A positive Lyapunov exponent in Swedish exchange rates?

被引：30
作者：
Bask, M [1 ]
机构：
[1] Umea Univ, Dept Econ, SE-90187 Umea, Sweden
来源：
CHAOS SOLITONS & FRACTALS | 2002年 / 14卷 / 08期
关键词：
D O I：
10.1016/S0960-0779(02)00083-8
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
In this paper, a statistical framework utilizing a blockwise bootstrap procedure is used to test for the presence of a positive Lyapunov exponent in Swedish exchange rates [M. Bask, R. Gencay, Physica D 114 (1998) 1]. This is done since a necessary condition for chaotic dynamics is a positive Lyapunov exponent. Daily data for the Swedish Krona against the Deutsche Mark, the ECU, the US Dollar and the Yen exchange rates are examined. In most cases, the null hypothesis that the Lyapunov exponent is zero is rejected in favor of a positive exponent. (C) 2002 Elsevier Science Ltd. All rights reserved.
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页码：1295 / 1304
页数：10
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