Deterministic Chaos versus Stochastic Processes: An Empirical Study on the Austrian Schilling - US Dollar Exchange Rate

Crespo-Cuaresma, Jesús (December 1998) Deterministic Chaos versus Stochastic Processes: An Empirical Study on the Austrian Schilling - US Dollar Exchange Rate. IHS Economics Series 60

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Abstract or Table of Contents

Abstract: The classical theory about foreign exchange rate explains its fluctuations as the resulting of a random walk motion. In this paper, such a theory is put into question by performing Brock, Dechert and Scheinkman's (1987) test on the Austrian Schilling - US Dollars exchange rate for the period 1971-1998, giving us strong evidence of nonlinearities in its behaviour. By further analysing, features such as the correlation dimension will be estimated in order to better understand the characteristics of the underlying process.;

Item Type: IHS Series
Keywords: 'Chaos' 'BDS Test' 'Correlation Dimension' 'Exchange Rate'
Classification Codes (e.g. JEL): C14, C49, F31
Status: Published
Date Deposited: 26 Sep 2014 10:36
Last Modified: 21 Jul 2017 17:00
URI: http://irihs.ihs.ac.at/id/eprint/1128

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