Using the correlation dimension to detect non-linear dynamics: evidence from the Athens Stock Exchange
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 b...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Default Preprint |
| Published: |
2004
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/2134/330 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|