Chaos in German stock returns - New evidence from the 0-1 test

被引：26

作者：

Webel, Karsten ^{[1
]}

机构：

[1] Tech Univ Dortmund, Inst Wirtschafts & Sozialstat, Fak Stat, D-44227 Dortmund, Germany

来源：

ECONOMICS LETTERS | 2012年 / 115卷 / 03期

关键词：

0-1; test; Chaos; Stock returns; Wavelet denoising; DYNAMICS; NOISE;

D O I：

10.1016/j.econlet.2011.12.110

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper applies the 0-1 test for chaos to returns from the German stock market, providing empirical evidence of chaotic structures in the returns of all DAX members. For noise reduction purposes, wavelet denoising is employed prior to the application of the 0-1 test. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：487 / 489

页数：3

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