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Distinguishing between stochastic and deterministic behavior in high frequency foreign exchange rate returns: Can non-linear dynamics help forecasting?
16 references·6 citing·34 second hop
Distinguishing between stochastic and deterministic behavior in high frequency foreign exchange rate returns: Can non-linear dynamics help forecasting? (1996)Distinguishing between stochastic and det…The Economy as an Evolving Complex System (2018)The Economy as an Evolving Co…The Economy as an Evolving Complex System II (2018)The Economy as an Evolving Co…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…A Test for Independence Based on the Correlation Dimension (2001)A Test for Independence Based…A test for independence based on the correlation dimension (1996)A test for independence based…Exchange Rate Theory: Chaotic Models of Foreign Exchange Markets. (1994)Exchange Rate Theory: Chaotic…Temporal Aggregation of Garch Processes (1993)Temporal Aggregation of Garch…A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (1993)A geographical model for the …Intra-Day and Inter-Market Volatility in Foreign Exchange Rates (1991)Intra-Day and Inter-Market Vo…Every minute counts in financial markets (1991)Every minute counts in financ…The Message in Daily Exchange Rates: A Conditional-Variance Tale (1989)The Message in Daily Exchange…Testing for Nonlinear Dependence in Daily Foreign Exchange Rates (1989)Testing for Nonlinear Depende…Nonlinear Dynamics and Stock Returns (1989)Nonlinear Dynamics and Stock …Modeling Heteroscedasticity in Daily Foreign-Exchange Rates (1989)Modeling Heteroscedasticity i…A Conditional Variance Model for Daily Deviations of an Exchange Rate (1987)A Conditional Variance Model …Distinguishing random and deterministic systems: Abridged version (1986)Distinguishing random and det…Nonlinearity and Complex Dynamics in Economics and Finance (2018)Nonlinearity and Complex Dyna…Predicting Stock Prices Using a Hybrid Kohonen Self Organizing Map (SOM) (2007)Predicting Stock Prices Using…25 Years of Iif Time Series Forecasting: A Selective Review (2005)25 Years of Iif Time Series F…Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates (2004)Measuring non-linearity, long…Chaotic behavior in national stock market indices (2001)Chaotic behavior in national …Nonlinear deterministic forecasting of daily dollar exchange rates (1999)Nonlinear deterministic forec…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Periodic Autoregressive Conditional Heteroscedasticity (1996)Of Smiles and Smirks: A Term Structure Perspective (1999)A test for volatility spillover with application to exchange rates (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Bulls, bears and market sheep (1990)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Testing for a Unit Root in Time Series Regression (1988)Turbulent cascades in foreign exchange markets (1996)High frequency data in financial markets: Issues and applications (1997)Fractional Brownian Motions, Fractional Noises and Applications (1968)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)The Distribution of Exchange Rate Volatility (1999)Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process (2000)Asset Prices in an Exchange Economy (1978)Nonparametric exchange rate prediction? (1990)Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World (1992)Bivariate garch estimation of the optimal commodity futures Hedge (1991)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Modeling and Forecasting Realized Volatility (2001)When Effect Becomes Cause: Policy Feedback and Political Change (1993)A Postcapitalist Politics (2006)Evolutionary games on graphs (2007)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)The MIDAS Touch: Mixed Data Sampling Regression Models (2004)Parametric and Nonparametric Volatility Measurement (2010)Inequality Constraints in the Univariate GARCH Model (1992)MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)
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References

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  • 1987

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A Conditional Variance Model for Daily Deviations of an Exchange Rate
108 cited

Cited by

  • 2018Nonlinearity and Complex Dynamics in Economics and Finance75 cited
  • 1999Nonlinear deterministic forecasting of daily dollar exchange rates70 cited
  • 2007Predicting Stock Prices Using a Hybrid Kohonen Self Organizing Map (SOM)63 cited
  • 200525 Years of Iif Time Series Forecasting: A Selective Review61 cited
  • 2001Chaotic behavior in national stock market indices61 cited
  • 2004Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates21 cited