Umeå Economic Studies, Department of Economics, Umeå University
No 453:
Deterministic Chaos in Exchange Rates?
Mikael Bask ()
Abstract: Can nominal exchange rates be characterised by
deterministic chaos? To answer this question, a statistical framework
utilising blockwise bootstrap was used to test for the presence of a
positive Lyapunov exponent in a time series. In most cases, the null
hypothesis of a non-positive Lyapunov exponent characterising the time
series was rejected.
Keywords: Deterministic chaos; Dynamical systems; Exchange rates; Moving blocks bootstrap.; (follow links to similar papers)
JEL-Codes: F31; (follow links to similar papers)
12 pages, December 15, 1997
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