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Citations for "Nonlinear Dynamics and Stock Returns"

by Scheinkman, Jose A & LeBaron, Blake

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  1. M. Matilla-Garcia & P. Sanz & F. J. Vazquez, 2004. "Dimension estimation with the BDS-G statistic," Applied Economics, Taylor & Francis Journals, vol. 36(11), pages 1219-1223.
  2. Schittenkopf Christian & Dorffner Georg & Dockner Engelbert J., 2000. "On Nonlinear, Stochastic Dynamics in Economic and Financial Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 4(3), pages 1-23, October.
  3. Ammermann, Peter A. & Patterson, Douglas M., 2003. "The cross-sectional and cross-temporal universality of nonlinear serial dependencies: Evidence from world stock indices and the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 11(2), pages 175-195, April.
  4. Fernando Fernandez-Rodriguez & Simon Sosvilla-Rivero & Maria Dolores Garcia-Artiles, 1997. "Using nearest neighbour predictors to forecast the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 21(1), pages 75-91, January.
  5. Michener, Ronald & Ravikumar, B., 1998. "Chaotic dynamics in a cash-in-advance economy," Journal of Economic Dynamics and Control, Elsevier, vol. 22(7), pages 1117-1137, May.
  6. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
  7. Erzgräber, Hartmut & Strozzi, Fernanda & Zaldívar, José-Manuel & Touchette, Hugo & Gutiérrez, Eugénio & Arrowsmith, David K., 2008. "Time series analysis and long range correlations of Nordic spot electricity market data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(26), pages 6567-6574.
  8. Ivani Bora & Naliniprava Tripathy, 2016. "Random or Deterministic? Evidence from Indian Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1716-1721.
  9. Chen, Shu-Heng & Yeh, Chia-Hsuan, 1997. "Toward a computable approach to the efficient market hypothesis: An application of genetic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 21(6), pages 1043-1063, June.
  10. Barnett, William A. & Serletis, Apostolos & Serletis, Demitre, 2015. "Nonlinear And Complex Dynamics In Economics," Macroeconomic Dynamics, Cambridge University Press, vol. 19(08), pages 1749-1779, December.
  11. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
  12. Ozdemir, Zeynel Abidin, 2009. "Linkages between international stock markets: A multivariate long-memory approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(12), pages 2461-2468.
  13. Oya, Shunsuke & Aihara, Kazuyuki & Hirata, Yoshito, 2014. "An absolute measure for a key currency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 15-23.
  14. Gilmore, Claire G., 2001. "An examination of nonlinear dependence in exchange rates, using recent methods from chaos theory," Global Finance Journal, Elsevier, vol. 12(1), pages 139-151.
  15. Cheteni, Priviledge, 2013. "Non-linearity behaviour of the ALBI Index: A case of Johannesburg Stock Exchange in South Africa," MPRA Paper 56369, University Library of Munich, Germany.
  16. Nektarios Aslanidis, 2002. "Regime-switching behaviour in European," Working Papers 0202, University of Crete, Department of Economics.
  17. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics,in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038 Elsevier.
  18. 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.
  19. Kramer, Walter & Runde, Ralf, 1997. "Chaos and the compass rose," Economics Letters, Elsevier, vol. 54(2), pages 113-118, February.
  20. Bekiros, Stelios D. & Diks, Cees G.H., 2008. "The nonlinear dynamic relationship of exchange rates: Parametric and nonparametric causality testing," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1641-1650, December.
  21. Sarkar, Nityananda, 2000. "Arch model with Box-Cox transformed dependent variable," Statistics & Probability Letters, Elsevier, vol. 50(4), pages 365-374, December.
  22. Kian-Ping Lim & Hock-Ann Lee & Venus Khim-Sen Liew, 2003. "International Diversification Benefits in ASEAN Stock Markets: a Revisit," Finance 0308003, EconWPA.
  23. Kian-Ping Lim & Melvin J. Hinich, 2005. "Cross-temporal universality of non-linear dependencies in Asian stock markets," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-6.
