The DOI matches its Crossref record; 17 of the 17 references it cites were found in a registry or an index.
Nonlinear Dynamics and Stock Returns
Abstract
Simple deterministic systems are capable of generating chaotic output that mimics the output of stochastic systems. For this reason, algorithms have been developed to distinguish between these two alternatives. These algorithms and related statistical tests are also useful in detecting the presence of nonlinear dependence in time series. In this article, the authors apply these procedures to stock returns and find evidence that indicates the presence of nonlinear dependence on weekly returns from the Center for Research in Security Prices value-weighted index. Copyright 1989 by the University of Chicago.
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Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*
Malkiel, B. G., & Fama, E. F. (1970) · The Journal of Finance · doi:10.1111/j.1540-6261.1970.tb00518.x · Cited by 15,699
The Jackknife, the Bootstrap and Other Resampling Plans
Efron, B. (1982) · Society for Industrial and Applied Mathematics eBooks · doi:10.1137/1.9781611970319 · Cited by 8,120
Measuring the strangeness of strange attractors
Grassberger, P., & Procaccia, I. (1983) · Physica D: Nonlinear Phenomena · doi:10.1016/0167-2789(83)90298-1 · Cited by 5,650
Mehra, R., & Prescott, E. C. (1985) · Journal of Monetary Economics · doi:10.1016/0304-3932(85)90061-3 · Cited by 5,535
Asset Prices in an Exchange Economy
Lucas, R. E. (1978) · Econometrica · doi:10.2307/1913837 · Cited by 5,014
Ergodic theory of chaos and strange attractors
Eckmann, J. P., & Ruelle, D. (1985) · Reviews of Modern Physics · doi:10.1103/revmodphys.57.617 · Cited by 4,941
Characterization of Strange Attractors
Grassberger, P., & Procaccia, I. (1983) · Physical Review Letters · doi:10.1103/physrevlett.50.346 · Cited by 4,857
Stock returns and the weekend effect
French, K. R. (1980) · Journal of Financial Economics · doi:10.1016/0304-405x(80)90021-5 · Cited by 1,998
Threshold Autoregression, Limit Cycles and Cyclical Data
Tong, H., & Lim, K. S. (1980) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.2517-6161.1980.tb01126.x · Cited by 1,309
Cited by
The econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
The evolution of stock market efficiency over time: A survey of the empirical literature
Lim, K.-P., & Brooks, R. (2011) · Journal of Economic Surveys · doi:10.1111/j.1467-6419.2009.00611.x · Cited by 410
Metadata
- Authors
- Scheinkman, J. A., & LeBaron, B.
- Venue
- The Journal of Business
- Publisher
- University of Chicago Press
- Published
- 1989-01
- Volume
- 62
- Issue
- 3
- Pages
- 311
- ISSN
- 0021-9398 (ISSN-L)
- 1537-5374
- OpenAlex
- W1987203652
- Cited by
- 772
- References
- 17
- FWCI
- 68.16
- Type
- journal article
- Language
- en
- Open access
- closed
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