References
References
- Aparicio , MT , Pozo , E and Saura , D . 1999 . Investigating the chaotic behavior in economic series: the delay-time in the Grassberger–Procaccia algorithm . International Journal of Theoretical and Applied Finance , 2 ( 4 ) : 357 – 80 .
- Barnett , WA , Gallant , AR , Hinich , MJ , Jungeils , JA , Kaplan , DT and Jensen , MJ . 1997 . A single blind controlled competition among tests for nonlinearity and chaos . Journal of Econometrics , 82 : 157 – 92 .
- Brock WA Sayers D 1988 Is the business cycle characterized by deterministic chaos? Journal of Monetary Economics July 71 90
- Brock WA Dechert WD Scheinkman J 1987 A test for independence based on the correlation dimension Department of Economics, University of Wisconsin
- Brock WA Hsieh D LeBaron B 1991 A Test of Nonlinear Dynamics, Chaos and Instability: Theory and Evidence, MIT Press Cambridge MA
- Brock , WA , Dechert , W , Scheinkman , JA and LeBaron , B . 1996 . A test for independence based on the correlation dimension . Econometric Review , 15 : 197 – 235 .
- Brooks , C . 1996 . Testing for nonlinearity in daily pound exchange rates . Applied Financial Economics , 6 : 307 – 17 .
- Brooks C 1999 Portmanteau model diagnostics and tests for nonlinearity: a comparative Monte Carlo study of two alternative methods Computational Economics 249 63
- Buzug , Th. , Reimeres , T and Pfister , G . 1990 . Optimal reconstruction of strange attractors from purely geometrical arguments . Europhysics Letters , 13 : 605 – 10 .
- Casdagli , M , Eubank , S , Farmer , JD and Gibson , J . 1991 . State space reconstruction in the presence of noise . Physica D , 51 : 52 – 98 .
- Grassberger , P and Procaccia , I . 1983 . Measuring the strangeness of strange attractors . Physica D , 9 : 189 – 208 .
- Kantz H Schreiber T 2004 Nonlinear Time Analysis Series 2nd edn Cambridge University Press Cambridge
- Kanzler L 1999 Very fast and correctly sized estimation of the BDS statistic Department of Economics, Oxford University http://users.ox.ac.uk\~econlrk
- Matilla , M , Sanz , P and Vázquez , FJ . 2004 . Dimension estimation with the BDS-G statistic . Applied Economics , 36 : 1219 – 23 .
- Patterson DM Ashley RA 2000 A Nonlinear Time Series Workshop, Kluwer Academic Publishers Amsterdam
- Scheinkman , JA and LeBaron , B . 1989 . Nonlinear dynamics is stock returns . Journal of Business , 62 ( 3 ) : 311 – 37 .