  24. Mariano Matilla-Garcia & Paloma Sanz & Francisco Vazquez, 2005. "The BDS test and delay time," Applied Economics Letters, Taylor & Francis Journals, vol. 12(2), pages 109-113.
  25. Orlando Gomes, 2007. "Routes to chaos in macroeconomic theory," Journal of Economic Studies, Emerald Group Publishing, vol. 33(6), pages 437-468, January.
  26. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
  27. Ozdemir, Zeynel Abidin & Cakan, Esin, 2007. "Non-linear dynamic linkages in the international stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 173-180.
  28. Marisa Faggini & Anna Parziale, 2016. "More than 20 years of chaos in economics," Mind & Society: Cognitive Studies in Economics and Social Sciences, Springer;Fondazione Rosselli, vol. 15(1), pages 53-69, June.
  29. A. Corcos & J-P Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette, 2002. "Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos," Quantitative Finance, Taylor & Francis Journals, vol. 2(4), pages 264-281.
  30. Marisa Faggini, 2011. "Chaotic Time Series Analysis in Economics: Balance and Perspectives," Working papers 25, Former Department of Economics and Public Finance "G. Prato", University of Torino.
  31. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415, September.
  32. Brooks, Chris & Hinich, Melvin J., 1999. "Cross-correlations and cross-bicorrelations in Sterling exchange rates," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 385-404, October.
  33. Graham Newell & Maurice Peat & Max Stevenson, 1996. "Testing for Evidence of Nonlinear Structure in Australian Real Estate Market Returns," Working Paper Series 61, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  34. Mahajan, Arvind & Wagner, Andrew J., 1999. "Nonlinear dynamics in foreign exchange rates," Global Finance Journal, Elsevier, vol. 10(1), pages 1-23.
  35. An-Sing Chen & James Wuh Lin, 2004. "Cointegration and detectable linear and nonlinear causality: analysis using the London Metal Exchange lead contract," Applied Economics, Taylor & Francis Journals, vol. 36(11), pages 1157-1167.
  36. Balke, Nathan S & Fomby, Thomas B, 1994. "Large Shocks, Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time Series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(2), pages 181-200, April-Jun.
  37. Ayan Bhattacharya & Rudra Sensarma, 2013. "Non-Linearites In Emerging Financial Markets: Evidence From India," Working papers 140, Indian Institute of Management Kozhikode.
  38. Rothman Philip, 2016. "Introduction to Studies in Nonlinear Dynamics & Econometrics Issue in Honor of James B. Ramsey," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 343-346, September.
  39. Pan, Jiazhu & Wang, Hui & Tong, Howell, 2008. "Estimation and tests for power-transformed and threshold GARCH models," Journal of Econometrics, Elsevier, vol. 142(1), pages 352-378, January.
  40. 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.
  41. Avdoulas, Christos & Bekiros, Stelios & Boubaker, Sabri, 2016. "Detecting nonlinear dependencies in eurozone peripheral equity markets: A multistep filtering approach," Economic Modelling, Elsevier, vol. 58(C), pages 580-587.
  42. Jorge Belaire-Franch & Kwaku Opong, 2005. "A Variance Ratio Test of the Behaviour of Some FTSE Equity Indices Using Ranks and Signs," Review of Quantitative Finance and Accounting, Springer, vol. 24(1), pages 93-107, January.
  43. Catherine Kyrtsou & Michel Terraza, 2003. "Is it Possible to Study Chaotic and ARCH Behaviour Jointly? Application of a Noisy Mackey–Glass Equation with Heteroskedastic Errors to the Paris Stock Exchange Returns Series," Computational Economics, Springer;Society for Computational Economics, vol. 21(3), pages 257-276, June.
  44. Bajo-Rubio, Oscar & Sosvilla-Rivero, Simon & Fernandez-Rodriguez, Fernando, 2001. "Asymmetry in the EMS: New evidence based on non-linear forecasts," European Economic Review, Elsevier, vol. 45(3), pages 451-473, March.
  45. Kohers, Theodor & Pandey, Vivek & Kohers, Gerald, 1997. "Using nonlinear dynamics to test for market efficiency among the major U.S. stock exchanges," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(2), pages 523-545.
