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An Alternative to the BDS Test: Integration Across The Correlation Integral

  • Evzen Kocenda

    (CERGE-EI)

This paper extends and generalizes the BDS test presented by Brock, Dechert, Scheinkman, and LeBaron (1996). In doing so it aims to remove the limitation of having to arbitrarily select a proximity parameter by integrating across the correlation integral. The Monte Carlo simulation is used to tabulate critical values of the alternative statistic. Previously published empirical studies are replicated as well as power tests executed in order to evaluate the relative performance of the suggested alternative to the BDS test. The results are favorable for the suggested alternative.

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File URL: http://128.118.178.162/eps/em/papers/0301/0301004.pdf
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Paper provided by EconWPA in its series Econometrics with number 0301004.

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Length: 16 pages
Date of creation: 29 Jan 2003
Date of revision:
Handle: RePEc:wpa:wuwpem:0301004
Note: Type of Document - Pdf; prepared on PC; to print on HP LaserJet; pages: 16 ; figures: included
Contact details of provider: Web page: http://128.118.178.162

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  1. Serletis, A. & Gogas, P., 1997. "Chaos in East European Black-Market Exchange Rates," Papers 9708, Calgary - Department of Economics.
  2. Evžen Kočenda, 1996. "Volatility of a Seemingly Fixed Exchange Rate," Eastern European Economics, M.E. Sharpe, Inc., vol. 34(6), pages 37-67, December.
  3. Brock, W.A., 1988. "Nonlinearity And Complex Dynamics In Economics And Finance," Working papers 360, Wisconsin Madison - Social Systems.
  4. Ignacio Olmeda & Joaquin Pérez, 1995. "Non-linear dynamics and chaos in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 19(2), pages 217-248, May.
  5. de Lima, Pedro J F, 1998. "Nonlinearities and Nonstationarities in Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 227-36, April.
  6. repec:att:wimass:9520 is not listed on IDEAS
  7. Hsieh, David A., 1993. "Implications of Nonlinear Dynamics for Financial Risk Management," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(01), pages 41-64, March.
  8. Hsieh, David A, 1991. " Chaos and Nonlinear Dynamics: Application to Financial Markets," Journal of Finance, American Finance Association, vol. 46(5), pages 1839-77, December.
  9. Aydin Cecen, A. & Erkal, Cahit, 1996. "Distinguishing between stochastic and deterministic behavior in foreign exchange rate returns: Further evidence," Economics Letters, Elsevier, vol. 51(3), pages 323-329, June.
  10. Brock, W. A., 1986. "Distinguishing random and deterministic systems: Abridged version," Journal of Economic Theory, Elsevier, vol. 40(1), pages 168-195, October.
  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.
  12. Victor Chwee, 1998. "Chaos in Natural Gas Futures?," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 149-164.
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