Chaotic behaviour in exchange-rate series. First results for the Peseta- U.S. Dollar case

DOI10.1016/0165-1765(92)90291-6zbMath0825.90222OpenAlexW1582187563MaRDI QIDQ1206354

Oscar Bajo-Rubio, Simón Sosvilla-Rivero, Fernando Fernández-Rodríguez

Publication date: 1 April 1993

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(92)90291-6

Mathematics Subject Classification ID

Economic time series analysis (91B84) Strange attractors, chaotic dynamics of systems with hyperbolic behavior (37D45)

Related Items (13)

Applications of Methods and Algorithms of Nonlinear Dynamics in Economics and Finance ⋮ Testing nonlinear forecastability in time series: Theory and evidence from the EMS ⋮ Recurrence quantification analysis on a Kaldorian business cycle model ⋮ Expectations and chaotic dynamics: empirical evidence on exchange rates ⋮ The Euro/Dollar exchange rate: chaotic or non-chaotic? A continuous time model with heterogeneous beliefs ⋮ INVESTIGATING CHAOTIC BEHAVIOR IN ECONOMIC SERIES: THE DELAY TIME IN THE GRASSBERGER–PROCACCIA ALGORITHM ⋮ A positive Lyapunov exponent in Swedish exchange rates? ⋮ On complex behavior and exchange rate dynamics ⋮ PREDICTION AND VOLATILITY OF BLACK MARKET CURRENCIES: EVIDENCE FROM RENMINBI AND RIAL EXCHANGE RATES ⋮ Chaotic behaviour in exchange-rate series. First results for the Peseta- U.S. Dollar case ⋮ Assessing nonlinear structures in real exchange rates using recurrence plot strategies ⋮ Nonlinear deterministic forecasting of daily Peseta--Dollar exchange rate ⋮ Chaoticity versus stochasticity in financial markets: are daily S\&P 500 return dynamics chaotic?

Cites Work

• Chaotic behaviour in exchange-rate series. First results for the Peseta- U.S. Dollar case
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