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Using the correlation dimension to detect non-linear dynamics: evidence from the Athens Stock Exchange

preprint
posted on 2005-08-02, 11:32 authored by David Chappell, Theodore Panagiotidis
The standardised residuals from the GARCH models fitted to three stick indices of the Athens Stock Exchange are examined for evidence of chaotic behaviour. In each case the correlation dimension is calculated for a range of embedding dimensions. The results do not support the hypothesis of chaotic behaviour; it appears that each set of residuals is 'iid'.

History

School

  • Business and Economics

Department

  • Economics

Pages

134057 bytes

Publication date

2004

Notes

Economics Research Paper, no. 04-17

Language

  • en

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