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Original Articles

Empirical tests of chaotic dynamics in market volatility

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Pages 291-300 | Published online: 02 Nov 2006
 

Abstract

Unit root models of market volatility are generalized here in terms of non-linear mean variance efficiency frontiers. A logistic process model is thereby developed and empirically applied over the monthly return data of S&P 500 and other mutual funds to test the existence of chaotic dynamics. Empirical results fail to reject the hypothesis of no chaotic behaviour in several cases

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