Loughborough University
Leicestershire, UK
LE11 3TU
+44 (0)1509 263171
Loughborough University

Loughborough University Institutional Repository

Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/330

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
chaos
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)

Files associated with this item:

File Description SizeFormat
Long%20version_wp1.pdfWorking paper130.92 kBAdobe PDFView/Open
CoverforPDF.pdfCover sheet27.39 kBAdobe PDFView/Open

 

SFX Query

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.