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Nonlinear Dynamics and Chaos: Application to Financial Markets in Pakistan

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  • Nasir M. Khilji

    (Assumption College, Worcester, Massachusetts, USA.)

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Suggested Citation

  • Nasir M. Khilji, 1994. "Nonlinear Dynamics and Chaos: Application to Financial Markets in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 33(4), pages 1417-1429.
  • Handle: RePEc:pid:journl:v:33:y:1994:i:4:p:1417-1429
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    File URL: http://www.pide.org.pk/pdf/PDR/1994/Volume4/1417-1429.pdf
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    References listed on IDEAS

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    1. Brock, W.A. & Dechert, W.D. & LeBaron, B. & Scheinkman, J.A., 1995. "A Test for Independence Based on the Correlation Dimension," Working papers 9520, Wisconsin Madison - Social Systems.
    2. Conrad, Jennifer & Kaul, Gautam, 1988. "Time-Variation in Expected Returns," The Journal of Business, University of Chicago Press, vol. 61(4), pages 409-425, October.
    3. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
    4. Hsieh, David A, 1991. " Chaos and Nonlinear Dynamics: Application to Financial Markets," Journal of Finance, American Finance Association, vol. 46(5), pages 1839-1877, December.
    5. Brock, W. A., 1986. "Distinguishing random and deterministic systems: Abridged version," Journal of Economic Theory, Elsevier, vol. 40(1), pages 168-195, October.
    6. LeBaron, B., 1991. "Empirical Evidence for Nonlinearities and Chaos in Economic Time Series: A Summary of Recent Results," Working papers 9117, Wisconsin Madison - Social Systems.
    7. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
    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. Scheinkman, Jose A, 1990. "Nonlinearities in Economic Dynamics," Economic Journal, Royal Economic Society, vol. 100(400), pages 33-48, Supplemen.
    10. Kelsey, David, 1988. "The Economics of Chaos or the Chaos of Economics," Oxford Economic Papers, Oxford University Press, vol. 40(1), pages 1-31, March.
    11. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. Javed Iqbal & Aziz Haider, 2005. "Arbitrage Pricing Theory: Evidence From An Emerging Stock Market," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 10(1), pages 123-139, Jan-Jun.

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