Chaotic volatility in market portfolios

Jati Sengupta and Yijuan Zheng

Applied Economics Letters, 1994, vol. 1, issue 4, 63-65

Abstract: Empirical estimates of the Lorenz model of chaos are reported here for the conditional variances of returns of selected mutual funds over the period September 1988 to April 1993. These estimates show that chaotic instability may occur with a positive probability.

Date: 1994
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DOI: 10.1080/135048594358230

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