Testing for deterministic nonlinear dependence in the australian dollar-US dollar exchange rate series

Apostolos Serletis and Paul Dormaar

Applied Economics Letters, 1996, vol. 3, issue 4, 267-269

Abstract: Tests are made for (deterministic) chaos on weekly data (from 01/13/87 to 06/02/93) for the spot-month futures exchange rate between the Australian dollar and the U.S. dollar. The Nychka, Ellner, Gallant and McCaffrey nonparametric test for positivity of the maximum Lyapunov exponent is used and successful detection of chaos is claimed.

Date: 1996
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DOI: 10.1080/758520877

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