Multiscale analysis of economic time series by scale-dependent Lyapunov exponent

DOI10.1080/14697688.2011.580774zbMath1280.91199OpenAlexW2116966269MaRDI QIDQ5746760

Jianbo Gao, Jing Hu, Yi Zheng, Wen-wen Tung

Publication date: 8 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.580774

zbMATH Keywords

nonlinear dynamicsfinancial time serieslong memory volatility processespower law correlation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (3)

Information entropy as a basic building block of complexity theory ⋮ Entropy measures for biological signal analyses ⋮ Complex dynamics of a forced discretized version of the Mackey-Glass delay differential equation

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• CHARACTERISTIC LYAPUNOV EXPONENTS AND SMOOTH ERGODIC THEORY
• Ergodic theory of chaos and strange attractors

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