  46. Kian-Ping Lim & M. Azali & M.S. Habibullah & Venus Khim-Sen Liew, 2003. "Are Non-Linear Dynamics a Universal Occurrence? Further Evidence From Asian Stock Markets," Finance 0308001, EconWPA.
  47. Youwei Li & Bas Donkers, 2004. "The Econometric Analysis of Microscopic Simulation Models," Computing in Economics and Finance 2004 195, Society for Computational Economics.
  48. Daniela Federici & Giancarlo Gandolfo, 2001. "Chaos and the exchange rate," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 11(2), pages 111-142.
  49. Nijkamp, P. & Poot, J., 1991. "Lessons from non-linear dynamic economics," Serie Research Memoranda 0105, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  50. Jorge Belaire-Franch & Kwaku Opong, 2013. "A Time Series Analysis of U.K. Construction and Real Estate Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 516-542, April.
  51. Perez-Rodriguez, Jorge V. & Torra, Salvador & Andrada-Felix, Julian, 2005. "STAR and ANN models: forecasting performance on the Spanish "Ibex-35" stock index," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 490-509, June.
  52. Thomas Lux, 2008. "Stochastic Behavioral Asset Pricing Models and the Stylized Facts," Working Papers wp08-03, Warwick Business School, Finance Group.
  53. Chung Y. Peter & Zhou Zhong-guo, 2012. "The Pricing of Time-Varying Exchange Rate Risk in the Stock Market: A Nonparametric Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(1), pages 1-33, January.
  54. Karen K. Lewis, 1991. "Should the Holding Period Matter for the Intertemporal Consumption-BasedCAPM?," NBER Working Papers 3583, National Bureau of Economic Research, Inc.
  55. Mougoue, Mbodja & Noula, Armand Gilbert & Ajayi, Richard A., 2008. "Maturities, Nonlinearities, and the International Transmission of Short-Term Interest Rates," Review of Applied Economics, Review of Applied Economics, vol. 4(1-2).
  56. Scott C. Linn & Nicholas S. P. Tay, 2007. "Complexity and the Character of Stock Returns: Empirical Evidence and a Model of Asset Prices Based on Complex Investor Learning," Management Science, INFORMS, vol. 53(7), pages 1165-1180, July.
  57. Dale, Charles, 1990. "From Kondratieff to Chaos: Some Perspectives on Long-Term and Short-Term Business Cycles," MPRA Paper 46229, University Library of Munich, Germany.
  58. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  59. Federici, Daniela & Gandolfo, Giancarlo, 2012. "The Euro/Dollar exchange rate: Chaotic or non-chaotic? A continuous time model with heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 670-681.
  60. Orlando Gomes, 2006. "Routes to chaos in macroeconomic theory," Journal of Economic Studies, Emerald Group Publishing, vol. 33(6), pages 437-468, November.
  61. R. M. Eldridge & Maurice Peat & Max Stevenson, 2003. "The Role of Intra-Day and Inter-Day Data Effects in Determining Linear and Nonlinear Granger Causality Between Australian Futures and Cash Index Markets," Working Paper Series 122, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  62. Shively, Philip A., 2007. "Asymmetric temporary and permanent stock-price innovations," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 120-130, January.
  63. Jack Stecher & Timothy Shields & John Dickhaut (deceased), 2011. "Generating Ambiguity in the Laboratory," Management Science, INFORMS, vol. 57(4), pages 705-712, April.
  64. Rodríguez, Mª Araceli, 2005. "Nueva Evidencia Empírica sobre las Turbulencias Cambiarias de la Peseta Española. 1989-1998/New Evidence about Turbulences on the Spanish Peseta. 1989-1998s," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 23, pages 207-230, Abril.
  65. repec:pal:jorsoc:v:60:y:2009:i:5:d:10.1057_palgrave.jors.2602594 is not listed on IDEAS
  66. Anning Wei & Raymond M. Leuthold, 1998. "Long Agricultural Futures Prices: ARCH, Long Memory, or Chaos Processes?," Finance 9805001, EconWPA.
