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
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Cited by
Bollerslev, T., Chou, R. Y., & Kroner, K. F. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90064-x · Cited by 4,270
Scaling behaviour in the dynamics of an economic index
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Chaos and Nonlinear Dynamics: Application to Financial Markets
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The econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
Testing for Nonlinear Dependence in Daily Foreign Exchange Rates
Hsieh, D. A. (1989) · The Journal of Business · doi:10.1086/296466 · Cited by 665
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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