Random walk or chaos: a formal test on the Lyapunov exponent

DOI10.1016/j.jeconom.2012.01.012zbMath1443.62234OpenAlexW2071048608MaRDI QIDQ527976

Yoon-Jae Whang, Joon Y. Park

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612000139

zbMATH Keywords

chaosBrownian motionkernel regressionunit rootlocal timerandom walkLyapunov exponentstochastic integrals

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Sums of independent random variables; random walks (60G50) Non-Markovian processes: hypothesis testing (62M07)

Related Items (5)

Chaotic signals inside some tick-by-tick financial time series ⋮ High level chaos in the exchange and index markets ⋮ Estimating Lyapunov exponents on a noisy environment by global and local Jacobian indirect algorithms ⋮ A consistent nonparametric test of ergodicity for time series with applications ⋮ Chaoticity versus stochasticity in financial markets: are daily S\&P 500 return dynamics chaotic?

Uses Software

• quantilogram

Cites Work

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