  67. repec:eee:asieco:v:50:y:2017:i:c:p:62-72 is not listed on IDEAS
  68. Panas, E., 2001. "Long memory and chaotic models of prices on the London Metal Exchange," Resources Policy, Elsevier, vol. 27(4), pages 235-246, December.
  69. Leopoldo S\'anchez-Cant\'u & Carlos Arturo Soto-Campos & Andriy Kryvko, 2016. "Evidence of Self-Organization in Time Series of Capital Markets," Papers 1604.03996, arXiv.org, revised Mar 2017.
  70. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  71. Julián Andrada Félix & Fernando Fernández Rodríguez & María Dolores García Artiles, 2004. "Non-linear trading rules in the New York Stock Exchange," Documentos de trabajo conjunto ULL-ULPGC 2004-05, Facultad de Ciencias Económicas de la ULPGC.
  72. Donald Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Yale School of Management Working Papers amz2581, Yale School of Management, revised 01 Jul 2005.
  73. Bonache, Adrien & Moris, Karen, 2009. "Nonlinear and chaotic patterns in Japanese video game console sales and consequences for management control," MPRA Paper 18196, University Library of Munich, Germany.
  74. repec:dau:papers:123456789/3188 is not listed on IDEAS
  75. Robert J Bianchi & Adam E Clements & Michael E Drew, 2009. "HACking at Non-linearity: Evidence from Stocks and Bonds," School of Economics and Finance Discussion Papers and Working Papers Series 244, School of Economics and Finance, Queensland University of Technology.
  76. Dominique, C-Rene, 2015. "How Market Economies Come to Live and Grow on the Edge of Chaos," MPRA Paper 65945, University Library of Munich, Germany.
  77. Graham Newell & Maurice Peat & Max Stevenson, 1997. "Testing for Evidence of Nonlinear Structure in Daily and Weekly United Kingdom Stock and Property Market Indicies," Working Paper Series 73, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  78. Madhavan, Vinodh, 2013. "Nonlinearity in investment grade Credit Default Swap (CDS) Indices of US and Europe: Evidence from BDS and close-returns tests," Global Finance Journal, Elsevier, vol. 24(3), pages 266-279.
  79. Brock, W.A. & Hommes, C.H., 1997. "Models of Compelxity in Economics and Finance," Working papers 9706, Wisconsin Madison - Social Systems.
  80. Chevallier, Julien, 2011. "Nonparametric modeling of carbon prices," Energy Economics, Elsevier, vol. 33(6), pages 1267-1282.
  81. Stephen J. Brown & William N. Goetzmann & Alok Kumar, 1998. "The Dow Theory: William Peter Hamilton's Track Record Reconsidered," Journal of Finance, American Finance Association, vol. 53(4), pages 1311-1333, 08.
  82. Qiao, Zhuo & Chu, Patrick Kuok-Kun, 2014. "Does fine wine price contain useful information to forecast GDP? Evidence from major developed countries," Economic Modelling, Elsevier, vol. 38(C), pages 75-79.
  83. Lee, Min-Ku & Kim, Jeong-Hoon & Kim, Joocheol, 2011. "A delay financial model with stochastic volatility; martingale method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(16), pages 2909-2919.
  84. Catherine Kyrtsou & Michel Terraza, 2000. "Is It Possible To Study Jointly Chaotic And Arch Behaviour? Application Of A Noisy Mackey-Glass Equation With Heteroskedastic Errors To The Paris Stock Exchange," Computing in Economics and Finance 2000 Z226, Society for Computational Economics.
  85. Faisal Khan & Saif-Ur-Rehman Khan & Hashim Khan, 2016. "Pricing of Risk, Various Volatility Dynamics and Macroeconomic Exposure of Firm Returns: New Evidence on Age Effect," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 551-561.
  86. Kian-Ping Lim & Venus Khim-Sen Liew & Hock-Tsen Wong, 2003. "Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies: The Case of the Kuala Lumpur Stock Exchange," Finance 0312012, EconWPA.
  87. Arturo Lorenzo Valdés, 2002. "Pruebas de no linealidad de los rendimientos del mercado mexicano accionario: coeficientes de Lyapunov," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 17(2), pages 305-322.
