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Applied Economics Letters Volume 1, 1994 - Issue 4
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Original Articles

Chaotic volatility in market portfolios

Jati K. Sengupta
&
Yijuan Zheng
Pages 63-65 | Published online: 05 Oct 2010
 
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Abstract

Empirical estimates of the Lorenz model of chaos are reported here for the conditional variances of returns of selected mutual funds over the period September 1988 to April 1993. These estimates show that chaotic instability may occur with a positive probability.

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