Distinguishing between stochastic and deterministic behavior in foreign exchange rate returns: Further evidence

A. Aydin Cecen; Cahit Erkal

doi:10.1016/0165-1765(96)00819-1

Distinguishing between stochastic and deterministic behavior in foreign exchange rate returns: Further evidence

A. Aydin Cecen, Cahit Erkal

Economics

Research output: Contribution to journal › Article › peer-review

21 Scopus citations

Abstract

The nature of non-linear dependence in hourly exchange rate returns is scrutinized. While the Brock, Dechert and Scheinkman (BDS) test results reject i.i.d. behavior, various correlation dimension estimates reveal little evidence in favor of a low-dimensional attractor in the time series.

Original language	English
Pages (from-to)	323-329
Number of pages	7
Journal	Economics Letters
Volume	51
Issue number	3
DOIs	https://doi.org/10.1016/0165-1765(96)00819-1
State	Published - Jun 1996

Keywords

ARCH processes
Attractor
Chaos
Correlation dimension

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10.1016/0165-1765(96)00819-1

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title = "Distinguishing between stochastic and deterministic behavior in foreign exchange rate returns: Further evidence",

abstract = "The nature of non-linear dependence in hourly exchange rate returns is scrutinized. While the Brock, Dechert and Scheinkman (BDS) test results reject i.i.d. behavior, various correlation dimension estimates reveal little evidence in favor of a low-dimensional attractor in the time series.",

keywords = "ARCH processes, Attractor, Chaos, Correlation dimension",

author = "Cecen, {A. Aydin} and Cahit Erkal",

year = "1996",

month = jun,

doi = "10.1016/0165-1765(96)00819-1",

language = "English",

volume = "51",

pages = "323--329",

journal = "Economics Letters",

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T1 - Distinguishing between stochastic and deterministic behavior in foreign exchange rate returns

T2 - Further evidence

AU - Cecen, A. Aydin

AU - Erkal, Cahit

PY - 1996/6

Y1 - 1996/6

N2 - The nature of non-linear dependence in hourly exchange rate returns is scrutinized. While the Brock, Dechert and Scheinkman (BDS) test results reject i.i.d. behavior, various correlation dimension estimates reveal little evidence in favor of a low-dimensional attractor in the time series.

AB - The nature of non-linear dependence in hourly exchange rate returns is scrutinized. While the Brock, Dechert and Scheinkman (BDS) test results reject i.i.d. behavior, various correlation dimension estimates reveal little evidence in favor of a low-dimensional attractor in the time series.

KW - ARCH processes

KW - Attractor

KW - Chaos

KW - Correlation dimension

UR - http://www.scopus.com/inward/record.url?scp=0030161727&partnerID=8YFLogxK

U2 - 10.1016/0165-1765(96)00819-1

DO - 10.1016/0165-1765(96)00819-1

M3 - Article

AN - SCOPUS:0030161727

SN - 0165-1765

VL - 51

SP - 323

EP - 329

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

Distinguishing between stochastic and deterministic behavior in foreign exchange rate returns: Further evidence

Abstract

Keywords

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