  88. Cecen, A. Aydin & Erkal, Cahit, 1996. "Distinguishing between stochastic and deterministic behavior in high frequency foreign exchange rate returns: Can non-linear dynamics help forecasting?," International Journal of Forecasting, Elsevier, vol. 12(4), pages 465-473, December.
  89. Harris, Richard D. F. & Kucukozmen, C. Coskun, 2001. "Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management," European Journal of Operational Research, Elsevier, vol. 134(3), pages 481-492, November.
  90. McKenzie, Michael D., 2001. "Chaotic behavior in national stock market indices: New evidence from the close returns test," Global Finance Journal, Elsevier, vol. 12(1), pages 35-53.
  91. Caraiani, Petre, 2012. "Nonlinear dynamics in CEE stock markets indices," Economics Letters, Elsevier, vol. 114(3), pages 329-331.
  92. Mizrach, Bruce, 1996. "Determining delay times for phase space reconstruction with application to the FF/DM exchange rate," Journal of Economic Behavior & Organization, Elsevier, vol. 30(3), pages 369-381, September.
  93. Opong, Kwaku K. & Mulholland, Gwyneth & Fox, Alan F. & Farahmand, Kambiz, 1999. "The behaviour of some UK equity indices: An application of Hurst and BDS tests1," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 267-282, September.
  94. Ralf Ostermark & Jaana Aaltonen & Henrik Saxen & Kenneth Soderlund, 2004. "Nonlinear modelling of the Finnish Banking and Finance branch index," The European Journal of Finance, Taylor & Francis Journals, vol. 10(4), pages 277-289.
  95. Dahl, Christian M. & Nielsen, Steen, 2001. "The Random Walk Of Stock Prices: Implications Of Recent Nonpara-Metric Tests," Working Papers 07-2001, Copenhagen Business School, Department of Economics.
  96. Nityanda Sarkar & Debabrata Mukhopadhyay, 2005. "Testing Predictability and Nonlinear Dependence in the Indian Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 41(6), pages 7-44, November.
  97. Potzelberger, Klaus & Sogner, Leopold, 2003. "Stochastic equilibrium: learning by exponential smoothing," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1743-1770, August.
  98. Bekiros, Stelios, 2014. "Nonlinear causality testing with stepwise multivariate filtering: Evidence from stock and currency markets," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 336-348.
  99. Andrada-Félix Julián & Fernadez-Rodriguez Fernando & Garcia-Artiles Maria-Dolores & Sosvilla-Rivero Simon, 2003. "An Empirical Evaluation of Non-Linear Trading Rules," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(3), pages 1-32, October.
  100. 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.
  101. Barnett, William A. & Serletis, Apostolos, 2000. "Martingales, nonlinearity, and chaos," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 703-724, June.
  102. J. V. Andersen & S. Gluzman & D. Sornette, 1999. "Fundamental Framework for Technical Analysis," Papers cond-mat/9910047, arXiv.org.
  103. Szpiro, George G., 1998. "Tick size, the compass rose and market nanostructure," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1559-1569, December.
  104. Daniela Federici & Giancarlo Gandolfo, 2011. "The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic?," CESifo Working Paper Series 3420, CESifo Group Munich.
  105. Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation for Research in Economics, Yale University.
  106. Mattarocci, Gianluca, 2006. "Market characteristics and chaos dynamics in stock markets: an international comparison," MPRA Paper 4296, University Library of Munich, Germany, revised Jun 2006.
  107. Isabelle Girerd-Potin & Ollivier Taramasco, 1994. "Les rentabilités à la bourse de Paris sont-elles chaotiques ?," Revue Économique, Programme National Persée, vol. 45(2), pages 215-238.
  108. Acatrinei, Marius Cristian & Caraiani, Petre, 2011. "Modeling and Forecasting the Dynamics in Romanian Stock Market Indices Using Threshold Models," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 42-54, June.
  109. Moosa, Imad A. & Silvapulle, Param, 2000. "The price-volume relationship in the crude oil futures market Some results based on linear and nonlinear causality testing," International Review of Economics & Finance, Elsevier, vol. 9(1), pages 11-30, February.
