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Title: Using the correlation dimension to detect non-linear dynamics: evidence from the Athens Stock Exchange
Authors: Chappell, David
Panagiotidis, Theodore
Keywords: non-linear dynamics
stock indices
correlation dimension
Issue Date: 2004
Abstract: 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'.
Description: Economics Research Paper, no. 04-17
URI: https://dspace.lboro.ac.uk/2134/330
Appears in Collections:Working Papers (Economics)

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