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Determining delay times for phase space reconstruction with application to the FF/DM exchange rate

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  • Mizrach, Bruce

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  • Mizrach, Bruce, 1996. "Determining delay times for phase space reconstruction with application to the FF/DM exchange rate," Journal of Economic Behavior & Organization, Elsevier, vol. 30(3), pages 369-381, September.
  • Handle: RePEc:eee:jeborg:v:30:y:1996:i:3:p:369-381
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    References listed on IDEAS

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    1. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," The Journal of Business, University of Chicago Press, vol. 62(3), pages 311-337, July.
    2. Mizrach, Bruce, 1995. "Target zone models with stochastic realignments: an econometric evaluation," Journal of International Money and Finance, Elsevier, vol. 14(5), pages 641-657, October.
    3. Mayfield, E Scott & Mizrach, Bruce, 1992. "On Determining the Dimension of Real-Time Stock-Price Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 367-374, July.
    4. Bruce Mizrach, 1995. "A Simple Nonparametric Test for Independence," Departmental Working Papers 199523, Rutgers University, Department of Economics.
    5. 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.
    6. Brock, W.A., 1991. "Some Theory of Statistical Inference for Nonlinear Science : Expanded Version," Working papers 9101, Wisconsin Madison - Social Systems.
    7. William A. Brock & Ehung G. Baek, 1991. "Some Theory of Statistical Inference for Nonlinear Science," Review of Economic Studies, Oxford University Press, vol. 58(4), pages 697-716.
    8. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," The Journal of Business, University of Chicago Press, vol. 62(3), pages 339-368, July.
    9. Murray Frank & Thanasis Stengos, 1989. "Measuring the Strangeness of Gold and Silver Rates of Return," Review of Economic Studies, Oxford University Press, vol. 56(4), pages 553-567.
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    Cited by:

    1. Marisa Faggini & Anna Parziale, 2016. "More than 20 years of chaos in economics," Mind & Society: Cognitive Studies in Economics and Social Sciences, Springer;Fondazione Rosselli, vol. 15(1), pages 53-69, June.
    2. 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.

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