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Evidence of chaos in commodity futures prices
16 references·4 citing·31 second hop
Evidence of chaos in commodity futures prices (1992)Evidence of chaos in commodity futures pr…Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…On the Modeling of Financial Time Series (2014)On the Modeling of Financial …The variation of certain speculative prices (1997)The variation of certain spec…New methods in statistical economics (1997)New methods in statistical ec…Testing for Nonlinear Dependence in Daily Foreign Exchange Rates (1989)Testing for Nonlinear Depende…Nonlinear Dynamics and Stock Returns (1989)Nonlinear Dynamics and Stock …Measuring the Strangeness of Gold and Silver Rates of Return (1989)Measuring the Strangeness of …A Reappraisal of the Efficiency of Financial Markets (1989)A Reappraisal of the Efficien…Is the business cycle characterized by deterministic chaos? (1988)Is the business cycle charact…Distinguishing random and deterministic systems: Abridged version (1986)Distinguishing random and det…Evidence of Nonlinearity in Daily Stock Returns (1985)Evidence of Nonlinearity in D…Some anomalous evidence regarding market efficiency (1978)Some anomalous evidence regar…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…MISMIS – A comprehensive decision support system for stock market investment (2010)MISMIS – A comprehensive deci…Are commodity prices chaotic? (2002)Are commodity prices chaotic?Long memory and chaotic models of prices on the London Metal Exchange (2001)Long memory and chaotic model…Walvelet Analysis of Commodity Price Behavior (1997)Walvelet Analysis of Commodit…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)The equity premium: A puzzle (1985)Bulls, bears and market sheep (1990)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Generalized autoregressive conditional heteroskedasticity (1986)Nonparametric exchange rate prediction? (1990)Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World (1992)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Dividend Policy, Growth, and the Valuation of Shares (1961)The Structure of Scientific Revolutions (1963)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The Noise Trader Approach to Finance (1990)Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry (1992)Inefficient Markets (2000)Modeling asset returns with alternative stable distributions (1993)Start-up size and industrial dynamics: some evidence from Italian manufacturing (1999)Multifractal analysis of financial markets: a review (2019)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 1978Some anomalous evidence regarding market efficiency1,419 cited
  • 1989Nonlinear Dynamics and Stock Returns778 cited
  • 1989Testing for Nonlinear Dependence in Daily Foreign Exchange Rates665 cited
  • 1997New methods in statistical economics434 cited
  • 1988Is the business cycle characterized by deterministic chaos?411 cited
  • 1986Distinguishing random and deterministic systems: Abridged version391 cited
  • 2014On the Modeling of Financial Time Series387 cited
  • 1985Evidence of Nonlinearity in Daily Stock Returns289 cited
  • 1989Measuring the Strangeness of Gold and Silver Rates of Return190 cited
  • 1989A Reappraisal of the Efficiency of Financial Markets

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128 cited

Cited by

  • 2001Long memory and chaotic models of prices on the London Metal Exchange75 cited
  • 1997Walvelet Analysis of Commodity Price Behavior62 cited
  • 2002Are commodity prices chaotic?59 cited
  • 2010MISMIS – A comprehensive decision support system for stock market investment34 cited