8
Views
9
CrossRef citations to date
0
Altmetric
Original Articles

Empirical tests of chaotic dynamics in market volatility

&
Pages 291-300 | Published online: 02 Nov 2006

References

  • Barnett , W. and Chen , P. 1988 . “ The aggregation-theoretic monetary aggregates are chaotic and have strange attractors, in ” . In Dynamic Econometric Modelling , Edited by: Barnett , W. , Berndt , E. and White , H. Cambridge : Cambridge University Press .
  • Baumol , W. J. and Benhabib , J. 1989 . Chaos: significance, mechanism and economic applications . Journal of Economic Perspectives , 3 : 77 – 105 .
  • Benhabib , J. and Day , R. 1981 . Rational choice and erratic behavior . Review of Economic Studies , 4 ( 8 ) : 459 – 471 .
  • Black , F. 1976 . Studies of stock market volatility changes, Proceedings of the American Statistical Association . Business and Economic Statistics Section , : 177 – 181 .
  • Bollerslev , T. 1986 . Generalized autoregressive conditional heteroskedasticity . Journal of Econometrics , 31 : 307 – 328 .
  • Brock , W. A. 1990 . “ Chaos and complexity in economic and financial science ” . In Acting Under Uncertainty: Multi-disciplinary Conceptions , Edited by: Von Furstenberg , G. Dordrecht : Kluwer Academic Publishers .
  • Cook , L. M. 1965 . Oscillation in the simple logistic growth model . Nature , 98 : 619 – 642 .
  • Courakis , A. S. 1988 . Modelling portfolio selection . Economic Journal , 98 : 619 – 642 .
  • Creedy , J. and Martin , V. L. , eds. 1994 . Chaos and Nonlinear Models in Economics , Brookfield, VT : Elgar Edward Publishing .
  • Engle , R. 1982 . Autoregressive conditional heteroskedasticity with estimates of variance of UK inflation . Econometrica , 50 : 1 – 50 .
  • Feigenbaum , M. 1983 . “ Universal behavior in nonlinear systems ” . In Nonlinear Dynamics and Turbulence , Edited by: Barenblatt , G. , loss , G. and Joseph , D. Boston : Pitman .
  • Gleick , J. 1987 . Chaos , New York : Viking Press .
  • Green , C. J. 1988 . Adjustment costs and mean variance efficiency in financial markets, in Economic Modelling in the OECD Countries , Edited by: Motamen , H. London : Chapman and Hall .
  • Hsieh , D. A. 1991 . Chaos and nonlinear dynamics: application to financial markets . Journal of Finance , 46 : 1839 – 1877 .
  • Kendall , D. G. 1949 . Stochastic processes and population growth . Journal of the Royal Statistical Society, Series B , 11 : 230 – 264 .
  • Lorenz , E. 1963 . Deterministic nonperiodic flow . Journal of the Atmospheric Sciences , 20 : 130 – 141 .
  • May , R. M. 1981 . “ Nonlinear problems in ecology and resource management ” . In Chaotic Behavior of eterministic Systems Edited by: Iooss , G. , Helleman , R. and Stora , R. Amsterdam, North Holland
  • Nelson , D. 1991 . Conditional heteroskedasticity in asset returns: a new approach . Econometrica , 59 : 347 – 370 .
  • Scheinkman , J. A. and LeBaron , B. 1989 . Nonlinear dynamics and stock returns . Journal of Business , 62 : 311 – 337 .
  • Schwert , G. W. 1989 . Why does stock market volatility change over time . Journal of Finance , 44 : 1115 – 1153 .
  • Sengupta , J. K. and Park , H. S. 1990 . “ Portfolio efficiency tests based on stochastic dominance and cointegration ” . In Working Paper in Economics , Santa Barbara, CA : University of California .
  • Sengupta , J. K. 1991 . Maximum probability dominance and portfolio theory . Journal of Optimization Theory and Applications , 71 : 341 – 357 .
  • Sengupta , J. K. and Zheng , Y. 1994 . Chaotic volatility in market portfolios . Applied Economics Letters , 1 : 63 – 65 .
  • Tier , C. and Hanson , F. B. 1981 . Persistence in density dependent stochastic populations . Mathematical Biosciences , 53 : 89 – 117 .

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.