Application of bootstrap to detecting chaos in financial time series

Katarzyna Brzozowska-Rup and Arkadiusz Orłowski

Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 1, 317-321

Abstract: A moving blocks bootstrap procedure is used to investigate the dynamics of nominal exchange rates and the return rates of the US Dollar against the Polish Zloty. The problem if these financial time series exhibit chaotic behavior is undertaken. A possibility of detecting the presence of a positive Lyapunov exponent is studied.

Keywords: Financial time series; Chaos; Lyapunov exponent; Bootstrap (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:1:p:317-321

DOI: 10.1016/j.physa.2004.06.142

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