Chaotic Behavior in Exchange Rate

Melike Bildirici and Bahri Sonustun

International Journal of Financial Research, 2019, vol. 10, issue 1, 17-22

Abstract: In this paper, we aim to analyze the chaotic structure of the daily Euro/USD parity. The examined data covers the period of 01/01/2004 and 03/04/2018. In this context firstly, to determine chaotic behavior of daily Euro/USD rates, the BDS test was used. And following, the chaotic behavior was examined by Largest Lyapunov Exponents (LLE) and Henon Map methods. The results proved the existence of chaotic structure in the data.

Keywords: the BDS test; exchange rate returns; Lyapunov exponents chaos; Hennon map (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:10:y:2019:i:1:p:17-22

DOI: 10.5430/ijfr.v10n1p17

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