Chaos in German stock returns — New evidence from the 0–1 test

Karsten Webel

Economics Letters, 2012, vol. 115, issue 3, 487-489

Abstract: This paper applies the 0–1 test for chaos to returns from the German stock market, providing empirical evidence of chaotic structures in the returns of all DAX members. For noise reduction purposes, wavelet denoising is employed prior to the application of the 0–1 test.

Keywords: 0–1 test; Chaos; Stock returns; Wavelet denoising (search for similar items in EconPapers)
JEL-codes: C01 C14 C22 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:3:p:487-489

DOI: 10.1016/j.econlet.2011.12.110

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