11
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Testing for deterministic nonlinear dependence in the australian dollar–US dollar exchange rate series

&
Pages 267-269 | Received 22 May 1995, Published online: 02 Nov 2006

References

  • Baillie , R.T. and Bollerslev , T. 1989 . Common stochastic trends in a system of exchange rates . Journal of Finance , 44 : 167 – 81 .
  • Barnett , W. A. , Gallant , A. R. , Hinich , M. J. , Jungeilges , J. A. , Kaplan , D. T. and Jensen , M.J. 1993 . Robustness of nonlinearity and chaos tests to measurement error, inference method and sample size . Journal of Economic Behaviour and Organization , 27 : 301 – 20 .
  • Baumol , W. and Benhabib , J. 1989 . Chaos: significance, mechanism, and economic applications . The Journal of Economic Perceptives , 3 : 77 – 105 .
  • Brock , W. and Sayers , C. 1988 . Is the business cycle characterized by deterministic chaos? . Journal of Monetary Economics , 22 : 71 – 90 .
  • Deneckere , R. and Pelikan , S. 1986 . Competitive chaos . Journal of Economic Theory , 40 : 13 – 25 .
  • Dickey , D.A. and Fuller , W.A. 1981 . Likelihood ratio statistics for autoregressive time series with a unit root . Econometrica , 49 : 1057 – 72 .
  • Eckman , J. P. and Ruelle , D. 1985 . Ergodic theory of strange attractors . Reviews of Modern Physics , 57 : 617 – 56 .
  • Gallant , A. R. and White , H. 1992 . On learning the derivatives of an unknown mapping with multilayer feed forward networks . Neural Networks , 57 : 129 – 38 .
  • Nychka , D. W. , Ellner , S. , Gallant , A. R. and McCaffrey , D. 1992 . Finding chaos in noisy systems . Journal of the Royal Statistical Society, B , 54 : 399 – 426 .
  • Schwarz , G. 1978 . Estimating the dimension of a model . The Annals of Statistics , 6 : 461 – 64 .
  • Wolf , A. , Swift , B. , Swinney , J. and Vastano , J. 1985 . Determining Lyapunov exponents from a time series . Physica D , 16 : 285 – 317 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.