Testing Chaotic Dynamics via Lyapunov Exponents
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- Simón Sosvilla-Rivero & Fernando Fernández-Rodriguez & Julián Andrada-Félix, 2005. "Testing chaotic dynamics via Lyapunov exponents," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 911-930.
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Citations
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Cited by:
- Loretta Mastroeni & Pierluigi Vellucci, 2016. "“Butterfly Effect" vs Chaos in Energy Futures Markets," Departmental Working Papers of Economics - University 'Roma Tre' 0209, Department of Economics - University Roma Tre.
- Park, Joon Y. & Whang, Yoon-Jae, 2012.
"Random walk or chaos: A formal test on the Lyapunov exponent,"
Journal of Econometrics,
Elsevier, vol. 169(1), pages 61-74.
- Joon Y. Park & Yoon-Jae Whang, 1999. "Random Walk or Chaos: A Formal Test on the Lyapunov Exponent," Working Paper Series no9, Institute of Economic Research, Seoul National University.
- Matilla-García, Mariano & Marín, Manuel Ruiz, 2010.
"A new test for chaos and determinism based on symbolic dynamics,"
Journal of Economic Behavior & Organization,
Elsevier, vol. 76(3), pages 600-614, December.
- Mariano Matilla-García & Manuel Ruiz Marín, 2010. "A New Test for Chaos and Determinism based on Symbolic Dynamics," Post-Print hal-00911819, HAL.
- Resende, Marcelo & Zeidan, Rodrigo M., 2008. "Expectations and chaotic dynamics: Empirical evidence on exchange rates," Economics Letters, Elsevier, vol. 99(1), pages 33-35, April.
- Bask, Mikael & Widerberg, Anna, 2009.
"Market structure and the stability and volatility of electricity prices,"
Energy Economics,
Elsevier, vol. 31(2), pages 278-288, March.
- Bask, Mikael & Widerberg, Anna, 2008. "Market Structure and the Stability and Volatility of Electricity Prices," Working Papers in Economics 327, University of Gothenburg, Department of Economics.
- Bask, Miia & Bask, Mikael, 2010. "Inequality Generating Processes and Measurement of the Matthew Effect," Working Paper Series 2010:19, Uppsala University, Department of Economics.
- Matilla-Garcia, Mariano, 2007. "A non-parametric test for independence based on symbolic dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 31(12), pages 3889-3903, December.
- Mariano Matilla-García & Manuel Ruiz Marín & Mohammed Dore & Rina Ojeda, 2014. "Nonparametric correlation integral–based tests for linear and nonlinear stochastic processes," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(1), pages 181-193, April.
- Bask, Mikael, 2010. "Measuring potential market risk," Journal of Financial Stability, Elsevier, vol. 6(3), pages 180-186, September.
- Loretta Mastroeni & Pierluigi Vellucci, 2016. ""Butterfly Effect" vs Chaos in Energy Futures Markets," Papers 1610.05697, arXiv.org.
- Bask, Mikael, 2007. "Measuring potential market risk," Research Discussion Papers 20/2007, Bank of Finland.
- Matilla-Garcia, Mariano & Ruiz Marin, Manuel, 2008. "A non-parametric independence test using permutation entropy," Journal of Econometrics, Elsevier, vol. 144(1), pages 139-155, May.
- Demos, Guilherme & Da Silva, Sergio & Matsushita, Raul, 2015. "Some Statistical Properties of the Mini Flash Crashes," MPRA Paper 65473, University Library of Munich, Germany.
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This paper has been announced in the following NEP Reports:- NEP-ALL-2001-12-04 (All new papers)
- NEP-ECM-2001-12-04 (Econometrics)
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