학술저널
NONLINEAR DEPENDENCIES AND CHAOS IN THE EXCHANGE RATE OF THE DOLLAR
- People & Global Business Association
- Global Business and Finance Review
- Vol.13 No.1
-
2008.0659 - 76 (18 pages)
- 4
Employing the daily broad dollar index we conduct a battery of tests for the presence of low-dimension chaos. The dollar index return series is subjected to Correlation Dimension tests, BDS tests, and tests for entropy. While we find strong evidence of nonlinear dependence in the data, the evidence is not consistent with chaos. Our test results indicate that a GARCH process explains the nonlinearities in the data. We also show that employing seasonally adjusted index series enhances the robustness of results via the existing tests for chaotic structure.
Abstract
INTRODUCTION
CHAOS: CONCEPTS AND IMPLICATIONS FOR FINANCIAL MARKETS
TESTING FOR CHAOS
DATA AND SUMMARY STATISTICS
SUMMARY AND CONCLUSIONS
ENDNOTES
REFERENCES
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