Using the Correlation Dimension to Detect non-linear dynamics
The 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.
|Date of creation:||Nov 2004|
|Date of revision:||Nov 2004|
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