometric Time Series)
- NEP-FIN-2005-07-25 (Finance)
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.:
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