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Testing for non-linearity in an artificial financial market: a recurrence quantification approach

  • Belaire-Franch, Jorge

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File URL: http://www.sciencedirect.com/science/article/B6V8F-4BJX30P-2/2/f343574e826cd0b0fa2c70bd1cb29dfa
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Article provided by Elsevier in its journal Journal of Economic Behavior & Organization.

Volume (Year): 54 (2004)
Issue (Month): 4 (August)
Pages: 483-494

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Handle: RePEc:eee:jeborg:v:54:y:2004:i:4:p:483-494
Contact details of provider: Web page: http://www.elsevier.com/locate/jebo

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  1. William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen, 1996. "A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos," Econometrics 9602005, EconWPA, revised 20 Sep 1996.
  2. Giuliani, Alessandro & Colafranceschi, Mauro & Webber, Charles L & Zbilut, Joseph P, 2001. "A complexity score derived from principal components analysis of nonlinear order measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 301(1), pages 567-588.
  3. Soofi, Abdol S. & Cao, Liangyue, 1999. "Nonlinear deterministic forecasting of daily Peseta-Dollar exchange rate," Economics Letters, Elsevier, vol. 62(2), pages 175-180, February.
  4. Strozzi, Fernanda & Zaldı́var, José-Manuel & Zbilut, Joseph P, 2002. "Application of nonlinear time series analysis techniques to high-frequency currency exchange data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 312(3), pages 520-538.
  5. Gilmore, Claire G., 1993. "A new test for chaos," Journal of Economic Behavior & Organization, Elsevier, vol. 22(2), pages 209-237, October.
  6. Shu-Heng Chen & Thomas Lux & Michele Marchesi, 1999. "Testing for Non-Linear Structure in an Artificial Financial Market," Discussion Paper Serie B 447, University of Bonn, Germany.
  7. Hinich Melvin J & Mendes Eduardo M & Stone Lewi, 2005. "Detecting Nonlinearity in Time Series: Surrogate and Bootstrap Approaches," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-15, December.
  8. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April.
  9. de Lima, Pedro J. F., 1997. "On the robustness of nonlinearity tests to moment condition failure," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 251-280.
  10. Lux, T. & M. Marchesi, . "Volatility Clustering in Financial Markets: A Micro-Simulation of Interacting Agents," Discussion Paper Serie B 437, University of Bonn, Germany, revised Jul 1998.
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