  110. Paul Harrison & Harold Zhang, "undated". "Cyclical Variation in the Risk and Return Relation," GSIA Working Papers 1997-27, Carnegie Mellon University, Tepper School of Business.
  111. Demosthenes Tambakis, 2009. "Feedback trading and intermittent market turbulence," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 477-489.
  112. Huck, Nicolas, 2009. "Pairs selection and outranking: An application to the S&P 100 index," European Journal of Operational Research, Elsevier, vol. 196(2), pages 819-825, July.
  113. Szpiro, George G., 1997. "Noise in unspecified, non-linear time series," Journal of Econometrics, Elsevier, vol. 78(2), pages 229-255, June.
  114. Bekiros, Stelios D. & Diks, Cees G.H., 2008. "The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality," Energy Economics, Elsevier, vol. 30(5), pages 2673-2685, September.
  115. Paul Grauwe & Hans Dewachter, 1993. "A chaotic model of the exchange rate: The role of fundamentalists and chartists," Open Economies Review, Springer, vol. 4(4), pages 351-379, December.
  116. Diks, C.G.H., 2000. "Dimension estimations, stock returns and volatility clustering," CeNDEF Working Papers 00-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  117. Anagnostidis, Panagiotis & Emmanouilides, Christos J., 2015. "Nonlinearity in high-frequency stock returns: Evidence from the Athens Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 473-487.
  118. Daniela Hristova, 2004. "Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices," Computing in Economics and Finance 2004 47, Society for Computational Economics.
  119. David Chappell & Robert Eldridge, 1997. "Non-linear characteristics of the sterling/European Currency Unit exchange rate: 1984-1992," The European Journal of Finance, Taylor & Francis Journals, vol. 3(2), pages 159-182.
  120. Murto, Risto, 1994. "Nonlinear dynamics of speculative attacks on the Finnish markka, 1987-1992," Research Discussion Papers 13/1994, Bank of Finland.
  121. van den Bergh, W.-M. & van den Berg, J.H., 2000. "Competitive exception learning using fuzzy frequency distributions," ERIM Report Series Research in Management ERS-2000-06-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  122. Murinde V. & Poshakwala S., 2001. "Volatility in the Emerging Stock Markets in Central and Eastern Europe: Evidence on Croatia, Czech Republic, Hungary, Poland, Russia and Slovakia," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 73-102, July - De.
  123. Philip Rothman, "undated". "Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test," Working Papers 9813, East Carolina University, Department of Economics.
  124. Anatoliy Swishchuk, 2013. "Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8660, December.
  125. Halkos, George & Tsilika, Kyriaki, 2014. "Nonlinear time series analysis of annual temperatures concerning the global Earth climate," MPRA Paper 59140, University Library of Munich, Germany.
  126. 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.
  127. repec:ebl:ecbull:v:7:y:2005:i:1:p:1-6 is not listed on IDEAS
  128. Chatrath, Arjun & Adrangi, Bahram & Dhanda, Kanwalroop Kathy, 2002. "Are commodity prices chaotic?," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 27(2), August.
  129. 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.
  130. Adrangi, Bahram & Chatrath, Arjun & Dhanda, Kanwalroop Kathy & Raffiee, Kambiz, 2001. "Chaos in oil prices? Evidence from futures markets," Energy Economics, Elsevier, vol. 23(4), pages 405-425, July.
  131. Czamanski, Daniel & Dormaar, Paul & Hinich, Melvin J. & Serletis, Apostolos, 2007. "Episodic nonlinearity and nonstationarity in Alberta's power and natural gas markets," Energy Economics, Elsevier, vol. 29(1), pages 94-104, January.
  132. Manuel Ammann & Christian Zenkner, 2003. "Tactical Asset Allocation mit Genetischen Algorithmen," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 139(I), pages 1-40, March.
  133. Bai, Zhidong & Wong, Wing-Keung & Zhang, Bingzhi, 2010. "Multivariate linear and nonlinear causality tests," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(1), pages 5-17.
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