Title of article
Application of bootstrap to detecting chaos in financial time series
Author/Authors
Katarzyna Brzozowska-Rup، نويسنده , , Arkadiusz Or?owski، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2004
Pages
5
From page
317
To page
321
Abstract
A moving blocks bootstrap procedure is used to investigate the dynamics of nominal exchange rates and the return rates of the US Dollar against the Polish Zloty. The problem if these financial time series exhibit chaotic behavior is undertaken. A possibility of detecting the presence of a positive Lyapunov exponent is studied.
Journal title
Physica A Statistical Mechanics and its Applications
Serial Year
2004
Journal title
Physica A Statistical Mechanics and its Applications
Record number
869743
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