Assessing Non-Linear Structures in Real Exchange Rates Using Recurrence Plot Strategies
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|Date of creation:||01 Jul 2002|
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Find related papers by JEL classification:
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- Tzagkarakis George & Dionysopoulos Thomas & Achim Alin, 2016. "Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 75-96, February.
- Catherine Kyrtsou & Michel Terraza, 2010.
"Seasonal Mackey–Glass–GARCH process and short-term dynamics,"
Springer, vol. 38(2), pages 325-345, April.
- Catherine Kyrtsou & Michel Terraza, 2008. "Seasonal Mackey-Glass-GARCH process and short-term dynamics," Discussion Paper Series 2008_09, Department of Economics, University of Macedonia, revised Sep 2008.
- Bastos, João A. & Caiado, Jorge, 2011. "Recurrence quantification analysis of global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(7), pages 1315-1325.
- Joao A. Bastos & Jorge Caiado, 2010. "Recurrence quantification analysis of global stock markets," CEMAPRE Working Papers 1006, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon.
- S. Anoop Kumar & B. Kamaiah, 2014. "On Chaotic Nature of the Emerging European Forex Markets," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 17(53), pages 25-40, September.
- Olmedo,E. & Velasco, F. & Valderas, J.M., 2007. "Caracterización no lineal y predicción no paramétrica en el IBEX35/Nonlinear Characterization and Predictions of IBEX 35," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 25, pages 815-842, Diciembre.
- Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, vol. 31(3), pages 492-502, May.
- Amelia Carolina Sparavigna, 2014. "Recurrence plots of exchange rates of currencies," Papers 1408.4746, arXiv.org.
- Sergii Piskun & Oleksandr Piskun & Dmitry Chabanenko, 2011. "RQA Application for the Monitoring of Financial and Commodity markets state," Papers 1112.0297, arXiv.org.
- Aparicio, Teresa & Pozo, Eduardo F. & Saura, Dulce, 2008. "Detecting determinism using recurrence quantification analysis: Three test procedures," Journal of Economic Behavior & Organization, Elsevier, vol. 65(3-4), pages 768-787, March.
- Karagianni Stella & Kyrtsou Catherine, 2011. "Analysing the Dynamics between U.S. Inflation and Dow Jones Index Using Non-Linear Methods," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(2), pages 1-25, March.
- Emilian Lucian NEACSU & Marcela Daniela TODONI, 2014. "A Way To Determine Chaotic Behaviour In Romanian Stock Market," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 14, pages 207-214, December.
- Chen, Wei-Shing, 2011. "Use of recurrence plot and recurrence quantification analysis in Taiwan unemployment rate time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(7), pages 1332-1342.
- Elena Olmedo, 2014. "Forecasting Spanish Unemployment Using Near Neighbour and Neural Net Techniques," Computational Economics, Springer;Society for Computational Economics, vol. 43(2), pages 183-197, February.
- Faggini, Marisa, 2010. "Chaos detection in economics. Metric versus topological tools," MPRA Paper 30928, University Library of Munich, Germany.
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